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题目 Consider the following call option with 6-months till expiry. The strike price is $50, the current stock price is $55 and the value of the option is $5. What does this imply about the level of [...]

题目 Assume an underlying non-dividend-paying stock has a current price of $40.00 with volatility of 25.0% per annum while the risk-free rate is 4.0% per annum. The price of a six-month, [...]

题目 Which one of the following four trading strategies limits the investor's upside potential and downside risk? 选项 A.A long position in a put combined with a long position in a stock. B.A [...]

题目 On the OTC market there are two options available on Microsoft stock: a European put with premium of USD 2.25 and an American call option with premium of USD 0.46. Both options have a strike [...]

题目 Which of the following is the riskiest form of speculation using options contracts? 选项 A.Setting up a spread using call options B.Buying put options C.Writing naked call options D.Writing [...]

题目 The payoff pattern of a PROTECTIVE PUT is most similar to the payoff pattern of: 选项 A.Long forward position B.Short forward position C.Long call option D.Short call option 答案 C 解析 [...]

题目 According to Put-Call parity, buying a put option on a stock is equivalent to: 选项 A.Buying a call option and buying the stock with funds borrowed at the risk-free rate. B.Selling a call [...]

题目 A 3 month European call option on DEF stock with a strike price of $50 is trading for $2.25. The risk free rate is 10%. The current stock price of DEF stock is $48. Calculate the value of a [...]

题目 Which of the followingfactors’ increment will make the American put option values increase? I Volatility II Dividends III StockPrice IV Timeto expiration 选项 A.I and III only B.II and IV [...]

题目 A 1-year forward contract on a stock with a forward price of USD 100 is available for USD 1.50. The table below lists the prices of some barrier option on the same stock with a maturity of 1 [...]