超星 - 第十三周作业

单选题

An at-the-money American call option on a stock that pays no dividends has three months remaining until expiration. The market value of the option will most likely be:

A. less than its exercise value.
B. equal to its exercise value.
C. greater than its exercise value.

单选题

Compare an American call with a strike of 50 which expires in 90 days to an American call on the same underlying asset which has a strike of 60 and expires in 120 days. The underlying asset is selling at 55. Consider the following statements:Statement1: "The 50 strike call is in-the-money and the 60 strike call is out-of-the-money."Statement 2: "The time value of the 60 strike call, as a proportion of the 60 strike call's premium, exceeds the time value of the 50 strike call as a proportion of the 50 strike call's premium."Are the statements most likely correct or incorrect?

A. Both statements are correct
B. Statement 1 is incorrect, but Statement 2 is correct
C. Statement 1 is correct, but Statement 2 is incorrect

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单选题

With respect to American calls, which of the following statements is most accurate?

American calls should be exercised early if the underlying has reached its expected maximum price.
B. American calls should be exercised early if the underlying has a lower expected return than the risk- free rate.
C. American calls should be exercised early only if there is a dividend or other cash payment on the underlying.

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单选题

The effect of dividends on a stock on early exercise of a put is to:

A. make early exercise less likely.
B. have no effect on early exercise.
C. make early exercise more likely.

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单选题

Prior to expiration, the maximum value of an Americana call option and an American put option, respectively, is closest to the: American call option ?American put option?

A. Exercise price, Exercise price
B. Exercise price, Underlying price
C. Underlying price, Exercise price
D. Underlying price, Underlying price

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单选题

An investor is long an in-the-money American call option. Would this option most likely ever be exercised early?

A. No.
B. Yes, if its time value is high enough.
C. Yes, if it pays a high enough dividend.

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单选题

Which statement best describes the early exercise of American options? Early exercise may be advantageous for:

A. both deep-in-the-money calls and deep-in-the-money puts.
B. deep-in-the-money puts.
C. deep-in-the-money calls.

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单选题

For a stock that pays no dividends, the value of an American call option is most likely:

A. the same as the value of a European call option with otherwise identical features.
B. greater than the value of a European call option with otherwise identical features.
C. less than the value of a European call option with otherwise identical features.

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单选题

Which of the following statements best describes a feature of an American option? Early exercise of an American:

A. put option is optimal only if the underlying is dividend paying.
B. call option is never optimal if the underlying is dividend paying.
C. put option that is deep in the money may be optimal.

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单选题

Consider an American call option and an American put option, each with 3 months to maturity, written on a non-dividend-paying stock currently priced at USD 40. The strike price for both options is USD 35.00 and the risk-free rate is 1.5%. What are the lower and upper bounds on the difference between the prices of the call and put options?

A. Lower Bound (USD): 0.13. Upper Bound (USD): 34.87
B. Lower Bound (USD): 5.00. Upper Bound (USD): 5.13
C. Lower Bound (USD): 5.13. Upper Bound (USD): 40.00
D. Lower Bound (USD): 34.87. Upper Bound (USD): 40.00

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