被删除的部分tb11.doc

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1、Chapter11Options,Caps,Floors,andMoreComplexSwaps1.Acalloption:a.obligatesthebuyertopurchaseanassetatthestrikepriceforaspecifiedperiodoftime.b.givesthebuyertherighttopurchaseanassetatthestrikepriceforaspecifiedperiodoftime.c.obligatesthebuyertosellanassetatthestrikepriceforaspecifie

2、dperiodoftime.d.givesthebuyertherighttosellanassetatthestrikepriceforaspecifiedperiodoftime.e.givesthesellertherighttopurchaseanassetatthestrikepriceforaspecifiedperiodoftime.Answer:b2.Aputoption:a.obligatesthebuyertopurchaseanassetatthestrikepriceforaspecifiedperiodoftime.b.givest

3、hebuyertherighttopurchaseanassetatthestrikepriceforaspecifiedperiodoftime.c.obligatesthebuyertosellanassetatthestrikepriceonforaspecifiedperiodoftime.d.givesthebuyertherighttosellanassetatthestrikepriceforaspecifiedperiodoftime.e.givesthesellertherighttopurchaseanassetatthestrikepr

4、iceforaspecifiedperiodoftime.Answer:d3.AnAugustEurodollarcalloptionwithastrikepriceof94.75iscurrentlysellingfor.45.ThecurrentcashpriceonaEurodollarcontractis94.87.Thecalloptionissaidtobe:a.in-the-money.b.at-the-money.c.out-of-the-money.d.behind-the-money.e.beyond-the-money.Answer:a

5、4.AJulyEurodollarputoptionwithastrikepriceof94.25iscurrentlysellingfor.15.ThecurrentcashpriceonaEurodollarcontractis94.87.Theputoptionissaidtobe:a.in-the-money.b.at-the-money.c.out-of-the-money.d.behind-the-money.e.beyond-the-money.Answer:c5.Sellingaputonafuturescontractwouldbeahed

6、gethatwouldbestresolvetheproblemofabank:a.withashort-termnegativecumulativeGAP.b.withapositivedurationgap.83a.forecastingdroppingsecuritiesprices.b.withanegativedurationgap.c.abankwithalong-termnegativecumulativeGAP.Answer:d1.Theintrinsicvalueofacalloptionis:a.greaterofzeroorthecas

7、hpriceminusthestrikeprice.b.lesserofzeroorthecashpriceminusthestrikeprice.c.greaterofzeroorthestrikepriceminusthecashprice.d.lesserofzeroorthestrikepriceminusthecashprice.e.thevalueoftheunderlyingindex.Answer:a2.Theintrinsicvalueofaputoptionis:a.greaterofzeroorthecashpriceminusthes

8、trikeprice.b.lesserofzeroo