投资学第7版Test-Bank答案21

Chapter21OptionValuation527MultipleChoiceQuestions1.Beforeexpiration,thetimevalueofaninthemoneycalloptionisalwaysA)equaltozero.B)positive.C)negative.D)equaltothestockpriceminustheexerciseprice.E)noneoftheabove.Answer:BDifficulty:EasyRationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.2.Beforeexpiration,thetimevalueofaninthemoneyputoptionisalwaysA)equaltozero.B)negative.C)positive.D)equaltothestockpriceminustheexerciseprice.E)noneoftheabove.Answer:CDifficulty:EasyRationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.3.Beforeexpiration,thetimevalueofanatthemoneycalloptionisalwaysA)positive.B)equaltozero.C)negative.D)equaltothestockpriceminustheexerciseprice.E)noneoftheabove.Answer:ADifficulty:EasyRationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.Chapter21OptionValuation5284.Beforeexpiration,thetimevalueofanatthemoneyputoptionisalwaysA)equaltozero.B)equaltothestockpriceminustheexerciseprice.C)negative.D)positive.E)noneoftheabove.Answer:DDifficulty:EasyRationale:Thedifferencebetweentheactualoptionpriceandtheintrinsicvalueiscalledthetimevalueoftheoption.5.AcalloptionhasanintrinsicvalueofzeroiftheoptionisA)atthemoney.B)outofthemoney.C)inthemoney.D)AandC.E)AandB.Answer:EDifficulty:EasyRationale:Intrinsicvaluecanneverbenegative;thusitissetequaltozeroforoutofthemoneyandatthemoneyoptions.6.AputoptionhasanintrinsicvalueofzeroiftheoptionisA)atthemoney.B)outofthemoney.C)inthemoney.D)AandC.E)AandB.Answer:EDifficulty:EasyRationale:Intrinsicvaluecanneverbenegative;thusitissetequaltozeroforoutofthemoneyandatthemoneyoptions.7.PriortoexpirationA)theintrinsicvalueofacalloptionisgreaterthanitsactualvalue.B)theintrinsicvalueofacalloptionisalwayspositive.C)theactualvalueofcalloptionisgreaterthantheintrinsicvalue.D)theintrinsicvalueofacalloptionisalwaysgreaterthanitstimevalue.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Priortoexpiration,anyoptionwillbesellingforapositiveprice,thustheactualvalueisgreaterthantheintrinsicvalue.Chapter21OptionValuation5298.PriortoexpirationA)theintrinsicvalueofaputoptionisgreaterthanitsactualvalue.B)theintrinsicvalueofaputoptionisalwayspositive.C)theactualvalueofputoptionisgreaterthantheintrinsicvalue.D)theintrinsicvalueofaputoptionisalwaysgreaterthanitstimevalue.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Priortoexpiration,anyoptionwillbesellingforapositiveprice,thustheactualvalueisgreaterthantheintrinsicvalue.9.Ifthestockpriceincreases,thepriceofaputoptiononthatstock__________andthatofacalloption__________.A)decreases,increasesB)decreases,decreasesC)increases,decreasesD)increases,increasesE)doesnotchange,doesnotchangeAnswer:ADifficulty:ModerateRationale:Asstockpricesincreases,calloptionsbecomemorevaluable(theownercanbuythestockatabargainprice).Asstockpricesincrease,putoptionsbecomelessvaluable(theownercansellthestockatapricelessthanmarketprice).10.Ifthestockpricedecreases,thepriceofaputoptiononthatstock__________andthatofacalloption__________.A)decreases,increasesB)decreases,decreasesC)increases,decreasesD)increases,increasesE)doesnotchange,doesnotchangeAnswer:CDifficulty:ModerateRationale:Asstockpricesdecreases,calloptionsbecomelessvaluable(theownercanbuythestockatabargainprice).Asstockpricesdecreases,putoptionsbecomemorevaluable(theownercansellthestockatapricelessthanmarketprice).Chapter21OptionValuation53011.Otherthingsequal,thepriceofastockcalloptionispositivelycorrelatedwiththefollowingfactorsexceptA)thestockprice.B)thetimetoexpiration.C)thestockvolatility.D)theexerciseprice.E)noneoftheabove.Answer:DDifficulty:ModerateRationale:Theexercisepriceisnegativelycorrelatedwiththecalloptionprice.12.Otherthingsequal,thepriceofastockputoptionispositivelycorrelatedwiththefollowingfactorsexceptA)thestockprice.B)thetimetoexpiration.C)thestockvolatility.D)theexerciseprice.E)noneoftheabove.Answer:ADifficulty:ModerateRationale:Theexercisepriceisnegativelycorrelatedwiththestockprice.13.Thepriceofastockputoptionis__________correlatedwiththestockpriceand__________correlatedwiththestrikingprice.A)positively,positivelyB)negatively,positivelyC)negatively,negativelyD)positively,negativelyE)not,notAnswer:BDifficulty:ModerateRationale:Thelowerthestockprice,themorevaluablethecalloption.Thehigherthestrikingprice,themorevaluabletheputoption.Chapter21OptionValuation53114.Thepriceofastockcalloptionis__________correlatedwiththestockpriceand__________correlatedwiththestrikingprice.A)positively,positivelyB)negatively,positivelyC)negatively,negativelyD)positively,negativelyE)not,notAnswer:DDifficulty:ModerateRationale:Thelowerthestockprice,themorevaluablethecalloption.Thehigherthestrikingprice,themorevaluabletheputoption.15.AlltheinputsintheBlack-ScholesOptionPricingModelaredirectlyobservableexceptA)thepriceoftheunderlyingsecurity.B)theriskfreerateofinterest.C)thetimetoexpiration.D)thevarianceofreturnsoftheunderlyingassetreturn.E)noneoftheabove.Answer:DDifficul