chapter3金融工程

1nÙGeneral Properties of

Options

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1.The lower bound for the price of a six-month call option on a non-dividend-paying

stock when the stock price is$80,the strike price is$75,and the risk-free interest rate is10%per annum is$.

2.There are six factors affecting the price of a stock option:the current stock price,the

strike price,,,,and.

3.What do the following notation mean?K:,T:,C:.

4.The value of a call option is related to the size of any anticipated divi-

dends,and the value of a put option is related to the size of any anticipated dividends.

5.The portfolio consists of a long position in a stock plus a short position in a call

option.This is known as.

6.The investment strategy involves buying a put option on a stock and the stock itself.It

is often referred to as a.

7.A bull spread can be created by buying a on a stock with a certain strike

price and sell a.

8.An investor who enters into a bull spread is hoping that the stock price will.

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1

21nÙGENERAL PROPERTIES OF OPTIONS

1.Both put and call American options become more valuable as the time to expiration()

D.stays the same

A.increases

B.declines

C.becomes differ-

ent

2.As interest rates in the economy increase,the expected return required by investors

from the stock tends to()

D.stays the same

A.increases

B.declines

C.becomes differ-

ent

3.As volatility increases,the chance that the stock will do very well or very poorly()

D.increases

A.stays the same

B.declines

C.becomes differ-

ent

4.An investor who enters into a bear spread is hoping that the stock price will()

A.increase

B.be the same

C.be different

D.decline

5.How many strike prices dose a butterfly spread involve?()

A.two

B.one

C.four

D.three

6.The spread in which the options have the same strike price and different expiration

dates is called()

A.calendar spreads

B.box spreads

C.butterfly spreads

D.fly spreads

7.One popular combination which involves buying a call and put with the same strike

price and expiration date is called()

A.a call option

B.a put option

C.a straddle

D.a short position

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1.Call options become more valuable as the stock price increase and less valuable as

the strike price increases.()

2.Call options become less valuable as the stock price increase and more valuable as

the strike price increases.()

3.Put options become more valuable as the stock price increase and less valuable as

the strike price increases.()