金融衍生工具测试题 (10)

Test Bank: Chapter 10

Properties of Stock Options

1.Which of the following are always positively related to the price of a European

call option on a stock (circle three)

(a)The stock price

(b)The strike price

(c)The time to expiration

(d)The volatility

(e)The risk-free rate

(f)The magnitude of dividends anticipated during the life of the option

2.What, to the nearest cent, is the lower bound for the price of a two-year European

call option on a stock when the stock price is $20, the strike price is $15, and the risk-free interest rate with continuous compounding is 5% and there are no

dividends? _ _ _ _ _ _

3.What is the answer to question 2 if the option is American? _ _ _ _ _ _

4.What, to the nearest cent, is the lower bound for the price of a six-month

European put option on a stock when the stock price is $40, the strike price is $46 and the risk-free interest rate with continuous compounding is 6%? _ _ _ _ _ _

5.What is the answer to question 4 if the option is American? _ _ _ _ _ _

6.The price of a European call option on a non-dividend-paying stock with a strike

price of $50 is $6. The stock price is $51, the continuously compounded risk-free rate (all maturities) is 6% and the time to maturity is one year. What, to the nearest cent, is the price of a one-year European put option on the stock with a strike price of $50? _ _ _ _ _ _

7.What is the answer to question 6 if a dividend of $1 is expected in six months?

_ _ _ _ _ _

8. A call and a put on a stock have the same strike price and time to maturity. At

10:00am on a certain day, the price of the call is $3 and the price of the put is $4.

At 10:01am news reaches the market that has no effect on the stock price or

interest rates, but increases volatilities. As a result the price of the call changes to $4.50. What would you expect the price of the put to change to? _ _ _ _ _ _