超星 - 第十三周作业

单选题

The current stock price of a share is USD 100.00, and the continuously compounding risk-free rate is 12% per year. If the strike price for all options is USD 90.00, what are the maximum possible prices for a 3-month European call option, American call option, European put option, and American put option?

A. 97.04, 97.04, 87.34, 87.34
B. 97.04, 100.00, 90.00, 90.00
C. 100.00, 100.00, 87.34, 90.00
D. 100.00, 100.00, 90.00, 90.00

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单选题

Which of the following statements is correct about the early exercise of American options?

A. It is always optimal to exercise an American call option on a non-dividend-paying stock before the expiration date.
B. It can be optimal to exercise an American put option on a non-dividend-paying stock early.
C. It can be optimal to exercise an American call option on a non-dividend-paying stock early.
D. It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.

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单选题

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%?

American:＄6.00.European: ＄6.00
B. American:＄5.96.European: ＄6.00
C. American:＄6.00.European: ＄6.59
D. American:＄6.59.European: ＄6.59

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单选题

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 SCU that expires in three months and has an exercise price of ＄l10?

A. ＄0
B. ＄0.48
C. ＄3.11
D. ＄4.00

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单选题

With respect to option strategies, the shape of the graph that illustrates both the value at expiration and profit for selling a put is most in shape to the graph for:

A. selling a call.
B. buying a call.
C. a covered call position.
D. a protective put position.

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单选题

Based on put–call parity for European options, a synthetic put is most likely equivalent to a:

A. short call, long underlying asset, short bond.
B. long call, short underlying asset, long bond.
C. long call, long underlying asset, short bond.

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单选题

An investor purchases ABC stock at ＄71 per share and executes a protective put strategy. The put option used in the strategy has a strike price of ＄66, expires in two months, and is purchased for ＄1.45. At expiration, the protective put strategy breaks even when the price of ABC is closest to:

A. ＄64.55.
B. ＄67.45.
C. ＄72.45.

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单选题

According to put-call parity, if a fiduciary call expires in the money, the payoff is most likely equal to the:

A. face value of the risk-free bond.
B. difference between the market value of the asset and the face value of the risk-free bond.
C. market value of the asset.

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单选题

According to put–call–forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between:

A. forward price and spot price discounted at the risk- free rate.
B. spot price and exercise price discounted at the risk- free rate.
C. exercise price and forward price discounted at the risk- free rate.

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单选题

Which of the following statements best describes put–call parity?

A. The put price always equals the call price.
B. The put price equals the call price if the volatility is known.
C. The put price plus the underlying price equals the call price plus the present value of the exercise price.

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