答案和详解如下： 1.For a European call option X=25 and a European call option X=30 on the same stock with the same time to expiration it is true that, when the 30 call is at or in the money, the strongest statement we can make is the: A) value of the 25 call is greater than or equal to the value of the 30 call. B) 30 call is worth at least as much as the 25 call. C) value of the 25 call is greater than the value of the 30 call. D) 25 call is worth $5 more than the 30 call. The correct answer was C) The strongest true statement is that the value of the 25 call is greater than the value of the 30 call. If the 30 call is at or in the money at expiration, the minimum difference in prices is $5. Prior to expiration the difference will likely be something less, since the 25 call has $5 more intrinsic value but will likely have less time value. 2.For a European call option X=25 and a European call option X=30 on the same stock with the same time to expiration, the strongest statement we can make is the: A) 25 call is worth more than the 30 call. B) 30 call is worth more than the 25 call. C) 30 call is worth at least as much as the 25 call. D) 25 call is worth at least as much as the 30 call. The correct answer was D) The strongest statement that we can make is that the 25 call is worth as least as much as the 30 call, although it will generally be worth more. 3.For two European call options that differ only in time to expiration, the strongest statement we can make is that: A) the longer-term option must be worth more than the shorter-term option. B) the longer-term option must be worth less than the shorter-term option. C) no relation can be established between the values of the two calls prior to expiration of the first. D) the longer-term option must be worth at least as much as the shorter-term option. The correct answer was D) While longer-term options generally are worth more, for far in- or out-of-the-money options, the values could be equal. 4.For two European put options that differ only in their time to expiration the most correct statement that applies only to European put options is that: A) the longer-term option can be worth more than the shorter-term option. B) the longer-term option must be worth the same as the shorter-term option. C) The longer-term option can be worth less than the shorter-term option. D) the longer-term option can be worth at least as much as the shorter-term option. The correct answer was C) For European puts, it is possible that the longer term option can be less valuable than a shorter-term option. 5.For two American options that differ only in time to expiration, strongest statement we can make is that: A) the longer-term option must be worth more than the shorter-term option. B) the longer-term option must be worth less than the shorter-term option. C) no relation can be established between the values of the two calls prior to expiration of the first. D) the longer-term option must be worth at least as much as the shorter-term option. The correct answer was D) While longer term options generally are worth more, for far in- or out-of-the-money options, the values could be equal. 6.Consider the following four options on the same underlying instrument: Option 1: September call, exercise price = $55.
Option 2: September call, exercise price = $60.
Option 3: December put, exercise price = $75.
Option 4: December put, exercise price = $80. What is most likely the relationship among the values of these options?
| September calls | December puts |
A) Option 1 > Option 2 Option 3 > Option 4 B) Option 1 > Option 2 Option 4 > Option 3 C) Option 2 > Option 1 Option 4 > Option 3 D) Option 2 > Option 1 Option 3 > Option 4 The correct answer was B) For options that differ only by exercise price, a call with a lower exercise price typically has more value than a call with a higher exercise price because the underlying instrument can be purchased at a lower price. A put with a higher exercise price typically has more value than a put with a lower exercise price because the underlying instrument can be sold for a higher price. | 
发表于 2008-4-9 17:31
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