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LOS i: Explain how option prices are affected by the exercise price and the time to expiration.
Q1. 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 2 > Option 1 Option 3 > Option 4
B) Option 1 > Option 2 Option 4 > Option 3
C) Option 1 > Option 2 Option 3 > Option 4
Q2. 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 less than the shorter-term option.
B) the longer-term option must be worth at least as much as the shorter-term option.
C) the longer-term option must be worth more than the shorter-term option.
Q3. For two European put options that differ only in their time to expiration, which of the following is most accurate? The longer-term option:
A) can be worth more than the shorter-term option.
B) can be worth at least as much as the shorter-term option.
C) can be worth less than the shorter-term option.
Q4. For two European call options that differ only in time to expiration, the strongest statement we can make is that:
A) no relation can be established between the values of the two calls prior to expiration of the first.
B) the longer-term option must be worth more than the shorter-term option.
C) the longer-term option must be worth at least as much as the shorter-term option.
Q5. 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 at least as much as the 25 call.
C) 25 call is worth at least as much as the 30 call.
Q6. 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) 30 call is worth at least as much as the 25 call.
B) value of the 25 call is greater than or equal to the value of the 30 call.
C) value of the 25 call is greater than the value of the 30 call.
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发表于 2009-3-2 10:51
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