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17 Multiple Choice Antworten
- 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
- 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
- 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
- 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
- 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
- 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
- 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
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
