标题: Reading 60: Option Markets and Contracts-LOS c 习题精选 [打印本页]
作者: 土豆妮 时间: 2010-4-22 10:47 标题: [2010]Session 17-Reading 60: Option Markets and Contracts-LOS c 习题精选
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 60: Option Markets and Contracts
LOS c: Explain the assumptions underlying the Black-Scholes-Merton model and their limitations.
Which of the following is NOT one of the assumptions of the Black-Scholes-Merton option-pricing model?
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A) |
There are no taxes and transactions costs are zero for options and arbitrage portfolios. | |
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B) |
The yield curve for risk-free assets is fixed over the term of the option. | |
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C) |
There are no cash flows over the term of the options. | |
The yield curve is assumed to be flat so that the risk-free rate of interest is known and constant over the term of the option. Having a fixed yield curve does not necessarily imply that the yield curve is flat.
作者: 土豆妮 时间: 2010-4-22 10:47
Which of the following is least likely one of the assumptions of the Black-Scholes-Merton option pricing model?
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A) |
Changes in volatility are known and predictable. | |
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B) |
There are no cash flows on the underlying asset. | |
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C) |
The risk-free rate of interest is known and does not change over the term of the option. | |
The BSM model assumes that volatility is known and constant. The term predictable would allow for non-constant changes in volatility.
作者: 土豆妮 时间: 2010-4-22 10:47
Which of the following is NOT one of the assumptions of the Black-Scholes-Merton (BSM) option-pricing model?
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A) |
Any dividends are paid at a continuously compounded rate. | |
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C) |
Options valued are European style. | |
The BSM model assumes there are no cash flows on the underlying asset.
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