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# Reading 62: Option Markets and Contracts-LOS d 习题精选

Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 62: Option Markets and Contracts

LOS d: Explain how an option price, as represented by the Black-Scholes-Merton model, is affected by each of the input values (the option Greeks).

The value of a put option is positively related to all of the following EXCEPT:

 A) time to maturity.
 B) exercise price.
 C) risk-free rate.

The value of a put option is negatively related to increases in the risk-free rate.

The value of a European call option on an asset with no cash flows is positively related to all of the following EXCEPT:

 A) exercise price.
 B) time to exercise.
 C) risk-free rate.

The value of a call option decreases as the exercise price increases.

Which of the following option sensitivities measures the change in the price of the option with respect to a decrease in the time to expiration?

 A) Gamma.
 B) Theta.
 C) Delta.

Theta describes the change in option price in response to the passage of time. Since option holders would prefer that value not decay too quickly, an option with a low theta value is desirable.

For a change in which of the following inputs into the Black-Scholes-Merton option pricing model will the direction of the change in a put’s value and the direction of the change in a call’s value be the same?

 A) Volatility.
 B) Exercise price.
 C) Risk-free rate.

A decrease/increase in the volatility of the price of the underlying asset will decrease/increase both put values and call values. A change in the values of the other inputs will have opposite effects on the values of puts and calls.

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