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题目 A call option where early exercise is restricted to certain dates is an example of a(n): 选项 A.lookback option. B.Bermudan option. C.chooser option. D.Asian option. 答案 B 解析 A [...]

题目 A 1-year American put option with an exercise price of $40 will be worth $10.00 at maturity with a probability of 0.25 and $0.00 with a probability of 0.75. The current stock price is $36. The [...]

题目 A short straddle comprises a trading combination of options that: 选项 A.sells a low strike call option and buys a higher strike call option. B.sells a put and call option at the same strike [...]

题目 It may be attractive to exercise an American put option prior to expiration when the underlying stock price is: 选项 A.close to the strike price and risk-free rates are positive. B.above the [...]

题目 What are the minimum values of an American-style and a European-style 3-month call option with a strike price of $80 on a non-dividend-paying stock trading at $86 if the risk-free rate is 3%? [...]

题目 The current stock price of a share is USD 100 and the continuously compounding risk-free rate is 12% per year. The maximum possible prices for a 3-month European call option, American call [...]

题目 American put option values increase as a result of increases in which of the following factors? I Volatility II Dividends III Stock Price IV Time to expiration 选项 A.I, II, and IV only B.I, [...]

题目 Long a call on a stock and short a call on the same stock with a higher strike price and same maturity is called: 选项 A.A bull spread B.A bear spread C.A calendar spread D.A butterfly [...]

题目 A 1-year forward contract on a stock with a forward price of USD 100 is available for USD 1.50. The table below lists the prices of some barrier option on the same stock with a maturity of 1 [...]

题目 An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of [...]