公司理财习题库Chap024.pdfVIP

CHAPTER 24 CHAPTER 24 Op tion Valuation Op tion Valuation I. DEFINITIONS I. DEFINITIONS PROTECTIVE PUT PROTECTIVE PUT c  1.  The purchase of both a stock and a put option on the stock to limit the downside risk  c  1.  The purchase of both a stock and a put option on the stock to limit the downside risk  associated with the stock is a strategy called the:  associated with the stock is a strategy called the:  a.  put-call parity relation.  a.  put-call parity relation.  b.  covered call.  b.  covered call.  c.  protective put.  c.  protective put.  d.  straddle.  d.  straddle.  e. strangle.  e. strangle.  PUT-CALL PARITY PUT-CALL PARITY a  2.  The relationship between the prices of the underlying stock, a call option, a put option,  a  2.  The relationship between the prices of the underlying stock, a call option, a put option,  and a riskless asset is referred to as the _____ relationship.  and a riskless asset is referred to as the _____ relationship.  a.  put-call parity  a.  put-call parity  b.  covered call  b.  covered call  c.  protective put  c.  protective put  d.  straddle  d.  straddle  e.  strangle  e.  strangle  OPTION DELTA OPTION DELTA d  3.  The effect on an option’s value of a small change in the value of the underlying asset is  d  3.  The effect on an option’s value of a small change in the value of the underlying asset is  called the option:  called the option:  a.  theta.  a.  theta.