题目内容

A European call option on a non-dividend paying stock with a strike price of ＄25.00 expires in 3 months. The underlying stock currently trades at ＄29.00. The risk-free rate is 5.00%. The lower bound for the European call is closest to:

A. ＄0.00.
B. ＄4.00.
C. ＄4.30.

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Prior to expiration, the lowest value of a European put option is the greater of zero or the:

A. exercise price minus the value of the underlying.
B. present value of the exercise price minus the value of the underlying.
C. value of the underlying minus the present value of the exercise price.

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Facebook (FB)'s current stock price is $75.89. A broker's market for the put option on the $80 strike expiring in 2 days is $3.75 bid at $4.00. Assuming no execution risk, what trade do you want to execute? Assume that the risk-free interest rate is 0%, FB does not issue dividends, and that there are no transaction costs.

A. Definitely buy $4.00
B. Need more information
C. Definitely sell $3.75
D. The market is fairly priced

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An investor purchases a put option on AAA shares that has a strike price of €50 and expires in three months. One month later, AAA shares are trading at €54. At that time, the put most likely has:

A. positive intrinsic value but no time value.
B. positive time value but no intrinsic value.
C. positive time value and positive intrinsic value.

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The loss in value of an option as it moves closer to expiration is called

A. Time value decay
B. Volatility diminution
C. Time value of money

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A European call option on a non-dividend paying stock with a strike price of ＄25.00 expires in 3 months. The underlying stock currently trades at ＄29.00. The risk-free rate is 5.00%. The lower bound for the European call is closest to:

A. ＄0.00. B. ＄4.00. C. ＄4.30.

Prior to expiration, the lowest value of a European put option is the greater of zero or the:

An investor purchases a put option on AAA shares that has a strike price of €50 and expires in three months. One month later, AAA shares are trading at €54. At that time, the put most likely has:

The loss in value of an option as it moves closer to expiration is called

A. ＄0.00.
B. ＄4.00.
C. ＄4.30.