CHAPTER9PRINCIPLESOFFORWARDANDFUTURES.docVIP

CHAPTER 9: PRINCIPLES OF PRICING FORWARDS, FUTURES AND OPTIONS ON FUTURES MULTIPLE CHOICE TEST QUESTIONS 1. What is the lower bound of a European call option on a futures contract where f0 is the futures price and X is the exercise price? Assume f0 is greater than X. a. the difference between f0 and X b. zero c. the present value of the difference between f0 and X d. the ratio of f0 to X e. none of the above 2. Which of the following best describes normal contango? a. the spot price is less than the futures price b. the futures price is less than the spot price c. the expected