證券和組合課后習(xí)題：tb21

1、CHAPTER 21AN INTRODUCTION TO DERIVATIVE MARKETS AND SECURITIESTRUE/FALSE QUESTIONS(t)1A cash or spot contract is an agreement for the immediate delivery of an asset such as the purchase of stock on the NYSE.(t)2Forward and future contracts, as well as options, are types of derivative securities.(f)3

2、All features of a forward contract are standardized, except for price and number of contracts.(t)4Forward contracts are traded over-the-counter and are generally not standardized.(t)5The forward market has low liquidity relative to the futures market.(f)6A futures contract is an agreement between a

3、trader and the clearinghouse of the exchange for delivery of an asset in the future.(t)7A primary function of futures markets is to allow investors to transfer risk. (f)8The futures market is a dealer market where all the details of the transactions are negotiated.(f)9Futures contracts are slower to

4、 absorb new information than forward contracts.(f)10The initial value of a future contract is the price agreed upon in the contract.(t)11A futures contract eliminates uncertainty about the future spot price that an individual can expect to pay for an asset at the time of delivery.(f)12Investment cos

5、ts are generally higher in the derivative markets than in the corresponding cash markets.(f)13An option buyer must exercise the option on or before the expiration date.(t)14The minimum value of an option is zero.(f)15An option to sell an asset is referred to as a call, whereas an option to buy an as

6、set is called a put.(t)16If an investor wants to acquire the right to buy or sell an asset, but not the obligation to do it, the best instrument is an option rather than a futures contract.(t)17Investors buy call options because they expect the price of the underlying stock to increase before the ex

7、piration of the option.(t)18A call option is in the money if the current market price is above the strike price.(f)19A put option is in the money if the current market price is above the strike price.(t)20The price at which the stock can be acquired or sold is the exercise price. (t)21The minimum am

8、ount that must be maintained in an account is called the maintenance margin.MULTIPLE CHOICE QUESTIONS(d)1Which of the following statements is false?a)Derivatives help shift risk from risk-adverse investors to risk-takers.b)Derivatives assist in forming cash prices.c)Derivatives provide additional in

9、formation to the market.d)In many cases, the investment in derivatives (both commissions and required investment) is more than in the cash market.e)None of the above (that is, all are reasons)(e)2Derivative instruments exist becausea)They help shift risk from risk-averse investors to risk-takers.b)T

10、hey help in forming prices.c)They have lower investment costs.d)Choices a and be)All of the above(c)3There are in number of differences between forward and futures contracts. Which of the following statements is false?a)Futures have less liquidity risk than forward contracts.b)Futures have less cred

11、it risk than forward contracts.c)Futures have more default risk than forward contracts.d)In futures, the exchange becomes the counterparty to all transactions.e) None of the above (that is, all statements are true)(d)4Futures differ from forward contracts becausea)Futures have more liquidity risk.b)

12、Futures have more credit risk.c)Futures have more maturity risk.d)None of the abovee)All of the above(d)5The price at which a futures contract is set at the end of the day is thea)Stock price.b)Strike price.c)Maintenance price.d)Settlement price.e) Parity price.(e)6Which of the following statements

13、is true?a)The buyer of a futures contract is said to be long futures.b)The seller of a futures contract is said to be short futures.c)The seller of a futures contract is said to be long futures.d)The buyer of a futures contract is said to be short futures.e)Choices a and b (b)7The CBOE brought numer

14、ous innovations to the option market, which of the following is not such an innovation?a)Creation of a central marketplaceb)Creation of a non-liquid secondary option marketc)Introduction of a Clearing Corporationd)Standardization of all expiration datese)Standardization of all exercise prices(e)8Whi

15、ch of the following factors is not considered in the valuation of call and put options?a)Current stock priceb)Exercise pricec)Market interest rated)Volatility of underlying stock pricee)none of the above (that is, all are factors which should be considered in the valuation of call and put options)(a

16、)9Which of the following statements is a true definition of an in-the-money option?a)A call option in which the stock price exceeds the exercise price.b)A call option in which the exercise price exceeds the stock price.c)A put option in which the stock price exceeds the exercise price.d)An index opt

17、ion in which the exercise price exceeds the stock price.e)A call option in which the call premium exceeds the stock price.(a)10The value of a call option just prior to expiration is (where V is the underlying assets market price and X is the options exercise price)a)Max 0, V - Xb)Max 0, X - Vc)Min 0

18、, V - Xd)Min 0, X - Ve)Max 0, V X(c)11Which of the following is not a factor needed to calculate the value of an American call option?a)The price of the underlying stock.b)The exercise price.c)The price of an equivalent put option.d)The volatility of the underlying stock.e)The interest rate.(b)12In

19、the valuation of an option contract, the following statements apply excepta)The value of an option increases with its maturity.b)There is a negative relationship between the market interest rate and the value of a call option.c)The value of a call option is negatively related to its exercise price.d

20、)The value of a call option is positively related to the volatility of the underlying asset.e)The value of a call option is positively related to the price of the underlying stock.(a)13You own a stock that has risen from $10 per share to $32 per share. You wish to delay taking the profit but you are

21、 troubled about the short run behavior of the stock market. An effective action on your part would be toa)Buy a put option on the stock.b)Write a call option on the stock.c)Purchase an index option.d)Utilize a bearish spread.e)Utilize a bullish spread.(b)14A vertical spread involves buying and selli

22、ng call options in the same stock witha)The same time period and exercise price.b)The same time period but different exercise price.c)A different time period but same exercise price.d)A different time period and different price.e)Quotes in different options markets.(b)15The value of a put option at

23、expiration isa)Max 0, S(T) Xb)Max 0, X - S(T)c)Min 0, S(T) Xd)Min 0, X - S(T)e)X(a)16In the two state option pricing model, which of the following does not influence the option price?a)Past stock priceb)Up and down factors u and dc)The risk free rated)The exercise pricee)Current stock price(c)17The

24、cost of carry includes all of the following excepta)Storage costs.b)Insurance.c)Current price.d)Financing costs.e)Risk free rate.(b)18A call option in which the stock price is higher than the exercise price is said to bea)At-the-money.b)In-the-money.c)Before-the-money.d)Out-of-the-money.e)Above-the-

25、money.(d)19The price paid for the option contract is referred to as thea)Forward price.b)Exercise price.c)Striking price.d)Option premium.a) Call price.(b) 20A stock currently sells for $75 per share. A call option on the stock with an exercise price $70 currently sells for $5.50. The call option is

26、 a) At-the-money.b) In-the-money.c) Out-of-the-money.d) At breakeven.e) None of the above.(c) 21A stock currently sells for $150 per share. A call option on the stock with an exercise price $155 currently sells for $2.50. The call option is a)At-the-money.b)In-the-money.c)Out-of-the-money.d)At break

27、even.e)None of the above.(c) 22A stock currently sells for $75 per share. A put option on the stock with an exercise price $70 currently sells for $0.50. The put option is a) At-the-money.b) In-the-money.c) Out-of-the-money.d) At breakeven.e) None of the above.(a) 23A stock currently sells for $15 p

28、er share. A put option on the stock with an exercise price $15 currently sells for $1.50. The put option is a) At-the-money.b) In-the-money.c) Out-of-the-money.d) At breakeven.e) None of the above.(b) 24A stock currently sells for $15 per share. A put option on the stock with an xercise price $20 cu

29、rrently sells for $6.50. The put option is a) At-the-money.b) In-the-money.c) Out-of-the-money.d) At breakeven.e) None of the above.(c) 25An equity portfolio manager can neutralize the risk of falling stock prices by entering into a hedge position where the payoffs area) Not correlated with the exis

30、ting exposure.b) Positively correlated with the existing exposure.c) Negatively correlated with the existing exposure.d) Any of the above.e) None of the above.(b) 26The derivative based strategy known as portfolio insurance involvesa) The sale of a put option on the underlying security position.b) T

31、he purchase of a put on the underlying security position.c) The sale of a call on the underlying security position.d) The purchase of a call on the underlying security position.e) b) and d).(d) 27A hedge strategy known as a collar agreement involves the simultaneousa) Purchase of an in-the money put

32、 and purchase of an out-of-the-money call on the same underlying asset with same expiration date and market price.b) Sale of an out-of-the money put and sale of an out-of-the-money call on the same underlying asset with same expiration date and market price.c) Purchase of an in-the money put and pur

33、chase of an in-the-money call on the same underlying asset with same expiration date and market price.d) Purchase of an out-of-the money put and sale of an out-of-the-money call on the same underlying asset with same expiration date and market price.e) Sale of an in-the money put and purchase of an

34、in-the-money call on the same underlying asset with same expiration date and market price. MULTIPLE CHOICE PROBLEMS(d)1A one year call option has a strike price of 55, expires in 6 months, and has a price of $5.04. If the risk free rate is 5%, and the current stock price is $50, what should the corr

35、esponding put be worth?a)$3.04b)$4.64c)$6.08d)$8.46e)None of the above(d)2A one year call option has a strike price of 50, expires in 6 months, and has a price of $4.74. If the risk free rate is 6%, and the current stock price is $45, what should the corresponding put be worth?b)$2.74a)$5.48c)$6.08d

36、)$8.30e)None of the above(c)3A one year call option has a strike price of 60, expires in 6 months, and has a price of $4.54. If the risk free rate is 7%, and the current stock price is $55, what should the corresponding put be worth?a)$3.54b)$4.56c)$7.54d)$7.08e)None of the above(d)4A one year call

37、option has a strike price of 70, expires in 6 months, and has a price of $7.34. If the risk free rate is 6%, and the current stock price is $62, what should the corresponding put be worth?a) $5.34b) $8.00c)$10.68d)$13.33e)None of the aboveUSE THE FOLLOWING INFORMATION FOR THE NEXT THREE PROBLEMSCurr

38、ently, a September corn futures contract is priced at 315 cents per bushel, with one contract equal to 5,000 bushels. Your broker requires an initial margin of 5 percent on futures contracts.(e)5How much must your deposit in a margin account if you wish to purchase 5 contracts?a) $315.00b) $700.50c)

39、 $750.50d)$1,500.00e)$3,937.50(c)6Suppose the contract expires at a price of 320 cents per bushel. Disregarding transaction costs, what is your percentage return?a) 1.07%b) 2.38% c)31.75%d)50.00% e)None of the above (d)7Suppose the contract expires at 325 cents per bushel. Disregarding transactions

40、costs, what is your percentage return?a) 2.14% b) 4.76%c)31.75%d)63.49%e)None of the aboveUSE THE FOLLOWING INFORMATION FOR THE NEXT THREE PROBLEMSCurrently, a September corn futures contract is priced at 205 cents per bushel, with one contract equal to 5,000 bushels. Your broker requires an initial

41、 margin of 6 percent on futures contracts.(e)8How much must you deposit in a margin account if you wish to purchase 3 contracts?a) $205b) $615c) $750 d)$1,500e)$1,845 (c)9Suppose the contract expires at a price of 220 cents per bushel. Disregarding transaction costs, what is your percentage return?a

42、) 107%b) 238% c)121.95%d)163.52% e)None of the above (d)10Suppose the contract expires at 210 cents per bushel. Disregarding transactions costs, what is your percentage return?a) 2.14%b) 5.62%c)46.89%d)40.65%e)None of the aboveUSE THE FOLLOWING INFORMATION FOR THE NEXT TWO PROBLEMSOn the last day of

43、 October, Bruce Springsteen is considering the purchase of 100 shares of Olivia Corporation common stock selling at $37 1/2 per share and also considering an Olivia option.Calls PutsPriceDecemberMarchDecemberMarch353 3/451 1/42402 1/23 1/24 1/24 3/4(d)11If Bruce decides to buy a March call option wi

44、th an exercise price of 35, what is his dollar gain (loss) if he closes his position when the stock is selling at 43 1/2?a)$225.00 lossb)$350.00 lossc)$225.00 gaind)$350.00 gaine)$850.00 gain(b)12If Bruce buys a March put option with an exercise price of 40, what is his dollar gain (loss) if he clos

45、es his position when the stock is selling at 43 1/2?a)$825.00 loss b)$475.00 lossc)$350.00 lossd)$25.00 losse)He has a gainUSE THE FOLLOWING INFORMATION FOR THE NEXT TWO PROBLEMSRick Thompson is considering the following alternatives for investing in Davis Industries which is now selling for $44 per

46、 share:1)Buy 500 shares, and2)Buy six month call options with an exercise price of 45 for $3.25 premium.(a)13Assuming no commissions or taxes what is the annualized percentage gain if the stock reaches $50 in four months and a call was purchased?a)161.54% gainb)53.85% gainc)161.54% lossd)11.11% gain

47、e)53.85% loss(b)14Assuming no commissions or taxes, what is the annualized percentage gain if the stock is at $30 in four months and the stock was purchased?a)9.54% lossb)95.45% lossc)0.9545% gaind)95.45% gaine)9.54% gain(a)15Tom Gettback buys 100 shares of Johnson Walker stock for $87.00 per share

48、and a 3-month Johnson Walker put option with an exercise price of $105.00 for $20.00. What is his dollar gain if at expiration the stock is selling for $80.00 per share?a)$200 lossb)$700 lossc)$200 gaind)$700 gaine)None of the above(b)16Tom Gettback buys 100 shares of Johnson Walker stock for $87.00

49、 per share and a 3-month Johnson Walker put option with an exercise price of $105.00 for $20.00. What is Toms dollar gain/loss if at expiration the stock is selling for $105.00 per share?a)$1000 gainb)$200 lossc)$1000 lossd)$200 gaine)None of the aboveUSE THE FOLLOWING INFORMATION FOR THE NEXT FOUR

50、PROBLEMSSarah Kling bought a 6-month Peppy Cola put option with an exercise price of $55 for a premium of $8.25 when Peppy was selling for $48.00 per share.(d)17If at expiration Peppy is selling for $42.00, what is Sarahs dollar gain or loss?a)$420 gainb)$420 lossc)$475 lossd)$475 gaine)None of the

51、above(b)18What is Sarahs annualized gain/loss?a)11.51% gainb)115.15% gainc)11.51% lossd)115.15% losse)None of the above(a)19If at expiration Peppy is selling for $47.00, what is Sarahs dollar gain or loss?a)$25 lossb)$250 lossc)$25 gaind)$250 gaine)None of the above(b)20What is Sarahs annualized gai

52、n/loss?a)60.60% gainb)6.06% lossc)60.60% lossd)6.06% gaine) None of the above(a) 21A stock currently trades for $25. January call options with a strike price of $30 sell for $6. The appropriate risk free bond has a price of $30. Calculate the price of the January put option. a) $11b) $24c) $19d) $30

53、e) $25(e) 22A stock currently trades for $115. January call options with a strike price of $100 sell for $16, and January put options a strike price of $100 sell for $5. Estimate the price of a risk free bond.a) $120b) $15c) $105d) $116e) $104(d) 23Assume that you have purchased a call option with a

54、 strike price $60 for $5. At the same time you purchase a put option on the same stock with a strike price of $60 for $4. If the stock is currently selling for $75 per share, calculate the dollar return on this option strategy.a) $10b) -$4c) $5d) $6e) $15(c) 24Assume that you purchased shares of a stock at a price of $35 per sha