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题目 It may be attractive to exercise an American put option prior to expiration when the underlying stock price is: 选项 A.close to the strike price and risk-free rates are positive. B.above the [...]

题目 What are the minimum values of an American-style and a European-style 3-month call option with a strike price of $80 on a non-dividend-paying stock trading at $86 if the risk-free rate is 3%? [...]

题目 An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of [...]

题目 SCU stock is currently priced at $106 per share, and the risk-free interest rate is 3.25%. Assuming that SCU does not pay any dividends, what is the lower bound of an American put option on [...]

题目 Joe Brocato is currently following two stocks in the pharmaceutical industry: ABC and XYZ. He is bullish on ABC, but bearish on XYZ. ABC is currently priced at $53.60 and XYZ is currently [...]

题目 The payoff on a calendar spread is most similar to which of the following option strategies? 选项 A.Bull spread B.Bear spread C.Long straddle D.Butterfly spread 答案 D 解析 A calendar [...]

题目 You are looking at two options on a non-dividend paying stock that are identical in all respects except one is a European put and the other is a European call option. If the assumed volatility [...]

题目 An investor buys a stock for $40 per share and simultaneously sells a call option on the stock with an exercise price of $42 for a premium of $3 per share. Ignoring dividends and transaction [...]

题目 Which portfolio will create a bull spread? 选项 A.Buy a put with a strike price of 32 and buy a call with a strike price of 25. B.Buy a put with a strike price of 25 and sell a call with a [...]

题目 Consider a 1-year European call option with a strike price of $27.50 that is currently valued at $4.10 on a $25 stock. The 1-year risk-free rate is 6% compounded annually. Which of the [...]