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).
Q1. 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.
Q2. The value of a European call option on an asset with no cash flows is positively related to all of the following EXCEPT:
A) time to exercise.
B) exercise price.
C) risk-free rate.
Q3. 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) Delta.
C) Theta.
Q4. 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. | 
发表于 2009-3-28 15:56
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