Test Bank: Chapter 16
Futures Options
1. When a put futures is exercised, the holder of the put acquires (circle one)
(a) A long position in the futures contract
(b) A short position in the futures contract
(c) A long position in the underlying asset
(d)
Test Bank: Chapter 15
Options on Stock Indices and Currencies
1. A portfolio manager in charge of a portfolio worth $10 million is concerned that the
market might decline rapidly during the next six months and would like to use options
on the S&P 100 to p
Test Bank: Chapter 14
Employee Stock Options
1. Which of the following is true about employee stock options (ESOPS) and regular
American exchange-traded call options (EXOPS). (Circle three)
(a) ESOPS usually cannot be exercised at all times whereas EXOPS
Test Bank: Chapter 13
Valuing Stock Options: The Black-Scholes-Merton Model
1. The Black-Scholes-Merton model assumes (circle one)
(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) T
Test Bank: Chapter 12
Introduction to Binomial Trees
1. The current price of a non-dividend-paying stock is $30. Over the next six months
it is expected to rise to $36 or fall to $26. Assume the risk-free rate is zero
(i)
What long position in the stock i
Test Bank: Chapter 11
Trading Strategies Involving Options
1. Six-month call options with strike prices of $35 and $40 cost $6 and $4,
respectively.
(i)
What is the maximum gain when a bull spread is created from the calls?
_
(ii)
What is the maximum loss
Test Bank: Chapter 9
Mechanics of Options Markets
1. Consider an exchange traded put option to sell 100 shares for $20. Give (a) the
strike price and (b) the number of shares that can be sold after
(i)
A 5 for 1 stock split (a) 4(b) 500
(ii)
A 25% stock d
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 volatili
Test Bank: Chapter 8
Securitization and the Credit Crisis of 2007
1. Suppose that ABSs are created from portfolios of subprime mortgages with the following
allocation of the principal to tranches: senior 75%, mezzanine 20%, and equity 5%. An
ABS CDO is th