Lernkarten

Karten 17 Karten
Lernende 1 Lernende
Sprache Italiano
Stufe Universität
Erstellt / Aktualisiert 01.01.2018 / 01.01.2018
Lizenzierung Keine Angabe
Weblink
Einbinden
0 Exakte Antworten 0 Text Antworten 17 Multiple Choice Antworten
Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen
  1. 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

Fenster schliessen

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