注册金融分析师-衍生产品投资(三).docVIP

衍生产品投资(三) 单项选择 1、 ?Consider the graph below. ? ? ? ?The graph is a depiction of a put option with an exercise price of $100. ?If the tock trades for $97. ? ?A. the put is worth $3. ? ?B. the put is worth $103. ? ?C. the put is worth $97. 2、 ?Consider the following tour options on the same underlying instrument: ? ?Option 1 : September call, exercise price = $55. ? ?Option 2 : September call, exercise price = $60. ? ?Option 3 : December put, exercise price = $75. ? ?Option 4 : December put, exercise price = $80. ? ?What is most likely the relationship among the values of these options? ? ?September calls ? ? ? ? ? ? ? December puts ? ?①A. Option 1 ＞ Option 2 ? ? ? ? Option 3 ＞ Option 4 ? ?②B. Option 1 ＞ Option 2 ? ? ? ? Option 4 ＞ Option 3 ? ?③C. Option 2 ＞ Option 1 ? ? ? ? Option 4 ＞ Option 3 ? ?A. ?① ?B. ?② ?C. ?③ 3、 ?The lower bound on European call option prices can be adjusted for cash flows of the underlying asset by : ? ?A. ?adding the present value of the expected dividend payments to the current asset price. ? ?B. ?subtracting the present value of the expected dividend payments from the exercise price. ? ?C. ?subtracting the present value of the expected dividend payments from the current asset price. 4、 ?For a futures trade: ? ?A. ?a single price is determined by supply and demand. ? ?B. ?the seller receives the bid price; the buyer pays the ask price. ? ?C. ?the purchase of the asset is at a negotiated price. 5、 ?Which of the following statements regarding forward contracts is FALSE? ? ?A. ?Dealers make the majority of their profits by anticipating price moves in the underlying asset. ? ?B. ?Dealers will enter into forward contracts with other dealers. ? ?C. ?End users of forwards most often have a business exposure to price risk from the asset covered by the contract. 6、 ?A plain vanilla interest rate swap is a contract where one party pays a: ? ?A. ?fixed interest rate and the counterparty pays a floating rate in a different cur