Cartes mémoires FO MPC

Cartes-fiches	17
Langue	Italiano
Catégorie	Géographie
Niveau	Université
Crée / Actualisé	01.01.2018 / 01.01.2018
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When dividends increase with all else remaining the same, which of the following is true?

A. Both calls and puts increase in value

B. Both calls and puts decrease in value

C. Calls increase in value while puts decrease in value

D. Puts increase in value while calls decrease in value

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Both calls and puts increase in value

B. Both calls and puts decrease in value

C. Calls increase in value while puts decrease in value

D. Puts increase in value while calls decrease in value

Which of the following is true when dividends are expected?

A. Put-call parity does not hold

B. The basic put-call parity formula can be adjusted by subtracting the present value of expected dividends from the stock price

C. The basic put-call parity formula can be adjusted by adding the present value of expected dividends to the stock price

D. The basic put-call parity formula can be adjusted by subtracting the dividend yield from the interest rate

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Put-call parity does not hold

B. The basic put-call parity formula can be adjusted by subtracting the present value of expected dividends from the stock price

C. The basic put-call parity formula can be adjusted by adding the present value of expected dividends to the stock price

D. The basic put-call parity formula can be adjusted by subtracting the dividend yield from the interest rate

Which of the following can be used to create a long position in a European put option on a stock?

A. Buy a call option on the stock and buy the stock

B. Buy a call on the stock and short the stock

C. Sell a call option on the stock and buy the stock

D. Sell a call option on the stock and sell the stock

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Buy a call option on the stock and buy the stock

B. Buy a call on the stock and short the stock

C. Sell a call option on the stock and buy the stock

D. Sell a call option on the stock and sell the stock

How can a strip trading strategy be created?

A. Buy one call and one put with the same strike price and same expiration date

B. Buy one call and one put with different strike prices and same expiration date

C. Buy one call and two puts with the same strike price and expiration date

D. Buy two calls and one put with the same strike price and expiration date

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Buy one call and one put with the same strike price and same expiration date

B. Buy one call and one put with different strike prices and same expiration date

C. Buy one call and two puts with the same strike price and expiration date

D. Buy two calls and one put with the same strike price and expiration date

Which of the following describes a protective put?

A. A long put option on a stock plus a long position in the stock

B. A long put option on a stock plus a short position in the stock

C. A short put option on a stock plus a short call option on the stock

D. A short put option on a stock plus a long position in the stock

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. A long put option on a stock plus a long position in the stock

B. A long put option on a stock plus a short position in the stock

C. A short put option on a stock plus a short call option on the stock

D. A short put option on a stock plus a long position in the stock

Which of the following describes a covered call?

A. A long call option on a stock plus a long position in the stock

B. A long call option on a stock plus a short put option on the stock

C. A short call option on a stock plus a short position in the stock

D. A short call option on a stock plus a long position in the stock

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. A long call option on a stock plus a long position in the stock

B. A long call option on a stock plus a short put option on the stock

C. A short call option on a stock plus a short position in the stock

D. A short call option on a stock plus a long position in the stock

How can a strangle trading strategy be created?

A. Buy one call and one put with the same strike price and same expiration date

B. Buy one call and one put with different strike prices and same expiration date

C. Buy one call and two puts with the same strike price and expiration date

D. Buy two calls and one put with the same strike price and expiration date

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Buy one call and one put with the same strike price and same expiration date

B. Buy one call and one put with different strike prices and same expiration date

C. Buy one call and two puts with the same strike price and expiration date

D. Buy two calls and one put with the same strike price and expiration date

Which of the following is correct?

A. A diagonal spread can be created by buying a call and selling a put when the strike prices are the same and the times to maturity are different

B. A diagonal spread can be created by buying a put and selling a call when the strike prices are the same and the times to maturity are different

C. A diagonal spread can be created by buying a call and selling a call when the strike prices are different and the times to maturity are different

D. A diagonal spread can be created by buying a call and selling a call when the strike prices are the same and the times to maturity are different

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. A diagonal spread can be created by buying a call and selling a put when the strike prices are the same and the times to maturity are different

B. A diagonal spread can be created by buying a put and selling a call when the strike prices are the same and the times to maturity are different

C. A diagonal spread can be created by buying a call and selling a call when the strike prices are different and the times to maturity are different

D. A diagonal spread can be created by buying a call and selling a call when the strike prices are the same and the times to maturity are different

Which of the following is correct?

A. A calendar spread can be created by buying a call and selling a put when the strike prices are the same and the times to maturity are different

B. A calendar spread can be created by buying a put and selling a call when the strike prices are the same and the times to maturity are different

C. A calendar spread can be created by buying a call and selling a call when the strike prices are different and the times to maturity are different

D. A calendar spread can be created by buying a call and selling a call when the strike prices are the same and the times to maturity are different

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. A calendar spread can be created by buying a call and selling a put when the strike prices are the same and the times to maturity are different

B. A calendar spread can be created by buying a put and selling a call when the strike prices are the same and the times to maturity are different

C. A calendar spread can be created by buying a call and selling a call when the strike prices are different and the times to maturity are different

D. A calendar spread can be created by buying a call and selling a call when the strike prices are the same and the times to maturity are different

Which of the following is NOT true?

A. Risk-neutral valuation provides prices that are only correct in a world where investors are risk-neutral

B. Options can be valued based on the assumption that investors are risk neutral

C. In risk-neutral valuation the expected return on all investment assets is set equal to the risk-free rate

D. In risk-neutral valuation the risk-free rate is used to discount expected cash flows

Commandes clavier:

= tourner,

= avant/arrière,

= faire défiler

A. Risk-neutral valuation provides prices that are only correct in a world where investors are risk-neutral

B. Options can be valued based on the assumption that investors are risk neutral

C. In risk-neutral valuation the expected return on all investment assets is set equal to the risk-free rate

D. In risk-neutral valuation the risk-free rate is used to discount expected cash flows

Which of the following describes delta?

A The ratio of the option price to the stock price

B The ratio of the stock price to the option price

C.. The ratio of a change in the option price to the corresponding change in the stock price

D. The ratio of a change in the stock price to the corresponding change in the option price

A The ratio of the option price to the stock price

B The ratio of the stock price to the option price

C.. The ratio of a change in the option price to the corresponding change in the stock price

D. The ratio of a change in the stock price to the corresponding change in the option price

Which of the following is assumed by the Black-Scholes-Merton model?

A. The return from the stock in a short period of time is lognormal

B. The stock price at a future time is lognormal

C. The stock price at a future time is normal

D. None of the above

A. The return from the stock in a short period of time is lognormal

B. The stock price at a future time is lognormal

C. The stock price at a future time is normal

D. None of the above

What does N(x) denote?

A. The area under a normal distribution from zero to x

B. The area under a normal distribution up to x

C. The area under a normal distribution beyond x

D. The area under the normal distribution between -x and x

A. The area under a normal distribution from zero to x

B. The area under a normal distribution up to x

C. The area under a normal distribution beyond x

D. The area under the normal distribution between -x and x

What was the original Black-Scholes-Merton model designed to value?

a. A European option on a stock providing no dividends

b. A European or American option on a stock providing no dividends

c. A European option on any stock

d. A European or American option on any stock

a. A European option on a stock providing no dividends

b. A European or American option on a stock providing no dividends

c. A European option on any stock

d. A European or American option on any stock

When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true?

a. The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased

b. The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

c. Either A or B can be true

d. The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

a. The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased

b. The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

c. Either A or B can be true

d. The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

32 When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true?

a The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased

b The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

c Either A or B can be true

d The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

a The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased

b The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

c Either A or B can be true

d The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

What does rho measure?

A. The rate of change of delta with the asset price

B. The rate of change of the portfolio value with the passage of time

C. The sensitivity of a portfolio value to interest rate changes

D. None of the above

A. The rate of change of delta with the asset price

B. The rate of change of the portfolio value with the passage of time

C. The sensitivity of a portfolio value to interest rate changes

D. None of the above

FO MPC

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