1.The value of a put option is positively related to all of the following EXCEPT: A) risk-free rate. B) exercise price. C) time to maturity. D) volatility. The correct answer was A) The value of a put option is negatively related to increases in the risk-free rate. 2.The value of a European call option on an asset with no cash flows is positively related to all of the following EXCEPT: A) volatility. B) exercise price. C) risk-free rate. D) time to exercise. The correct answer was B) The value of a call option decreases as the exercise price increases. 3.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) Exercise price. B) Asset price. C) Risk-free rate. D) Volatility. The correct answer was D) 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. 4.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) Delta. B) Kappa. C) Theta. D) Gamma. The correct answer was C) 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. | 
发表于 2008-4-22 11:50
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