Escolar Documentos
Profissional Documentos
Cultura Documentos
5. A market in which the price equals the true economic value (Points
:1)
is risk-free
has high expected returns
is organized
is efficient
all of the above
9. Which of the following statements is not true about the law of one
price (Points :1)
investors prefer more wealth to less
investments that offer the same return in all states must pay
the risk-free rate
if two investment opportunities offer equivalent outcomes,
they must have the same price
investors are risk neutral
none of the above
11. A call option priced at $2 with a stock price of $30 and an exercise
price of $35 allows the holder to buy the stock at (Points :1)
$2
$32
$33
$35
none of the above
12. A put option in which the stock price is $60 and the exercise price
is $65 is said to be (Points :1)
in-the-money
out-of-the-money
at-the-money
exercisable
none of the above
13. Organized options markets are different from over-the-counter
options markets for all of the following reasons except (Points :1)
exercise terms
physical trading floor
regulation
standardized contracts
credit risk
19. The exercise price can be set at any desired level on each of the
following types of options except (Points :1)
FLEX options
equity options
over-the-counter options
all of the above
none of the above
20. An investor who owns a call option can close out the position by
any of the following types of transactions except (Points :1)
exercise
offset
expiring out-of-the-money
buying a put
none of the above
21. Which type of trader legitimately practices dual trading? (Points
:1)
floor brokers
off-floor option traders
board brokers
designated primary market makers
none of the above
26. The exchange with the largest share of the options market is the
(Points :1)
American Stock Exchange
Boston Options Exchange
Chicago Board Options Exchange
Pacific Stock Exchange
Philadelphia Stock Exchange
28. All of the following are forms of options except (Points :1)
convertible bonds
callable bonds
warrants
mutual funds
none of the above
29. Which of the following index options is the most widely traded?
(Points :1)
S&P 500
Nikkei 225
Technology Index
New York Stock Exchange Index
none of the above
30.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the intrinsic value of the December 115 put? (Points :1)
1.75
0.00
3.90
3.00
none of the above
31.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the intrinsic value of the November 105 put? (Points :1)
0.30
8.25
8.50
0.00
none of the above
32.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the intrinsic value of the January 110 call? (Points :1)
0.00
8.30
3.75
5.00
none of the above
33.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the intrinsic value of the November 115 call? (Points :1)
1.50
0.00
2.80
1.75
none of the above
34.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the time value of the December 105 put? (Points :1)
1.30
8.30
0.00
7.00
none of the above
35.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the time value of the November 115 put? (Points :1)
1.75
2.80
1.10
0.00
none of the above
36.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the time value of the November 110 call? (Points :1)
0.00
4.40
1.15
3.25
none of the above
37.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the time value of the January 115 call? (Points :1)
5.30
0.00
3.50
1.70
none of the above
38.
The following quotes were observed for options on a given stock on November 1 of a
given year. These are American calls except where indicated. Use the information
to answer questions 30 through 38.
Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8
The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50
percent (December) and 7.62 percent (January). The times to expiration were
0.0384 (November), 0.1342 (December), and 0.211 (January). Assume no
dividends unless indicated
What is the European lower bound of the December 105 call? (Points
:1)
9.86
0.00
8.25
9.26
none of the above
39. The time value of an option is also referred to as the (Points :1)
synthetic value
strike value
speculative value
parity value
none of the above
40. Which of the following is the lowest possible value of an American
call on a stock with no dividends? (Points :1)
Max(0, S0 - X(1 + r)-T)
S0
Max(0, S0 - X)
Max(0, S0 (1 + r)-T - X)
none of the above
42. The difference between a Treasury bill's face value and its price is
called the (Points :1)
time value
discount
coupon rate
bid
none of the above
46. Which of the following are not path-dependent options when the
stock pays a constant dividend yield? (Points :1)
European calls and European puts
European calls and American puts
American puts and European puts
American puts and European calls
none of the above
50.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a one-period world. Answer questions 50 through
53 about a call with an exercise price of 80.
What would be the call's price if the stock goes up? (Points :1)
3.60
8.00
5.71
4.39
none of the above
51.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a one-period world. Answer questions 50 through
53 about a call with an exercise price of 80.
What would be the call's price if the stock goes down? (Points :1)
8.00
3.60
0.00
9.00
none of the above
52.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a one-period world. Answer questions 50 through
53 about a call with an exercise price of 80.
53.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a one-period world. Answer questions 50 through
53 about a call with an exercise price of 80.
54.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a two-period world. Answer questions 54 through
56 about a call with an exercise price of 80.
What is the value of the call if the stock goes up, then down? (Points
:1)
0.96
16.80
8.00
0.00
none of the above
55.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a two-period world. Answer questions 54 through
56 about a call with an exercise price of 80.
What is the hedge ratio if the stock goes down one period? (Points :1)
0.00
0.0725
1.00
0.73
none of the above
56.
Consider a binomial world in which the current stock price of 80 can
either go up by 10 percent or down by 8 percent. The risk-free rate is
4 percent. Assume a two-period world. Answer questions 54 through
56 about a call with an exercise price of 80.
8.00
7.30
11.13
0.619
0.5
infinite
and there is one period left in an American call's life. What will the
6.83
0.00
4.56
5.00
(Points :1)
2.17
0.50
9.50
5.00