兹维博迪金融学第二版试题库

1、Chapter FifteenMarkets for Options and Contingent ClaimsThis chapter con tai ns 50 multiple choice questi on s, 15 short problems, and 9 Ion ger problems.Multiple Choice1. An option to buy a specified item at a fixed price is a(n); an option to sell is a(a) put; call(b) spot option, call(c) call; pu

2、t(d) put; spot optionAn swer: (c)2. A(n)option can be exercised up to and on the expiration date, whereas a(n)opti on can only be exercised on the expirati on date.(a) American-type; Bermudan-type(b) American-type; European-type(c) European-type; American-type(d) Bermudan-type; European-typeAn swer:

3、 (b)3. The differenee between exercise price and current stock price is the tangible value of anand the differe nee betwee n the curre nt stock price and exercise price is the tan gible value of an(a) out of the money put option; in the money call option(b) in the money put option; out of the money

4、call option(c) in the put money option; at the money call option(d) at the money put option; in the money put optionAn swer: (b)(a) exercise price is equal to the price of the underlying stock(b) current stock price is greater than its strike price(c) strike price is greater than the current stock p

5、rice(d) strike price is less than its current stock priceAnswer: (c)5. The time value of an option is (a) the difference between an option' s stock price and its tangible value(b) the difference between the current stock price and exercise price(c) the difference between the exercise price and t

6、he stock price(d) the difference between an option' s market price and its tangible valueAnswer: (d)6. The prices of puts are the higher the exercise price, and the prices of calls are thehigher is the exercise price.(a) lower; higher(b) higher; lower(c) lower; lower(d) higher; higherAnswer: (b)

7、Questions 7 through 10 refer to the following hypothetical information:Listi ng of LePlastrier Opti ons (symbol: LLB)(Prices listed are closi ng prices.)February 27, 2009CALLSStock Price on NYSEExercise PriceJanuaryFebruaryApril109.751073.3755.6257.125109.751100.6252.18754.875109.751130.1250.8752.37

8、5PUTSStock Price on NYSEExercise PriceJanuaryFebruaryApril109.751071.753.3755.875109.751103.6255.8757.375109.7511391011.757. What is the tan gible value of the April LLB 110 put?(a) 0(b) 0.25(c) 3.25(d) 7.375An swer: (b)8. What is the tan gible value of the February LLB 107 call?(a) 0(b) 5.625(c) -0

9、.75(d) 2.75An swer: (d)9. In what state is the January LLB 107 call?(a) in-the-money(b) out-of-the-money(c) at-the-money(d) zero stateAn swer: (a)10. In what state is the February LLB 113 put?(a) in-the-money(b) out-of-the-money(c) at-the-money(d) zero stateAn swer: (a)11. Which is the correct formu

10、la describing the put-call parity relation?E(a) S+C = ("77 + PE(b) S + P = + C rE(c)S + P =t +(1 + r )E(d) S + C = + P rAn swer: (c)12. A “ protectivput ” strategy is where one(a) buys a share of stock and a call option(b) buys a put option and a call option(c) buys a put option and a share of

11、stock(d) sells a put option and buys a call optionAn swer: (c)13. SPX options are effectively calls or puts on a hypothetical index fund that invests in a portfolio composed of the stocks that make up the S&P 500 index, each of the 500 companies .(a) equally represented with respect to the other

12、s(b) in proportion to the total value of its shares outstanding(c) in proportion to the trading volume of its shares(d) rotating on a proportional basis dependent on earningsAnswer: (b)14. The SPX contract specifies that if the call option is exercised, the owner of the options .(a) pays a cash sett

13、lement of $100 times the difference between the index value and the strike price(b) receives a cash payment of $100 times the difference between the index and tangible values(c) receives a cash payment of $100 times the difference between the index value and the strike price(d) receives a payment of

14、 index shares $100 times the difference between the index value and strike priceAnswer: (c)15. The stock of Deneuvre Ltd, currently lists for $370 a share, while one-year European call options on this stock with an exercise price of $150 sell for $290 and European put options with the same expiratio

15、n date and exercise price sell for $58.89. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a) 2.49%(b) 8.00%(c) 11.11%(d) 24.90%Answer: (b)16. The stock of Fellini Ltd, currently lists for $550 a share, while one-year European call options on this stock with an exercise pr

16、ice of $250 sell for $380 and European put options with the same expiration date and exercise price sell for $56.24. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a) 6.67%(b) 10.5%(c) 19.76%(d) 23.76%Answer: (b)17. Consider a stock that can take only one of two values a

17、year from now, either $250 or $90. Also consider a call option on the stock with an exercise price of $160 expiring in one year. At expiration, the call will pay either $90 if the stock price is $250 or it will pay nothing if the stock price is $90. Calculate the call option's hedge ratio.(a) 0.

18、3600(b) 0.4444(c) 0.5625(d) 0.6400Answer: (c)18. Consider a stock that can take only one of two values a year from now, either $320 or $130. Also, consider a call option on the stock with an exercise price of $200 expiring in one year. At expiration, the call will pay either $120 if the stock price

19、is $320 or it will pay nothing if the stock price if $130. The risk-free rate is 5% per year. Calculate the hedge ratio.(a) hedge ratio = 0.3750(b) hedge ratio = 0.4063(c) hedge ratio = 0.6000(d) hedge ratio = 0.6316Answer: (d)19. As one attempts to improve the two state model, we can further subdiv

20、ide time intervals into shorter increments and build the .(a) Binomial option pricing model(b) Black-Scholes model(c) Discrete model(d) a and bAnswer: (d)20. When the price of the underlying stock equals the , this reasoning leads to thesimplified Black-Scholes formula.(a) future; price of the call(

21、b) current; future value of the strike price(c) current; present value of the strike price(d) future; price of the putAnswer: (c)21. Which is the correct formula using Black-Scholes method for a European call option on a nondividend paying stock?(a) C = N(d1)S + N(d2)Ee-rT(b) C = N(d2)S + N(d1)Ee-rT

22、(c) C = N(di)s N(d2)Ee-rT(d) C = N(di)E -N(d2)SerTAnswer: (c)22. Use the Black-Scholes formula to find the value of a European call option on the following stock:Time to maturityStandard deviation Exercise price Stock price Interest rate6 months50 percent per year606010 percent per yearAssume it is

23、a non-dividend paying stock. The value of a call is .(a) $6.83(b) $9.76(c) $9.96(d) $14.36Answer: (b)23. Use the Black-Scholes formula to find the value of a European call option on the following nondividend paying stock:Time to maturityStandard deviation Exercise price Stock price Interest rate4 mo

24、nths45 percent per year656011 percent per year(a) $5.09(b) $7.75(c) $9.66(d) $11.43Answer: (a)24. The Black-Scholes formula has four parameters that are directly observable and one that is not. Which of the follow ing parameter is n ot directly observable?(a) exercise price(b) stock price(c) volatil

25、ity of the stock return(d) risk-free interest rateAn swer: (c)25. As a financial analyst at Dodgie Brothers investment house, you are asked by a client if she should purchase Europea n call opti ons on An gel Heart Ltd shares that are curre ntly selli ng in U.S. dollars for $45.00. The opti ons on A

26、n gel Heart Ltd have an exercise price of $65.00. The curre nt stock price for An gel Heart is $70 and the estimated rate of retur n varia nce of the stock is 0.09. If these opti ons expire in 35 days and the riskless in terest rate over the period is 6%, what should your clie nt do?(a) The call is

27、valued at $19.63; this is less than $70 and not worth buying.(b) The call is valued at $5.37; this is less than $45 and not worth buying.(c) The call is valued at $70; this is greater than $45 and worth buying.(d) The call is valued at $15; this is greater than $6 and worth buying.An swer: (b)26. Us

28、e the linear approximation of the Black-Scholes model to find the value of a European call option on the following stock:Time to maturity Stan dard deviati on Exercise price Stock priceIn terest rate6 mon ths0.3505010 perce nt per yearWhat is the discrepancy between the value obtained from the linea

29、r approximation and traditional Black-Scholes formula?(a) Lin ear approx = $3.01; Discrepa ncy = $1.0154(b) Lin ear approx = $4.24; Discrepa ncy = $1.2016(c) Linear approx = $3.01; Discrepancy = $1.2016(d) Lin ear approx = $4.76; Discrepa ncy = $1.2153An swer: (b)27. Use the Black-Scholes formula to

30、 find the value of a European call option and a European put option on the following stock:Time to maturity Standard deviation Exercise priceStock price Risk-free interest rate0.530% per year10010010 percent per yearAn swer: (d)The values are closest to:(a) Value of call = $16.73; Value of put = $7.

31、22(b) Value of call = $12.27; Value of put = $9.32(c) Value of call = $10.90; Value of put = $6.02(d) Value of call = $8.28; Value of put = $3.40(a) Value of call (b) Value of call (c) Value of call(d) Value of callAnswer: (c)28. Use the Black-Scholes formula to find the value of a European call opt

32、ion and a European put option on the following stock:Time to maturity0.5Standard deviationExercise priceStock priceRisk-free interest rate42% per year10011012 percent per yearThe values are closest to:$29.26; Value of put = $7.95$21.53; Value of put = $5.73$10.30; Value of put = $13.90$8.28; Value o

33、f put = $3.40Answer: (b)29. Call options become more valuable as the exercise price , as the stock price , asthe interest rate , and as the stock'_s_v.olatility (a) increases; increases; increases; increases(b) increases; decreases; decreases; increases(c) decreases; increases; decreases; increa

34、ses(d) decreases; increases; increases; increases30. Implied volatility is the value of cr that makesof the option equal to the value computedusing the opti on-prici ng formula.(a) the exercise price(b) the observed market price(c) the historical market price(d) the call valueAn swer: (b)31. Calcula

35、te the implied volatility of a stock which has a time to maturity of 3 mon ths, a risk-free rate of 8%, exercise price of $70, curre nt stock price of $65, and does not pay divide nds. Use the lin ear function of the option price. The value of the call is $6.50(a) 俺 15%(b) 茫 35%(c) 壯 46%(d) 肚 50%An

36、swer: (d)32. Calculate the implied volatility of a stock using the linear function of the option price for the follow ing data: time to maturity = 4 mon ths, call value = $5.80, stock price = $50 and risk-free rate = 10%. The value is closest to:(a) 俺 14.54%(b) 肚 36.78(c) 化 45%(d) 俺 50.50%An swer: (

37、d)33. The same methodology used to price options can be used to value many other contingent claims, in cludi ng:(a) corporate stocks and bonds(b) loan guarantees(c) real options embedded in research and development(d) all of the above34. The replication strategy used in contingent claims analysis is

38、 known as:(a) claims financing(b) self-financing(c) replicating financing(d) risk adjusted financingAnswer: (b)Questions 35-37 refer to the following information:Crabby Tabby Corporation is in the cat food business and has a total market value of $140 million. The corporation issues two types of sec

39、urities: common stock (850,000 shares) and zero-coupon bonds (95,000 bonds each with a face value of $1,000). The bonds are considered to be default-free and mature in one year. The risk-free interest rate is 4.5% per year.35. What is the market value of Crabby Tabby' s bonds?(a) $99,275,000(b)

40、$95,000,000(c) $92,476,091(d) $90,909,091Answer: (d)36. What is the market value of Crabby Tabby ' s stocks?(a) $45,000,000(b) $43,062,201(c) $46,976,946(d) $49,090,909Answer: (d)37. What is Crabby Tabby ' s share price?(a) $52.94(b) $55.26(c) $57.75(d) $58.26Answer: (b)Questions #-40 refer

41、to the following information:The Callas Corporation is in the music publishing business, and has a total market value of $115 million. The corporation issues two types of securities: common stock (800,000 shares) and zero-coupon bonds (90,000 bonds each with a face value of $1,000). The bonds are co

42、nsidered to be default-free and mature in one year. The risk-free interest rate is 6% per year.38. What is the market value of Callas ' bonds?(a) $95,400,000(b) $90,000,000(c) $84,905,650(d) $83,333,333Answer: (c)39. What is the market value of Callas ' stock?(a) $30,094,340(b) $27,042,314(c

43、) $25,000,000(d) $19,600,000Answer: (a)40. What is Callas ' share price?(a) $24.50(b) $31.25(c) $37.62(d) $41.66Answer: (c)41. The Gobbi Corporation has a total market value of $120 million. The corporation issues two types of securities: common stock (950,000 shares) and zero-coupon bonds (95,0

44、00 bonds, each with a face value of $1,000). There is risk associated with the bonds, however, because the bonds mature in one year. What do the stockholders receive a year from now, if the value (denoted V1) of the firm's assetsfalls short of $95 million?(a) The company will default on the debt

45、 and the stockholders will get nothing.(b) The company will default on the debt and the stockholders will receive all of the firm(c) The stockholders receive V1 -$95 million.(d) None of the above.Answer: (a)42. Lenski Corporation has issued two types of securities: common stock (2 million shares) an

46、d zerocoupon bonds with an aggregate face value of $95 million (95,000 bonds each with a face value of $1,000). Lenski 's bonds mature one year from now. If we know that the total market value of Lenski Corporation is $200 million, the risk- free interest rate is 7% per year and the volatility o

47、f the firm asset value is 0.35, then what are the separate market values of Lenski Corporation stocks and bonds?(a) E = $105 million; D = $95 million(b) E = $111.58 million; D = $82.64 million(c) E = $88.42 million; D = $111.58 million(d) E = $111.58 million; D = $88.42 millionAnswer: (d)43. Lenski

48、Corporation has issued two types of securities: common stock (2 million shares) and zerocoupon bonds with an aggregate face value of $95 million (95,000 bonds each with a face value of $1,000). Lenski 's bonds mature one year from now. If we know that the total market value of Lenski Corporation

49、 is $200 million, the risk-free rate interest rate is 7% per year and the volatility of the firm ' ssaest value is 0.35, then what is the continuously compounded promised rate of interest on the debt?(a) 7.00% per year(b) 7.18% per year(c) 7.44% per year(d) 10.00% per yearAnswer: (b)Questions 44

50、-41 refer to the following information:The Dolce Company is in the confectionary business, and has a total market value of $80 million. The corporation issues two types of securities: common stock (700,000 shares) and zero-coupon bonds (60,000 bonds each with a face value of $1,000). The bonds are c

51、onsidered to be default-free and mature in one year. The risk- free interest rate is 5% per year and the volatility of the firm' s asset value is 044. What is the market value of the firm' s equity?(a) $1.31 million(b) $22.93 million(c) $24.24 per year(d) $35.55 per yearAnswer: (c)45. What i

52、s the market value of the firm' s debt?(a) $44.45 million(b) $55.76 million(c) $57.07 million(d) $60 millionAnswer: (b)46. What is the continuously compounded promised rate of interest on the debt?(a) 5.03% per year(b) 7.33% per year(c) 8.33% per year(d) 28.77% per yearAnswer: (b)47. Suppose tha

53、t a bank undertakes to guarantee the debt of Dolce against default. What is the fair market value of this guarantee?(a) $1.11 million(b) $1.21 million(c) $1.31 million(d) $3.50 millionAnswer: (c)48. In the United States, the largest provider of financial guarantees is (a) insurance companies(b) bank

54、s(c) government and government agencies(d) real estate investment trustsAnswer: (c)49. An implicit guarantee is involved any time a loan is made and the fundamental identity is:(a) Risky Loan = Default-Free Loan + Loan Guarantee(b) Risky Loan = Default-Free Loan -Loan Guarantee(c) Risky Loan = Defau

55、lt-Free Loan x Loan Guarantee(d) Risky Loan = Default-Free Loan / Loan guaranteeAnswer: (b)50. A high-grade bond has a g u a ra n te e component, compared with a junk bond that typicallyhas a component.(a) very small; large(b) large; very small(c) large; large(d) small; smallAnswer: (a)1. Refer to t

56、he follow ing table to an swer this questi on.Shorter ProblemsListi ng of LePlastrier Opti ons (symbol: LLB)(Prices listed are closi ng prices.)February 27, 2009CALLSStock Price on NYSEExercise PriceJanuaryFebruaryApril109.8751073.3755.6257.125109.8751100.6252.18754.875109.8751130.1250.8752.375PUTSStock Price on NYSEExercise PriceJanuaryFebruaryApril109.8751071.753.3755.875109.8751103.6255.8757.375109.87511391011.75An swer the follow ing questi ons:(a) For the call opti ons, what happe ns to the opti on prices as the exercise price in creases? The puts?(b) Wha