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
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