上海工程技术大学期货与期权07~08第二学期期末试卷及答案

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1、（勤奋、求是、创新、奉献）2007～2008学年第二学期考试试卷主考教师_____葛开明____学院管理学院班级__________姓名__________学号___________《Futuresandoptions》课程试卷（本卷考试时间90分钟）题号一二三四五总得分题分2010152035100得分一．选择题（在每小题的备选答案中选出一个正确答案，填在下列表内。每小题2分，共20分）123456789101Aclientgoeslong2futurescontractsofcorn,500

2、0bushelspercontract.Theinialmarginis$0.30perbushel.Howmuchshouldhedepositinhismarginaccount?A.$1,000B.$1,500C.$2,000D.$3,0002.Themaximumpotentiallossofthebuyerofanoptionis()A..thestrikepriceBthestrikepricelessthepremiumCthepremiumDunlimited3Ifthefutu

3、respriceofsoybeanisRMB5505yuanperton.AndthespotpriceisRMB5550yuanperton,Inthiscase,thebasisis()ARMB45yuanB–RMB45yuanCRMB11055yuanD–RMB11055yuan第14页共14页4theintrinsicvalueofacalloptionis()AthestrickpriceminustimevalueBthemarketpriceminustimevalueCthest

4、rickpriceplustimevalueDthemarketpriceplustimevalue5Whenanewfuturestradingiscompletedtheopeninterestsofthecontractwill()AincreaseBdecreaseCunchangedDuncertain6.Attheendofeachtradingday,theclearing-housewillmarktothemarketalloutstandingfuturespositions

5、.Thisiscalled()A.offsettingB.settlementC.marginingD.speculating7.Abullspreadsiscomposedofalongpositioninacalloptionandashortpositioninanothercalloptiononthesamestockwith()strikeprice.Bothoptionshavethesameexpirationdate.A．ahigherB.alowerCthesameDdiff

6、erent8Whenaspeculatorshortsacertainshareinthefuturesmarket,heexpectsthepriceofthesharewill().AgoupB.falldownCremainstableD.fluctuate9Ifthebasisincreasespositively,()willmakeprofits.AaninvestorwhotakesalongpositioninspotmarketBaninvestorwhotakesashort

7、positioninspotmarketClonghedgerDshorthadger第14页共14页10AgraindealerwhoiscurrentlyholdingnoinventoryofsoybeanshassoldforwardanamountofsoybeansfordeliverynextJanuary.HewouldhedgethisforwardsalebyAgoinglongfuturesandbuyingtheactualsBsellingfuturesanddeliv

8、eringagainstthecontractCsellingfuturesDbuyingfutures二．判断题（判断下述命题的正误，并说明理由。每小题2分，共10分）1.Theforwardcontractsarenotmarkedtothemarketdaily.2.Whenafuturescontractisoffset,deliveryismadeimmediately.3.Whenthepricegoesup,thewriterofcalloptioncangiveuphisliab