ImageVerifierCode 换一换
格式:DOCX , 页数:30 ,大小:52.38KB ,
资源ID:18580868      下载积分:3 金币
快捷下载
登录下载
邮箱/手机:
温馨提示:
快捷下载时,用户名和密码都是您填写的邮箱或者手机号,方便查询和重复下载(系统自动生成)。 如填写123,账号就是123,密码也是123。
特别说明:
请自助下载,系统不会自动发送文件的哦; 如果您已付费,想二次下载,请登录后访问:我的下载记录
支付方式: 支付宝    微信支付   
验证码:   换一换

加入VIP,免费下载
 

温馨提示:由于个人手机设置不同,如果发现不能下载,请复制以下地址【https://www.bdocx.com/down/18580868.html】到电脑端继续下载(重复下载不扣费)。

已注册用户请登录:
账号:
密码:
验证码:   换一换
  忘记密码?
三方登录: 微信登录   QQ登录  

下载须知

1: 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。
2: 试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓。
3: 文件的所有权益归上传用户所有。
4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
5. 本站仅提供交流平台,并不能对任何下载内容负责。
6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。

版权提示 | 免责声明

本文(推荐兹维博迪金融学第二版试题库 精品 精品Word文件下载.docx)为本站会员(b****5)主动上传,冰豆网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。 若此文所含内容侵犯了您的版权或隐私,请立即通知冰豆网(发送邮件至service@bdocx.com或直接QQ联系客服),我们立即给予删除!

推荐兹维博迪金融学第二版试题库 精品 精品Word文件下载.docx

1、(b)American-type; European-type(c)European-type; American-type(d)Bermudan-type; (b)3.The difference between exercise price and current stock price is the tangible value of an _, and the difference between the current stock price and exercise price is the tangible value of an _.(a)out of the money pu

2、t option; in the money call option(b)in the money put option; out of the money call option(c)in the put money option; at the money call option(d)at the money put option; in the money put option4.A call option is said to be “out of the money” if its _.(a)exercise price is equal to the price of the un

3、derlying stock(b)current stock price is greater than its strike price(c)strike price is greater than the current stock price(d)strike price is less than its current stock price5.The time value of an option is _.(a)the difference between an options stock price and its tangible value(b)the difference

4、between the current stock price and exercise price(c)the difference between the exercise price and the stock price(d)the difference between an options market price and its tangible value (d)6.The prices of puts are _ the higher the exercise price, and the prices of calls are _ the higher is the exer

5、cise price.(a)lower; higher(b)higher; lower(c)lower;(d)higher; Questions 7 through 10 refer to the following hypothetical information: Listing of LePlastrier Options (symbol: LLB) (Prices listed are closing prices.) February 27, 20XXCALLSStock Price on NYSEExercise Price JanuaryFebruaryApril109.7510

6、71101133.3750.6250.1255.6252.18750.8757.1254.8752.375PUTS1.753.62595.875107.37511.757.What is the tangible value of the April LLB 110 put?(a)0(b)0.25(c)3.25(d)7.3758.What is the tangible value of the February LLB 107 call?(b)5.625(c)0.75(d)2.759.In what state is the January LLB 107 call?(a)in-the-mo

7、ney(b)out-of-the-money(c)at-the-money(d)zero state (a)10.In what state is the February LLB 113 put?11.Which is the correct formula describing the put-call parity relation?(a)S + C = (b)S + P = (c)S + P = (d)S + C = 12.A “protective-put” strategy is where one _.(a)buys a share of stock and a call opt

8、ion(b)buys a put option and a call option(c)buys a put option and a share of stock(d)sells a put option and buys a call option13.SPX options are effectively calls or puts on a hypothetical index fund that invests in a portfolio posed of the stocks that make up the S&P 500 index, each of the 500 pani

9、es _.(a)equally represented with respect to the others(b)in proportion to the total value of its shares outstanding(c)in proportion to the trading volume of its shares(d)rotating on a proportional basis dependent on earnings14.The SPX contract specifies that if the call option is exercised, the owne

10、r of the options _.(a)pays a cash settlement of $100 times the difference between the index value and the strike price(b)receives a cash payment of $100 times the difference between the index and tangible values (c)receives a cash payment of $100 times the difference between the index value and the

11、strike price(d)receives a payment of index shares $100 times the difference between the index value and strike price15.The stock of Deneuvre Ltd, currently lists for $370 a share, while one-year European call options on this stock with an exercise price of $150 sell for $290 and European put options

12、 with the same expiration date and exercise price sell for $58.89. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a)2.49%(b)8.00%(c)11.11%(d)24.90%16.The stock of Fellini Ltd, currently lists for $550 a share, while one-year European call options on this stock with an exe

13、rcise price of $250 sell for $380 and European put options with the same expiration date and exercise price sell for $56.24. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a)6.67%(b)10.5%(c)19.76%(d)23.76%17.Consider a stock that can take only one of two values a year fro

14、m now, either $250 or $90. Also consider a call option on the stock with an exercise price of $160 expiring in one year. At expiration, the call will pay either $90 if the stock price is $250 or it will pay nothing if the stock price is $90. Calculate the call options hedge ratio.(a)0.3600(b)0.4444(

15、c)0.5625(d)0.640018.Consider a stock that can take only one of two values a year from now, either $320 or $130. Also, consider a call option on the stock with an exercise price of $200 expiring in one year. At expiration, the call will pay either $120 if the stock price is $320 or it will pay nothin

16、g if the stock price if $130. The risk-free rate is 5% per year. Calculate the hedge ratio.(a)hedge ratio = 0.3750(b)hedge ratio = 0.4063(c)hedge ratio = 0.6000(d)hedge ratio = 0.631619.As one attempts to improve the two state model, we can further subdivide time intervals into shorter increments an

17、d build the _.(a)Binomial option pricing model(b)Black-Scholes model(c)Discrete model(d)a and b20.When the _ price of the underlying stock equals the _, this reasoning leads to the simplified Black-Scholes formula.(a)future; price of the call(b)current; future value of the strike price(c)current; pr

18、esent value of the strike price(d)future; price of the put21.Which is the correct formula using Black-Scholes method for a European call option on a non-dividend paying stock?(a)C = N(d1)S + N(d2)Ee-rT(b)C = N(d2)S + N(d1)Ee-rT(c)C = N(d1)S N(d2)Ee-rT(d)C = N(d1)E N(d2)Se-rT22.Use the Black-Scholes

19、formula to find the value of a European call option on the following stock: Time to maturity 6 months Standard deviation 50 percent per year Exercise price 60 Stock price 60 Interest rate 10 percent per year Assume it is a non-dividend paying stock. The value of a call is _.(a)$6.83(b)$9.76(c)$9.96(

20、d)$14.3623.Use the Black-Scholes formula to find the value of a European call option on the following non-dividend paying stock: Time to maturity 4 months Standard deviation 45 percent per year Exercise price 65 Interest rate 11 percent per year(a)$5.09(b)$7.75(c)$9.66(d)$11.4324.The Black-Scholes f

21、ormula has four parameters that are directly observable and one that is not. Which of the following parameter is not directly observable?(a)exercise price(b)stock price(c)volatility of the stock return(d)risk-free interest rate25.As a financial analyst at Dodgie Brothers investment house, you are as

22、ked by a client if she should purchase European call options on Angel Heart Ltd shares that are currently selling in U.S. dollars for $45.00. The options on Angel Heart Ltd have an exercise price of $65.00. The current stock price for Angel Heart is $70 and the estimated rate of return variance of t

23、he stock is 0.09. If these options expire in 35 days and the riskless interest rate over the period is 6%, what should your client do?(a)The call is valued at $19.63; this is less than $70 and not worth buying.(b)The call is valued at $5.37; this is less than $45 and not worth buying.(c)The call is

24、valued at $70; this is greater than $45 and worth buying.(d)The call is valued at $15; this is greater than $6 and worth buying.26.Use the linear approximation of the Black-Scholes model to find the value of a European call option on the following stock: Standard deviation 0.3 Exercise price 50 Stoc

25、k price 50 What is the discrepancy between the value obtained from the linear approximation and traditional Black-Scholes formula?(a)Linear approx = $3.01; Discrepancy = $1.0154(b)Linear approx = $4.24; Discrepancy = $1.20XX(c)Linear approx = $3.01;(d)Linear approx = $4.76; Discrepancy = $1.215327.U

26、se the Black-Scholes formula to find the value of a European call option and a European put option on the following stock: Time to maturity 0.5 Standard deviation 30% per year Exercise price 100 Stock price 100 Risk-free interest rate 10 percent per year The values are closest to:(a)Value of call = $16.73; Value of put = $7.22(b)Value of call = $12.27; Value of put = $9.32(c)Value of call = $10.90; Value of put = $6.02(d)Value of call = $8.28; Value of put = $3.4028.Use the Black-Scholes formula to find the value of a European call option and a European put opti

copyright@ 2008-2022 冰豆网网站版权所有

经营许可证编号:鄂ICP备2022015515号-1