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投資學(xué)第7版TestBank答案21
MultipleChoiceQuestions
1.Beforeexpiration,thetimevalueofaninthemoneycalloptionisalways
A)equaltozero.
B)positive.
C)negative.
D)equaltothestockpriceminustheexerciseprice.
E)noneoftheabove.
Answer:BDifficulty:Easy
Rationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.
2.Beforeexpiration,thetimevalueofaninthemoneyputoptionisalways
A)equaltozero.
B)negative.
C)positive.
D)equaltothestockpriceminustheexerciseprice.
E)noneoftheabove.
Answer:CDifficulty:Easy
Rationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.
3.Beforeexpiration,thetimevalueofanatthemoneycalloptionisalways
A)positive.
B)equaltozero.
C)negative.
D)equaltothestockpriceminustheexerciseprice.
E)noneoftheabove.
Answer:ADifficulty:Easy
Rationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.
4.Beforeexpiration,thetimevalueofanatthemoneyputoptionisalways
A)equaltozero.
B)equaltothestockpriceminustheexerciseprice.
C)negative.
D)positive.
E)noneoftheabove.
Answer:DDifficulty:Easy
Rationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.
5.Acalloptionhasanintrinsicvalueofzeroiftheoptionis
A)atthemoney.
B)outofthemoney.
C)inthemoney.
D)AandC.
E)AandB.
Answer:EDifficulty:Easy
Rationale:Intrinsicvaluecanneverbenegative;thusitissetequaltozeroforoutofthemoneyandatthemoneyoptions.
6.Aputoptionhasanintrinsicvalueofzeroiftheoptionis
A)atthemoney.
B)outofthemoney.
C)inthemoney.
D)AandC.
E)AandB.
Answer:EDifficulty:Easy
Rationale:Intrinsicvaluecanneverbenegative;thusitissetequaltozeroforoutofthemoneyandatthemoneyoptions.
7.Priortoexpiration
A)theintrinsicvalueofacalloptionisgreaterthanitsactualvalue.
B)theintrinsicvalueofacalloptionisalwayspositive.
C)theactualvalueofcalloptionisgreaterthantheintrinsicvalue.
D)theintrinsicvalueofacalloptionisalwaysgreaterthanitstimevalue.
E)noneoftheabove.
Answer:CDifficulty:Moderate
Rationale:Priortoexpiration,anyoptionwillbesellingforapositiveprice,thustheactualvalueisgreaterthantheintrinsicvalue.
8.Priortoexpiration
A)theintrinsicvalueofaputoptionisgreaterthanitsactualvalue.
B)theintrinsicvalueofaputoptionisalwayspositive.
C)theactualvalueofputoptionisgreaterthantheintrinsicvalue.
D)theintrinsicvalueofaputoptionisalwaysgreaterthanitstimevalue.
E)noneoftheabove.
Answer:CDifficulty:Moderate
Rationale:Priortoexpiration,anyoptionwillbesellingforapositiveprice,thustheactualvalueisgreaterthantheintrinsicvalue.
9.Ifthestockpriceincreases,thepriceofaputoptiononthatstock__________andthat
ofacalloption__________.
A)decreases,increases
B)decreases,decreases
C)increases,decreases
D)increases,increases
E)doesnotchange,doesnotchange
Answer:ADifficulty:Moderate
Rationale:Asstockpricesincreases,calloptionsbecomemorevaluable(theownercanbuythestockatabargainprice).Asstockpricesincrease,putoptionsbecomelessvaluable(theownercansellthestockatapricelessthanmarketprice).
10.Ifthestockpricedecreases,thepriceofaputoptiononthatstock__________andthat
ofacalloption__________.
A)decreases,increases
B)decreases,decreases
C)increases,decreases
D)increases,increases
E)doesnotchange,doesnotchange
Answer:CDifficulty:Moderate
Rationale:Asstockpricesdecreases,calloptionsbecomelessvaluable(theownercanbuythestockatabargainprice).Asstockpricesdecreases,putoptionsbecomemorevaluable(theownercansellthestockatapricelessthanmarketprice).
11.Otherthingsequal,thepriceofastockcalloptionispositivelycorrelatedwiththe
followingfactorsexcept
A)thestockprice.
B)thetimetoexpiration.
C)thestockvolatility.
D)theexerciseprice.
E)noneoftheabove.
Answer:DDifficulty:Moderate
Rationale:Theexercisepriceisnegativelycorrelatedwiththecalloptionprice.
12.Otherthingsequal,thepriceofastockputoptionispositivelycorrelatedwiththe
followingfactorsexcept
A)thestockprice.
B)thetimetoexpiration.
C)thestockvolatility.
D)theexerciseprice.
E)noneoftheabove.
Answer:ADifficulty:Moderate
Rationale:Theexercisepriceisnegativelycorrelatedwiththestockprice.
13.Thepriceofastockputoptionis__________correlatedwiththestockpriceand
__________correlatedwiththestrikingprice.
A)positively,positively
B)negatively,positively
C)negatively,negatively
D)positively,negatively
E)not,not
Answer:BDifficulty:Moderate
Rationale:Thelowerthestockprice,themorevaluablethecalloption.Thehigherthestrikingprice,themorevaluabletheputoption.
14.Thepriceofastockcalloptionis__________correlatedwiththestockpriceand
__________correlatedwiththestrikingprice.
A)positively,positively
B)negatively,positively
C)negatively,negatively
D)positively,negatively
E)not,not
Answer:DDifficulty:Moderate
Rationale:Thelowerthestockprice,themorevaluablethecalloption.Thehigherthestrikingprice,themorevaluabletheputoption.
15.AlltheinputsintheBlack-ScholesOptionPricingModelaredirectlyobservableexcept
A)thepriceoftheunderlyingsecurity.
B)theriskfreerateofinterest.
C)thetimetoexpiration.
D)thevarianceofreturnsoftheunderlyingassetreturn.
E)noneoftheabove.
Answer:DDifficulty:Moderate
Rationale:Thevarianceofthereturnsoftheunderlyingassetisnotdirectlyobservable,butmustbeestimatedfromhistoricaldata,fromscenarioanalysis,orfromthepricesofotheroptions.
16.Deltaisdefinedas
A)thechangeinthevalueofanoptionforadollarchangeinthepriceoftheunderlying
asset.
B)thechangeinthevalueoftheunderlyingassetforadollarchangeinthecallprice.
C)thepercentagechangeinthevalueofanoptionforaonepercentchangeinthevalue
oftheunderlyingasset.
D)thechangeinthevolatilityoftheunderlyingstockprice.
E)noneoftheabove.
Answer:ADifficulty:Moderate
Rationale:Anoption'shedgeratio(delta)isthechangeinthepriceofanoptionfor$1increaseinthestockprice.
17.Ahedgeratioof0.70impliesthatahedgedportfolioshouldconsistof
A)long0.70callsforeachshortstock.
B)short0.70callsforeachlongstock.
C)long0.70sharesforeachshortcall.
D)long0.70sharesforeachlongcall.
E)noneoftheabove.
Answer:CDifficulty:Moderate
Rationale:Thehedgeratioistheslopeoftheoptionvalueasafunctionofthestockvalue.Aslopeof0.70meansthatasthestockincreasesinvalueby$1,theoption
increasesbyapproximately$0.70.Thus,foreverycallwritten,0.70sharesofstockwouldbeneededtohedgetheinvestor'sportfolio.
18.Ahedgeratioforacalloptionis________andahedgeratioforaputoptionis______.
A)negative,positive
B)negative,negative
C)positive,negative
D)positive,positive
E)zero,zero
Answer:CDifficulty:Moderate
Rationale:Calloptionhedgeratiosmustbepositiveandlessthan1.0,andputoptionratiosmustbenegative,withasmallerabsolutevaluethan1.0.
19.Ahedgeratioforacallisalways
A)equaltoone.
B)greaterthanone.
C)betweenzeroandone
D)betweenminusoneandzero.
E)ofnorestrictedvalue
Answer:CDifficulty:Moderate
Rationale:Seerationalefortestbankquestion21.18.
20.Ahedgeratioforaputisalways
A)equaltoone.
B)greaterthanone.
C)betweenzeroandone
D)betweenminusoneandzero.
E)ofnorestrictedvalue
Answer:DDifficulty:Moderate
Rationale:Seerationalefortestbankquestion21.18.
21.Thedollarchangeinthevalueofastockcalloptionisalways
A)lowerthanthedollarchangeinthevalueofthestock.
B)higherthanthedollarchangeinthevalueofthestock.
C)negativelycorrelatedwiththechangeinthevalueofthestock.
D)BandC.
E)AandC.
Answer:ADifficulty:Moderate
Rationale:Theslopeofthecalloptionvaluationfunctionislessthanone.
22.Thepercentagechangeinthestockcalloptionpricedividedbythepercentagechangein
thestockpriceiscalled
A)theelasticityoftheoption.
B)thedeltaoftheoption.
C)thethetaoftheoption.
D)thegammaoftheoption.
E)noneoftheabove.
Answer:ADifficulty:Moderate
Rationale:Optionpriceelasticitymeasuresthepercentchangeintheoptionpriceasafunctionofthepercentchangeinthestockprice.
23.Theelasticityofastockcalloptionisalways
A)greaterthanone.
B)smallerthanone.
C)negative.
D)infinite.
E)noneoftheabove.
Answer:ADifficulty:Moderate
Rationale:Optionpricesaremuchmorevolatilethanstockprices,asoptionpremiumsaremuchlowerthanstockprices.
24.Theelasticityofastockputoptionisalways
A)positive.
B)smallerthanone.
C)negative
D)infinite
E)noneoftheabove.
Answer:CDifficulty:Moderate
Rationale:Asputoptionsbecomemorevaluableasstockpricesdecline,theelasticityof
aputoptionmustbenegative.
25.PortfolioAconsistsof150sharesofstockand300callsonthatstock.PortfolioB
consistsof575sharesofstock.Thecalldeltais0.7.Whichportfoliohasahigherdollarexposuretoachangeinstockprice?
A)PortfolioB
B)PortfolioA
C)Thetwoportfolioshavethesameexposure
D)AifthestockpriceincreasesandBifitdecreases.
E)BifthestockpricedecreasesandAifitincreases.
Answer:ADifficulty:Difficult
Rationale:300calls(0.7)=210shares+150shares=360shares;575shares=575shares.
26.PortfolioAconsistsof500sharesofstockand500callsonthatstock.PortfolioB
consistsof800sharesofstock.Thecalldeltais0.6.Whichportfoliohasahigherdollarexposuretoachangeinstockprice?
A)PortfolioB
B)PortfolioA
C)Thetwoportfolioshavethesameexposure
D)AifthestockpriceincreasesandBifitdecreases.
E)BifthestockpricedecreasesandAifitincreases.
Answer:CDifficulty:Difficult
Rationale:500calls(0.6)=300shares+500shares=800shares;800shares=800shares.
27.PortfolioAconsistsof400sharesofstockand400callsonthatstock.PortfolioB
consistsof500sharesofstock.Thecalldeltais0.5.Whichportfoliohasahigherdollarexposuretoachangeinstockprice?
A)PortfolioB
B)PortfolioA
C)Thetwoportfolioshavethesameexposure
D)AifthestockpriceincreasesandBifitdecreases.
E)BifthestockpricedecreasesandAifitincreases.
Answer:BDifficulty:Difficult
Rationale:400calls(0.5)=200shares+400shares=600shares;500shares=500shares.
28.PortfolioAconsistsof600sharesofstockand300callsonthatstock.PortfolioB
consistsof685sharesofstock.Thecalldeltais0.3.Whichportfoliohasahigherdollarexposuretoachangeinstockprice?
A)PortfolioB
B)PortfolioA
C)Thetwoportfolioshavethesameexposure
D)AifthestockpriceincreasesandBifitdecreases.
E)BifthestockpricedecreasesandAifitincreases.
Answer:BDifficulty:Difficult
Rationale:300calls(0.3)=90shares+600shares=690shares;685shares=685
shares.
29.Aportfolioconsistsof100sharesofstockand1500callsonthatstock.Ifthehedge
ratioforthecallis0.7,whatwouldbethedollarchangeinthevalueoftheportfolioinresponsetoaonedollardeclineinthestockprice?
A)+$700
B)+$500
C)-$1,150
D)-$520
E)noneoftheabove
Answer:CDifficulty:Difficult
Rationale:-$100+[-$1,500(0.7)]=-$1,150.
30.Aportfolioconsistsof800sharesofstockand100callsonthatstock.Ifthehedgeratio
forthecallis0.5.Whatwouldbethedollarchangeinthevalueoftheportfolioin
responsetoaonedollardeclineinthestockprice?
A)+$700
B)-$850
C)-$580
D)-$520
E)noneoftheabove
Answer:BDifficulty:Difficult
Rationale:-$800+[-$100(0.5)]=-$850.
31.Aportfolioconsistsof225sharesofstockand300callsonthatstock.Ifthehedgeratio
forthecallis0.4,whatwouldbethedollarchangeinthevalueoftheportfolioin
responsetoaonedollardeclineinthestockprice?
A)-$345
B)+$500
C)-$580
D)-$520
E)noneoftheabove
Answer:ADifficulty:Difficult
Rationale:-$225+[-$300(0.4)]=-$345.
32.Aportfolioconsistsof400sharesofstockand200callsonthatstock.Ifthehedgeratio
forthecallis0.6,whatwouldbethedollarchangeinthevalueoftheportfolioin
responsetoaonedollardeclineinthestockprice?
A)+$700
B)+$500
C)-$580
D)-$520
E)noneoftheabove
Answer:DDifficulty:Difficult
Rationale:-$400+[-$200(0.6)]=-$520.
33.Ifthehedgeratioforastockcallis0.30,thehedgeratioforaputwiththesame
expirationdateandexercisepriceasthecallwouldbe________.
A)0.70
B)0.30
C)-0.70
D)-0.30
E)-.17
Answer:CDifficulty:Difficult
Rationale:Callhedgeratio=N(d1);Puthedgeratio=N(d1)-1;0.3-1.0=-0.7.
34.Ifthehedgeratioforastockcallis0.50,thehedgeratioforaputwiththesame
expirationdateandexercisepriceasthecallwouldbe________.
A)0.30
B)0.50
C)-0.60
D)-0.50
E)-.17
Answer:DDifficulty:Difficult
Rationale:Callhedgeratio=N(d1);Puthedgeratio=N(d1)-1;0.5-1.0=-0.5.
35.Ifthehedgeratioforastockcallis0.60,thehedgeratioforaputwiththesame
expirationdateandexercisepriceasthecallwouldbe_______.
A)0.60
B)0.40
C)-0.60
D)-0.40
E)-.17
Answer:DDifficulty:Difficult
Rationale:Callhedgeratio=N(d1);Puthedgeratio=N(d1)-1;0.6-1.0=-0.4.
36.Ifthehedgeratioforastockcallis0.70,thehedgeratioforaputwiththesame
expirationdateandexercisepriceasthecallwouldbe_______.
A)0.70
B)0.30
C)-0.70
D)-0.30
E)-.17
Answer:DDifficulty:Difficult
Rationale:Callhedgeratio=N(d1);Puthedgeratio=N(d1)-1;0.7-1.0=-0.3.
37.Aputoptioniscurrentlysellingfor$6withanexercisepriceof$50.Ifthehedgeratio
fortheputis-0.30andthestockiscurrentlysellingfor$46,whatistheelasticityoftheput?
A)2.76
B)2.30
C)-7.67
D)-2.76
E)-2.30
Answer:EDifficulty:Difficult
Rationale:%stockpricechange=($47-$46)/$46=0.021739;%optionpricechange=$5.70-$6.00)/$6=-0.05;-0.05/0.021739=-2.30.
38.AputoptionontheS&P500indexwillbestprotect________
A)aportfolioof100sharesofIBMstock.
B)aportfolioof50bonds.
C)aportfoliothatcorrespondstotheS&P500.
D)aportfolioof50sharesofAT&Tand50sharesofXeroxstocks.
E)aportfoliothatreplicatestheDow.
Answer:CDifficulty:Easy
Rationale:TheS&P500indexismorelikeaportfoliothatcorrespondstotheS&P500andthusismoreprotectiveofsuchaportfoliothanofanyoftheotherassets.
39.Higherdividendpayoutpolicieshavea__________impactonthevalueofthecalland
a__________impactonthevalueoftheput.
A)negative,negative
B)positive,positive
C)positive,negative
D)negative,positive
E)zero,zero
Answer:DDifficulty:Moderate
Rationale:Dividendslowertheexpectedstockprice,andthuslowerthecurrentcalloptionvalueandincreasethecurrentputoptionvalue.
40.Lowerdividendpayoutpolicieshavea__________impactonthevalueofthecalland
a__________impactonthevalueoftheput.
A)negative,negative
B)positive,positive
C)positive,negative
D)negative,positive
E)zero,zero
Answer:CDifficulty:Moderate
Rationale:Dividendslowertheexpectedstockprice,andthuslowerthecurrentcalloptionvalueandincreasethecurrentputoptionvalue.
41.Aonedollardecreaseinacalloption'sexercisepricewouldresultina(n)__________
inthecalloption'svalueof__________onedollar.
A)increase,morethan
B)decrease,morethan
C)decrease,lessthan
D)increase,lessthan
E)increase,exactly
Answer:DDifficulty:Moderate
Rationale:Optionpricesarelessthanstockprices,thuschangesinstockprices(marketorexercise)aregreater(inabsoluteterms)thanarechangesinpricesofoptions.
42.Whichoneofthefollowingvariablesinfluencesthevalueofcalloptions?
I)Levelofinterestrates.
II)Timetoexpirationoftheoption.
III)Dividendyieldofunderlyingstock.
IV)Stockpricevolatility.
A)IandIVonly.
B)IIandIIIonly.
C)I,II,andIVonly.
D)I,II,III,andIV.
E)I,IIandIIIonly.
Answer:DDifficulty:Moderate
Rationale:Alloftheabovevariablesaffectcalloptionprices.
43.Whichoneofthefollowingvariablesinfluencesthevalueofputoptions?
I)Levelofinterestrates.
II)Timetoexpirationoftheoption.
III)Dividendyieldofunderlyingstock.
IV)Stockpricevolatility.
A)IandIVonly.
B)IIandIIIonly.
C)I,II,andIVonly.
D)I,II,III,andIV.
E)I,IIandIIIonly.
Answer:DDifficulty:Moderate
Rationale:Alloftheabovevariablesaffectputoptionprices.
44.AnAmericancalloptionbuyeronanon-dividendpayingstockwill
A)alwaysexercisethecallassoonasitisinthemoney.
B)onlyexercisethecallwhenthestockpriceexceedstheprevioushigh
C)neverexercisethecallearly.
D)buyanoffsettingputwheneverthestockpricedropsbelowthestrikeprice.
E)noneoftheabove.
Answer:CDifficulty:Moderate
Rationale:AnAmericancalloptionbuyerwillnotexerciseearlyifthestockdoesnotpaydividends;exercisingforfeitsthetimevalue.Rather,theoptionbuyerwillselltheoptiontocollectboththeintrinsicvalueandthetimevalue.
45.RelativetoEuropeanputs,otherwiseidenticalAmericanputoptions
A)arelessvaluable.
B)aremorevaluable.
C)areequalinvalue.
D)willalwaysbeexercisedearlier.
E)noneoftheabove.
Answer:BDifficulty:Moderate
Rationale:Itisvaluabletoexerciseaputoptionearlyifthestockdropsbelowa
thresholdprice;thusAmericanputsshouldsellformorethanEuropeanputs.
46.Usethetwo-stateputoptionvalueinthisproblem.SO=$100;X=$120;thetwo
possibilitiesforSTare$150and$80.TherangeofPacrossthetwostatesis_____;thehedgeratiois_______.
A)$0and$40;-4/7
B)$0and$50;+4/7
C)$0and$40;+4/7
D)$0and$50;-4/7
E)$20and$40;+1/2
Answer:ADifficulty:Difficult
Rationale:WhenST=$150;P=$0;whenST=$80:P=$40;($0-$40)/($150-$80)=-4/7.
47.UsetheBlack-ScholesOptionPricingModelforthefollowingproblem.Given:SO=
$70;X=$70;T=70days;r=0.06annually(0.0001648daily);σ=0.020506(daily).
Nodividendswillbepaidbeforeoptionexpires.Thevalueofthecalloptionis
_______.
A)$10.16.
B)$5.16.
C)$0.00.
D)$2.16.
E)noneoftheabove.
Answer:BDifficulty:Difficult
Rationale:d2=0.1530277-(0.020506)(70)1/2=-0.01853781;N(d1)=0.5600;N(d2)=0.4919;C=0.5600($70)-$70[e-(0.0001648)(70)]0.4919=$5.16.
48.EmpiricaltestsoftheBlack-Scholesoptionpricingmodel
A)showthatthemodelgeneratesvaluesfairlyclosetothepricesatwhichoptions
trade.
B)showthatthemodeltendstoovervaluedeepinthemoneycallsandundervalue
deepoutofthemoneycalls.
C)indicatethatthemispricingthatdoesoccurisduetothepossibleearlyexerciseof
Americanoptionsondividend-payingstocks.
D)AandC.
E)A,B,andC.
Answer:DDifficulty:Difficult
Rationale:Studieshaveshownthatthemodeltendstoundervaluedeepinthemoneycallsandtoovervaluedeepoutofthemoneycalls.Theotherstatementsaretrue.
49.Optionssellerswhoaredelta-hedgingwouldmostlikely
A)sellwhenmarketsarefalling
B)buywhenmarketsarerising
C)bothAandB.
D)sellwhethermarketsarefallingorrising.
E)buywhethermarketsarefallingorrising.
Answer:CDifficulty:Moderate
Usethefollowingtoanswerquestions50-54:
AnAmerican-stylecalloptionwithsixmonthstomaturityhasastrikepriceof$35.Theunderlyingstocknowsellsfor$43.Thecallpremiumis$12.
50.Whatistheintrinsicvalueofthecall?
A)$12
B)$8
C)$0
D)$23
E)noneoftheabove.
Answer:BDifficulty:Easy
Rationale:43-35=$8.
51.Whatisthetimevalueofthecall?
A)$8
B)$12
C)$0
D)$4
E)cannotbedeterminedwithoutmoreinformation.
Answer:DDifficulty:Moderate
Rationale:12-(43-35)=$4.
52.Iftheoptionhasdeltaof.5,whatisitselasticity?
A)4.17
B)2.32
C)1.79
D)0.5
E)1.5
Answer:CDifficulty:Difficult
Rationale:[(12.50-12)/12]/[(44-43)/43]=1.79.
53.Iftherisk-freerateis6%,whatshouldbethevalueofaputoptiononthesamestock
withthesamestrikepriceandexpirationdate?
A)$3.00
B)$2.02
C)$12.00
D)$5.25
E)$8.00
Answer:ADifficulty:Difficult
Rationale:P=12-43+35/(1.06).5;P=$3.00
54.Ifthecompanyunexpectedlyannouncesitwillpayitsfirst-everdividend3monthsfrom
today,youwouldexpectthat
A)thecallpricewouldincrease.
B)thecallpricewoulddecrease.
C)thecallpricewouldnotchange.
D)theputpricewoulddecrease.
E)theputpricewouldnotchange.
Answer:BDifficulty:Moderate
Rationale:Asanapproximation,subtractthepresentvalueofthedividendfromthestockpriceandrecomputetheBlack-Scholesvaluewiththisadjustedstockprice.Sincethestockpriceislower,theoptionvaluewillbelower.
55.Sincedeltaschangeasstockvalueschange,portfoliohedgeratiosmustbeconstantly
updatedinactivemarkets.Thisprocessisreferredtoas
A)portfolioinsurance.
B)rebalancing.
C)optionelasticity.
D)gammahedging.
E)dynamichedging.
Answer:EDifficulty:Moderate
Rationale:Dynamichedgerswillconvertequityintocashinmarketdeclinestoadjustforchangesinoptiondeltas.
56.Involatilemarkets,dynamichedgingmaybedifficulttoimplementbecause
A)pricesmovetooquicklyforeffectiverebalancing.
B)asvolatilityincreases,historicaldeltasaretoolow.
C)pricequotesmaybedelayedsothatcorrecthedgeratioscannotbecomputed.
D)volatilemarketsmaycausetradinghalts.
E)alloftheabove.
Answer:EDifficulty:Easy
Rationale:Alloftheabovecorrectlydescribetheproblemsassociatedwithdynamichedginginvolatilemarkets.
57.Rubinstein(1994)observedthattheperformanceoftheBlack-Scholesmodelhad
deterioratedinrecentyears,andheattributedthisto
A)investorfearsofanothermarketcrash.
B)higherthannormaldividendpayouts.
C)earlyexerciseofAmericancalloptions.
D)decreasesintransactioncosts.
E)noneoftheabove.
Answer:ADifficulty:Moderate
Rationale:Optionsonthesamestockwiththesamestrike
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