98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
科目:葉兆輝 TEST
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1
請填入學號：
注意：答對題數每題得 10 分，答錯題數每題扣 10 分。
答案欄：考生請在「答案欄」上作答，謝謝合作。
姓名：
答對題數：答錯題數：
Q1.
Q6.
Q2.
Q7.
Q3.
Q8.
Q4.
Q9.
得分：
Q5.
Q10.
Q1. If we compare the prices of two options that are identical in every way except that one is American and one is European,
the price of the European should be at least as high the American.
A. True
B. False
Q2. When the price of a stock moves, the dollar change of the stock is generally less than the dollar change of option price.
A. True
B. False
Q3. Options are a zero-sum game, meaning that profits on the long position represent losses on the short side, and vice
versa.
A. True
B.
False
Q4. Call and put option princess decrease as the volatility of the underlying stock increases.
A. True
B. False
Q5. Under the binomial option-pricing model, once the possible stock prices at expiration have been determined, it is not
necessary to make an assumption as to the probability of reaching each ending stock price.
A. True
B. False
Q6. When using put-call party relationships, all of the following conditions must be met in order to be certain that the cash
flows of the portfolios will be identical at the options expiration date, except:
A . The call and put options must have the same exercise price.
B . The call and put options must share the same expiration date.
C . The underlying stock must not pay a dividend during the life of the options.
D . The call and put options must be American options.
Q7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the following scenario: current
stock price = $24; possible stock prices at expiration = $36, or $16; exercise price of a call option = $30?
a. 0.3
b. 0.4
c. 0.6
d. 0.5
Q8. In order to price an option using the binomial option-pricing model, which of the following prices of information is not
necessary?
A. the current price of the underlying stock.
Incorrect. This is required information.
B. an estimate of the company’s current beta.
Correct. This isn’t required information.
C. the amount of time remaining before the option expires.
Incorrect. This is required information.
D. the market’s current risk-free rate.
Incorrect. This is required information.
Q9. Which of the following portfolios represents a synthetic position equivalent to a short bond PV(x)?
A. long call, short stock, and short put.
Correct
B. short call, short stock, and short put.
Incorrect.-B=C-S-P.
C. short call, long stock, and long put
Incorrect.-B=C-S-P.
D. long call, short stock, and long put.
Incorrect.-B=C-S-P.
Q10. Consider the following scenario. The stock of ABC company is currently trading at$18.in 6 mouths, the stock will
either be worth $27, or$9. The risk-free rate is 20%.using the risk-neutral method, what is the probability of an upward move
(to $27)?
a. 0.3
b. 0.4
c. 0.5
d. 0.6
1. If we compare the prices of two
options that are identical in every way
except that one is American and one is
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
European, the price of the European
should be at least as high as the
American.
a. True
Incorrect. The American call should be
worth at least as much as the European
call due to the American call’s greater
flexibility.
b. False
Correct.
2. When the price of a stock moves, the
dollar change of the stock is generally
less than the dollar change of the option
price.
a. True
Incorrect. The dollar change of the stock
is greater than the dollar change of the
option. It is the percentage change in the
option price which is greater than the
percentage change in the stock price.
b. False
Correct.
3. Options are a zero-sum game,
meaning that profits on the long position
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
represent losses on the short side, and
vice versa.
a. True
Correct.
b. False
Incorrect. Options are in fact a zero-sum
game.
4. Call and put option prices decrease as
the volatility of the underlying stock
increases.
a. True
Incorrect. Due to the asymmetry of
option payoffs, call and put option prices
increase as the volatility of the
underlying assets increases.
b. False
Correct.
5. Under the binomial option-pricing
model, once the possible stock prices at
expiration have been determined, it is
not necessary to make an assumption as
to the probability of reaching each
ending stock price.
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
a. True
Correct.
b. False
Incorrect. This is due to the fact that the
market already prices these probabilities
into the stock price, and the fact that
binomial model prices an option through
the principle of “no arbitrage”.
6. When using put-call parity
relationships, all of the following
conditions must be met in order to be
certain that the cash flows of the
portfolios will be identical at the options’
expiration date, except:
a. The call and put options must have the
same exercise price.
Incorrect. This is a necessary condition.
b. The call and put options must share the
same expiration date.
Incorrect. This is a necessary condition.
c. The underlying stock must not pay a
dividend during the life of the options.
Incorrect. This is a necessary condition.
d. The call and put options must be
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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American options.
Correct. The call and put options must
be European options.
7. Using the binomial option-pricing
model, what is the appropriate hedge
ratio for the following scenario: current
stock price 大盤 7700 = $24; possible stock
prices at expiration = $36, or $16 $7800,
or $7600; exercise price of a call option
= $30? 買 權
月份: 2009/12
履約價 4400
a. 0.3
b. 0.4
c. 0.6
d. 0.5
correct. (6-0)/(36-16); h
=0.3
C MAX 36  30,0  MAX 16  30,0
6


S
S
36 
7.1 Using the binomial option-pricing model, what is the appropriate hedge ratio for the
following scenario: current stock price 大盤 7700 = $24; possible stock prices at
expiration = $7800, or $7600; exercise price of a call option = $4400? 買 權履約價
4400 月份:
2009/12
C MAX 7800  4400,0  MAX 7600  4400

S
S
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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current stock price=$35;possible stoc
at expiration=$45,or$33;exercise pric
option=$27?
C 45  27   33  27  45  33


S
45  33
45  33 ;h=1
C MAX 45  27 ,0  MAX 33  27 ,0 18  6


S
S
45  33
http://www.investorwords.com/5602
atio.html
An options strategy that aims to reduce (hedge) the ris
movements in the underlying asset by offsetting long
example, a long call position may be delta hedged by
stock. This strategy is based on the change in premium
caused by a change in the price of the underlying secu
premium for each basis-point change in price of the u
and the relationship between the two movements is th
Investopedia Says:
For example, the price of a call option with a hedge ra
(of the stock-price move) if the price of the underlyin
opposite is true for options with a low hedge ratio.
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(35-27)/(45-33);h=.67
45 =possible stock prices at expiratio
27=exercise price of a call option
8. In order to price an option using the
binomial option-pricing model, which of
the following pieces of information is not
necessary?
a. The current price of the underlying
stock.
Incorrect. This is required information.
b. An estimate of the company’s current
beta.
Correct. This isn’t required information.
c. The amount of time remaining before the
option expires.
Incorrect. This is required information.
d. The market’s current risk-free rate.
Incorrect. This is required information.
9. Which of the following portfolios
represents a synthetic position
equivalent to a short bond PV(X)?
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
a. Long call, short stock, and short put.
Correct.
b. Short call, short stock, and short put.
Incorrect. –B = C – S – P.
c. Short call, long stock, and long put.
Incorrect. –B = C – S – P.
d. Long call, short stock, and long put.
Incorrect. –B = C – S – P.
10. Consider the following scenario. The
stock of ABC Company is currently
trading at $18. In 6 months, the stock
will either be worth $27, or $9. The
risk-free rate is 20%. Using the
risk-neutral method, what is the
probability of an upward move (to $27)?
a. 0.3
b. 0.4
c. 0.5
d. 0.6
correct. (27*p) + [9*(1-p)] = 18*1.1; p =
0.6
27
9
R  d 1.1  0.5 0.6
R  1.1 ， u 
d 。
Pr o 


，
，
18
18
u  d (27  9)
1
18
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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C 27  18 9


 .5
S
27  9 18
科目: 期貨、選擇權理論與實務
請填入學號：
※ 注意：考生請在「答案欄」上作答，單一選擇題，共
題，每題
分。
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班級：
學號：
姓名：
答對題數：
得分：
1. If we compare the prices of two options that are identical in every way except that one is American
and one is European, the price of the European should be at least as high as the American.
a. True
b. False
2. When the price of a stock moves, the dollar change of the stock is generally less than the dollar change
of the option price.
a. True
b. False
3. Options are a zero-sum game, meaning that profits on the long position represent losses on the short
side, and vice versa.
a. True
b. False
4. Call and put option prices decrease as the volatility of the underlying stock increases.
a. True
b. False
5. Under the binomial option-pricing model, once the possible stock prices at expiration have been
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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determined, it is not necessary to make an assumption as to the probability of reaching each ending stock
price.
a. True
b. False
6. When using put-call parity relationships, all of the following conditions must be met in order to be
certain that the cash flows of the portfolios will be identical at the options’ expiration date, except:
a. The call and put options must have the same exercise price.
b. The call and put options must share the same expiration date.
c. The underlying stock must not pay a dividend during the life of the options.
d. The call and put options must be American options.
7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the following scenario:
current stock price = $24; possible stock prices at expiration = $36, or $16; exercise price of a call option
= $30?
a. 0.3
b. 0.4
c. 0.6
d. 0.5
8. In order to price an option using the binomial option-pricing model, which of the following pieces of
information is not necessary?
a. The current price of the underlying stock.
b. An estimate of the company’s current beta.
c. The amount of time remaining before the option expires.
d. The market’s current risk-free rate.
9. Which of the following portfolios represents a synthetic position equivalent to a short bond PV(X)?
a. Long call, short stock, and short put.
b. Short call, short stock, and short put.
c. Short call, long stock, and long put.
d. Long call, short stock, and long put.
10. Consider the following scenario. The stock of ABC Company is currently trading at $18. In 6 months,
the stock will either be worth $27, or $9. The risk-free rate is 20%. Using the risk-neutral method, what is
the probability of an upward move (to $27)?
a.
0.3
b. 0.4
c. 0.5
d. 0.6
36. 下列敘述何者不正確？
(A)避險者利用期貨契約將風險轉移至投機者
(B)投機者通常對於市場未來走勢有個人
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主觀預期 (C)投機者一定可以賺取期貨價差做為風險貼水
(D)投機者提高市場流動性
46. 其他條件不變時，黃金期貨買權的時間價值一般會隨著到期日的接近：
(A)呈比例遞增 (B)呈比例遞減 (C)呈加速遞增 (D)呈加速遞減
50. 某甲以 52 元買進 A 股票後，又買進同量的 A 股賣權，其履約價格為 50 元，權利金為
1.2 元，則某甲在權利期間結束時之每單位，最大可能虧損為：
(A)53.2 元 (B)51.2 元 (C)1.2 元 (D)3.2 元
51. 預期未來標的期貨價格走勢將大幅波動，但不確定上漲或下跌時，應採何應策略？
(A)買入跨式交易(Long Straddle)
(B)賣出跨式交易(Short Straddle)
(C)兀鷹價差交易(Condor Spread)
(D)盒狀價差交易(Box Spread)
52. 買進一口 9 月份 S&P500 期貨買權、履約價格為 1,400，請問上述動作與下列何者可組成
多頭價差策略？ (A)買進 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410 (B)賣出 1
口 9 月份 S&P500 期貨買權、履約價格為 1,410 (C)賣出 1 口 9 月份 S&P500 期貨買權、
履約價格為 1,390 (D)買進 1 口 9 月份 S&P500 期貨賣權、履約價格為 1,410
57. 下列何者不是期貨契約應符合之標準？
(A)結算所對買賣負責 (B)價格發現 (C)競價公開
(D)契約標準化
92. 若交易人同時買一個履約價為 100 的現貨買權，賣一個履約價為 140 的現貨買權，若現
在現貨價格為 120，不考慮權利金下，則該交易人每單位之損益為：
(A)0 (B)賠 20 (C)賺 20 (D)以上皆非
93. 當賣出期貨賣權(put)且被執行時，其結果如何？
(A)取得多頭期貨契約 (B)取得空頭期貨契約 (C)取得相等數量之現貨
(D)取得現金
94. 現貨賣權(put)履約價格為 K，選擇權標的現貨市價 F，若 F＜K，則其內含價值等於：
(A) 0
(B) K－F
(C) K＋F
(D) F
95. 設現貨買權(call)履約價格為 K，選擇權標的現貨市價 F，若 F＜K，則其內含價值等於：
(A) K－F
(B) 0
(C) F－K
(D)K
100. 新到期月份契約掛牌時，以前一營業日標的指數收盤價為基準，向下取最接近之一百點
倍數推出一個序列，另再依履約價格間距上下各推出二個序列，共計五個序列，如果
3/19(星期三)現貨收盤 6,092 點，則四月履約價格何者不可能：
(A) 5,700
(B) 5,800
(C) 5,900
(D)6,000
CDDABBCABBA
1 C 11 C
21 C
31 D
41 D 51 A
61
D
71
D
81 D
91
A
2 C 12 C
22 A
32 D
42 C 52 B
62
C
72
B
82 C
92
C
3 A 13 C
23 D
33 D
43 B 53 B
63
A
73
C
83 D
93
A
4 D 14 C
24 A
34 D
44 B 54 B
64
C
74
A
84 A
94
B
5 C 15 C
25 A
35 D
45 A 55 B
65
A
75
D
85 B
95
B
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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6 A 16 B
26 C
36 C
46 D 56 D
66
A
76
B
86 C
96
B
7 A 17 A
27 B
37 B
47 A 57 B
67
B
77
C
87 D
97
A
8 A 18 B
28 D
38 B
48 D 58 D
68
C
78 均給分
88 D
98
A
9 C 19 D
29 D
39 C
49 C 59 D
69
B
79
A
89 B
99
C
10 B 20 D
30 C
40 C
50 D 60 C
70
A
80
A
90 B 100
A
1.
下列何者不是期貨契約所規範的項目：
割方式
3.
期貨市場在買賣手續確定後，買方之對手為：
期貨商
7.
期貨交易比遠期交易具有「安全與效率」之優勢主要因那一單位之建立？
(A)主管機關 (B)期交所 (C)公會 (D)結算所
9.
下列何者不屬於期貨市場之功能？
(A)品質等級
(B)數量
(A)結算所
(A)募集資金
(B)投機
(C)下單方式
(B)賣方
(C)避險
(D)交
(C)期交所
(D)
(D)價格發現
13. 期貨契約不同於遠期契約的最大差異在於： (A)定型化 (B)電腦化 (C)透明化 (D)以
上皆是
21. 期貨商向交易人發出追繳保證金通知為當交易人帳戶餘額低於：
(A)交易保證金 (B)結算保證金 (C)維持保證金 (D)原始保證金
81. 同時買進到期日期和履約價格相同的買權和賣權(買進跨式部位)可用於：
A.看空標的物價格；B.看多標的物價格；C.標的物價格持平
(A)A. C.
(B)A. B. C.
(C)B. C.
(D)A. B.
82. 三月黃金期貨市價為 290，則下列何種黃金期貨買權有較高之時間價值？
(A)履約價格為 270
(B)履約價格為 280
(C)履約價格為 290
(D)履約價格為 300
83. 某一投資持有公債期貨空頭部位，其應如何應用選擇權來保護其投資？
(A)買入公債期貨買權
(B)買入公債期貨賣權
(C)賣出公債期貨買權
(D)賣出公債期
貨賣權
84. 其他條件不考慮，利率上揚，則期貨賣權價格應： (A)越高 (B)越低 (C)無關 (D)不一
定
85. 價平(at-the-money)原油期貨買權指原油期貨價格：
(A)等於履約價格 (B)大於履約價格 (C)小於履約價格
(D)大於或小於履約價格
86. 期貨買權之內含價值(Intrinsic Value)與時間價值之關係為何？
(A)成正向關係 (B)成反向關係 (C)不一定 (D)無關
87. 買入黃金期貨賣權一般是：
(A)看多黃金市場 (B)看空黃金市場 (C)預期黃金市場平穩
(D)預期黃金市場大波動
90. 下列何者是上跨式(Top Straddle)策略？
(A)賣出 2 月期貨買權履約價格$575，並買進 2 月期貨賣權履約價格$575
(B)賣出 2 月期貨買權履約價格$575，並賣出 2 月期貨賣權履約價格$575
(C)買入 2 月期貨買權履約價格$575，並賣出 2 月期貨賣權履約價格$600
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
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(D)買入 2 月期貨買權履約價格$575，並買進 2 月期貨賣權履約價格$575
91. 買進一口 9 月份 S&P500 期貨買權、履約價格為 1,400，請問上述動作與下何者可組成多
頭價差策略？
(A)買進 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410
(B)賣出 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410
(C)賣出 1 口 9 月份 S&P500 期貨買權、履約價格為 1,390
(D)買進 1 口 9 月份 S&P500 期貨賣權、履約價格為 1,410
92. 臺指選擇權市場造市者之資格限定為：
A.期貨自營商；B.證券商 (A)限 A. (B)限 B.
93. 指數選擇權到期月份為：
(A)四個
(B)五個
(C)A. B.皆可
(C)六個
(D)A. B.皆不可
(D)以上皆非
CA D A ACDCABABBBBAB
1 C
11 B
21
C
81 D
91
B
2 B
12 D
22
C
82 C
92
A
3 A
13 A
23
A
83 A
93
B
4 A
14 C
24
B
84 B
94
B
5 B
15 B
25
A
85 A
95
D
6 B
16 A
26
A
86 B
96
A
7 D
17 A
27
B
87 B
97
D
8 A
18 A
28
C
88 D
98
A
9 A
19 D
29
A
89 A
99
C
10 A
20 B
30
B
90 B
100
D
科目:
※
請填入學號：
注意：單一選擇題，答對題數每題得 2 分，答錯題數每題扣 2 分。
答案欄：考生請在「答案欄」上作答，謝謝合作。
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第 13 頁，共 69 頁
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91.
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94.
95.
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14
98.
99.
100.
1. If we compare the prices of two options that are identical in every way except that one is
American and one is European, the price of the European should be at least as high as the
American.
a. True
Incorrect. The American call should be worth at least as much as the European call due to the
American call’s greater flexibility.
b. False
Correct.
2. When the price of a stock moves, the dollar change of the stock is generally less than the
dollar change of the option price.
a. True
Incorrect. The dollar change of the stock is greater than the dollar change of the option. It is
the percentage change in the option price which is greater than the percentage change in the
stock price.
b. False
Correct.
3. Options are a zero-sum game, meaning that profits on the long position represent losses on
the short side, and vice versa.
a. True
Correct.
b. False
Incorrect. Options are in fact a zero-sum game.
4. Call and put option prices decrease as the volatility of the underlying stock increases.
a. True
Incorrect. Due to the asymmetry of option payoffs, call and put option prices increase as the
volatility of the underlying assets increases.
b. False
Correct.
5. Under the binomial option-pricing model, once the possible stock prices at expiration have
been determined, it is not necessary to make an assumption as to the probability of reaching
each ending stock price.
a. True
Correct.
第 14 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
15
b. False
Incorrect. This is due to the fact that the market already prices these probabilities into the
stock price, and the fact that binomial model prices an option through the principle of “no
arbitrage”.
6. When using put-call parity relationships, all of the following conditions must be met in
order to be certain that the cash flows of the portfolios will be identical at the options’
expiration date, except:
a. The call and put options must have the same exercise price.
Incorrect. This is a necessary condition.
b. The call and put options must share the same expiration date.
Incorrect. This is a necessary condition.
c. The underlying stock must not pay a dividend during the life of the options.
Incorrect. This is a necessary condition.
d. The call and put options must be American options.
Correct. The call and put options must be European options.
7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the
following scenario: current stock price = $24; possible stock prices at expiration = $36, or $16;
exercise price of a call option = $30?
a. 0.3
b. 0.4
c. 0.6
d. 0.5
correct. (6-0)/(36-16); h =0.3
8. In order to price an option using the binomial option-pricing model, which of the following
pieces of information is not necessary?
a. The current price of the underlying stock.
Incorrect. This is required information.
b. An estimate of the company’s current beta.
Correct. This isn’t required information.
c. The amount of time remaining before the option expires.
Incorrect. This is required information.
d. The market’s current risk-free rate.
Incorrect. This is required information.
9. Which of the following portfolios represents a synthetic position equivalent to a short bond
PV(X)?
第 15 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
a. Long call, short stock, and short put.
Correct.
b. Short call, short stock, and short put.
Incorrect. –B = C – S – P.
c. Short call, long stock, and long put.
Incorrect. –B = C – S – P.
d. Long call, short stock, and long put.
Incorrect. –B = C – S – P.
10. Consider the following scenario. The stock of ABC Company is currently trading at $18.
In 6 months, the stock will either be worth $27, or $9. The risk-free rate is 20%. Using the
risk-neutral method, what is the probability of an upward move (to $27)?
a.
0.3
b. 0.4
c. 0.5
d. 0.6
correct. (27*p) + [9*(1-p)] = 18*1.1; p = 0.6
Pr o 
27
9
R  d 1.1  0.5 0.6
， R  1.1 ， u 
，d  。


18
18
u  d (27  9)
1
18
Section :
INCORRECT
1 : An option can be exercised after its expiration date.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; an option can be exercised up to and including its expiration date.
CORRECT
2 : It is not possible for a call option to sell for more than the underlying stock.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
第 16 頁，共 69 頁
16
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
17
INCORRECT
3 : The first stock index options were contracts on the S<![CDATA[&]]>P 500.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; it was the S&P 100.
CORRECT
4 : All stock index options use a cash settlement procedure when they are exercised.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
5 : A _____ option on a stock gives the holder the right to buy the underlying stock at a given price
before the option expiration date.
a. hedge
b. call
c. put
d. protective put
The correct answer is b
Your answer is a
Feedback : This is not correct; calls-buy, puts-sell.
INCORRECT
6 : Buying a baseball ticket to see a Mets game is similar to:
a. put option
b. call option
c. covered option
d. writing an option
The correct answer is b
Your answer is a
Feedback : This is not correct; a call option gives you rights, but not an obligation to exercise the option.
A baseball ticket gives you a right to a seat, but you are obliged to go. In both cases if you do not exercise
your rights, you lose your money.
第 17 頁，共 69 頁
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CORRECT
7 : An option is said to be <![CDATA[&quot;]]>in-the-money<![CDATA[&quot;]]> if it has
a. a positive intrinsic value.
b. a zero intrinsic value.
c. an exercise price greater than the intrinsic value.
d. an exercise price less than the intrinsic value.
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
8 : A call option sells for $15, has a strike price of $60 and expires in 6 months. If the stock price is $50
per share and the risk-free interest rate is 5 percent, what is the price of a put option with a strike price of
$60 and 6 months to maturity?
a. $18.77
b. $21.87
c. $23.52
d. $26.52
The correct answer is c
Your answer is a
Feedback : This is not correct; the put-call parity relationship is expressed algebraically as C ? P = S ?
Ke^?rT, where:<blockquote>C = the value of the call, P = the value of the put,<br></br>
S = the value of the stock, K = the strike price of the options,<br></br>
r = the risk?free rate, and T = the time to expiration</blockquote>
INCORRECT
9 : At what stock price does the owner of a call option break even?
a. When the stock price is equal to the strike price.
b. When the stock price is below the strike price by the amount of the premium.
c. When the stock price is above the strike price by the amount of the premium.
d. Whenever the option expires in-the-money.
The correct answer is c
Your answer is a
Feedback : This is not correct; a call owner breaks even when the stock price is equal to the strike price
plus the option premium paid.
CORRECT
10 : A protective put
第 18 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
a. acts as insurance against the decline of the underlying stock.
b. represents a short position in both the stock and the put.
c. has a linear payoff.
d. guarantees a maximum profit potential.
The correct answer is a
Your answer is a
Feedback : You are correct!
Section :
INCORRECT
1 : "In the money options" are usually sold rather than exercised.
a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; the statement is true
INCORRECT
2 : The premium imbedded in a call option will generally increase with the interest rate.
a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; the statement is correct.
INCORRECT
3 : Interest rates and call prices are positively related.
a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; interest rates and call prices are positively related.
CORRECT
4 : In the Black-Scholes-Merton option pricing model, a put option eta is greater than or equal to 1.
a. True
b. False
The correct answer is b
第 19 頁，共 69 頁
19
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
20
Your answer is b
Feedback : You are correct!
CORRECT
5 : When examining volatility skews, it is generally found that for a _____ strike price the implied
standard deviation is ______.
a. lower; lower
b. lower; higher
c. higher; higher
d. There is no general relationship.
The correct answer is b
Your answer is b
Feedback : You are correct!
INCORRECT
6 : As a stock's dividend yield decreases, put prices _____ and call prices _____.
a. increase...increase
b. increase...decrease
c. decrease...decrease
d. decrease...increase
The correct answer is d
Your answer is b
Feedback : This is not correct; dividends ultimately lower stock
prices.<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Recall that the minimum value of an
option is:<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C = max[0, S -K] and P = max[0,
K - S]
CORRECT
7 : Vega is
a. positive for a call option and negative for a put option.
b. positive for both a put and call option.
c. negative for a call option and positive for a put option.
d. negative for both a put and call option.
The correct answer is b
Your answer is b
Feedback : You are correct!
INCORRECT
第 20 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
8 : Calculating an implied volatility requires that all input values be known except for
a. call price.
b. put price.
c. dividend yield.
d. sigma.
The correct answer is d
Your answer is b
Feedback : This is not correct; sigma is volatility.
INCORRECT
9 : If the S<![CDATA[&]]>P 500 index has a value of 996.33, an SPX option contact has a value of
a. $99,633
b. $49,816
c. $996,330
d. $498,165
The correct answer is a
Your answer is b
Feedback : This is not correct; S&P 500 index option contracts have a value equal to $100 times the
index.
CORRECT
10 : Which of the following would decrease the price of a call option?
a. The underlying stock price increases.
b. The volatility of the underlying stock decreases.
c. The risk-free rate of interest increases.
d. The dividend yield of the underlying stock decreases.
The correct answer is b
Your answer is b
Feedback : You are correct!
Author Name : Corrado
Site Name : Fundamentals of Investments
Chapter : Chapter 16 : Futures Contracts
Quiz : Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
第 21 頁，共 69 頁
21
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
22
Out of 10 questions, you answered 4 correctly.
4 correct (40%)
6 incorrect (60%)
0 unanswered (0%)
===========================================================================
=================
===========================================================================
=================
Your Results :
===========================================================================
=================
Section :
INCORRECT
1 : Commodity futures date back to ancient times, but financial futures have only been in existence since
the roaring 20's.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; the first financial futures were traded in 1972 on the International Money
Market (IMM), a division of the Chicago Mercantile Exchange.
INCORRECT
2 : Traders at the Chicago Board of Trade (CME) must all wear the same color jackets.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; traders make a fashion statement by wearing bold color (or print) jackets
to make them easily identified.
INCORRECT
3 : American futures exchanges devote their activities exclusively to commodity futures.
a. True
b. False
第 22 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
23
The correct answer is b
Your answer is a
Feedback : This is not correct; various types of futures contracts are traded on American futures
exchanges.
CORRECT
4 : Standardized futures contracts have a specified contract size.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
5 : A _____ contract is a unique formal agreement between a buyer and a seller who both commit to a
transaction at a future date at a price set by negotiation today.
a. futures
b. forward
c. long position
d. short position
The correct answer is b
Your answer is a
Feedback : This is not correct; an investor can be either long or short with either futures or forwards but
futures are standardized.
INCORRECT
6 : Delivery of financial futures is usually accompanied by
a. a signed release.
b. the par value of the security.
c. registered ownership.
d. settlement procedures.
The correct answer is c
Your answer is a
Feedback : This is not correct; delivery of financial futures is often accompanied by a transfer of
registered ownership. US Treasury bills are registered at the FED.
CORRECT
7 : If you wish to hedge the future purchase of 2,100,000 gallons of gasoline, and the standard size of
第 23 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
24
gasoline futures contracts is 42,000 gallons, how many contracts will you need to buy or sell?
a. buy 50 contracts
b. sell 50 contracts
c. buy 200 contracts
d. sell 200 contracts
The correct answer is a
Your answer is a
Feedback : You are correct! 2,100,000 &#247; 42,000 = 50 contracts.
CORRECT
8 : Initial margin ranges between _____ percent of total contract value.
a. 5-15
b. 10-20
c. 15-25
d. 20-30
The correct answer is a
Your answer is a
Feedback : You are correct!
CORRECT
9 : On the maturity date, stock index futures require delivery of
a. cash.
b. Treasury bills.
c. common stock.
d. common stock plus accrued dividends.
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
10 : To protect the value of a bond portfolio against a rise in interest rates using interest rate futures, the
portfolio owner could execute a __________ hedge.
a. long
b. cross
c. reverse
d. short
The correct answer is d
Your answer is a
第 24 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
25
Feedback : This is not correct; if interest rates rise, the portfolio value will decline. The hedger wants to
be able lock into a selling price by selling (shorting) futures.
Name : Corrado
Site Name : Fundamentals of Investments
Chapter : Chapter 17 : Corporate Bonds
Quiz : Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 10 questions, you answered 3 correctly.
3 correct (30%)
7 incorrect (70%)
0 unanswered (0%)
===========================================================================
=================
===========================================================================
=================
Your Results :
===========================================================================
=================
Section :
CORRECT
1 : Senior debentures have a higher claim on the firm's assets than subordinated debentures.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
2 : Convertible bonds grant bondholders the right to exchange their bonds for shares of preferred stock.
a. True
第 25 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; convertible bonds can be converted into common stock.
CORRECT
3 : When a redemption is due, a sinking fund trustee will randomly select the bonds to be called.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
CORRECT
4 : Floaters are often putable at par value.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
5 : Most corporate bond trading takes place in/on the
a. primary market.
b. NYSE.
c. Amex.
d. OTC market.
The correct answer is d
Your answer is a
Feedback : This is not correct; the corporate bond market is primarily a dealer market.
INCORRECT
6 : Relative to bonds that do not have call or put provisions, a callable bond will have a __________
coupon rate and a putable bond will have a __________ coupon rate.
a. higher...higher
b. higher...lower
c. lower...higher
d. Call or put provisions do not affect the coupon rate of a bond.
第 26 頁，共 69 頁
26
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
27
The correct answer is b
Your answer is a
Feedback : This is not correct. Ceteris paribus, bondholders do not like call features and will want
compensation for accepting them while issuers don't like put features and will be willing to pay less for
bonds with them.
INCORRECT
7 : Calculate the conversion value for a bond with a par value of $1,000 that can be converted into 40
shares of the issuing firm's common stock. The stock is currently selling at $50 per share.
a. $1,000
b. $1,250
c. $2,000
d. $1,600
The correct answer is c
Your answer is a
Feedback : This is not correct.<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Conversion Value =
Conversion Ratio &times; Market Price
INCORRECT
8 : A protective covenant is designed to:
a. restrict a corporation from offering a negative pledge clause.
b. restrict corporations from causing a deterioration in credit rating on bonds.
c. prevent corporations from suspending coupon payments on bonds.
d. require a indenture when make a private placement.
The correct answer is b
Your answer is a
Feedback : This is not correct; a protective covenant specifies restrictions in a bond indenture in order to
protect bondholders from causing a deterioration in credit ratings.
INCORRECT
9 : When the price/yield curve is bowed toward the origin, this is called
a. affirmative convexity.
b. definite convexity.
c. positive convexity.
d. negative convexity.
The correct answer is c
Your answer is a
Feedback : This is not correct; negative convexity exists when the price/yield relationship is bowed away
from the origin.
第 27 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
28
INCORRECT
10 : Generally, notes have maturities
a. greater than 5 years.
b. less than 5 years.
c. greater than 10 years.
d. less than 10 years.
The correct answer is d
Your answer is a
Feedback : This is not correct. Bills mature in one year or less and bonds have maturities greater than 10
years.
Author Name : Corrado
Site Name : Fundamentals of Investments
Chapter : Chapter 10 : Bond Prices and Yields
Quiz : Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 10 questions, you answered 2 correctly.
2 correct (20%)
8 incorrect (80%)
0 unanswered (0%)
===========================================================================
=================
===========================================================================
=================
Your Results :
===========================================================================
=================
Section :
INCORRECT
1 : According to Malkiel's theorems, shorter term bonds are more sensitive to changes in yields than
第 28 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
29
longer term bonds.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; Malkiel's second theorem states that "for a given change in a bond's yield
to maturity, the longer the term of a bond, the greater will be the magnitude of a change in price."
CORRECT
2 : The yield to maturity for a premium bond is less than its coupon rate.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
CORRECT
3 : Unless a bond is selling at par, the current yield is always between the coupon rate and the yield to
maturity.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
4 : A bond is usually called after a rise in interest rates.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; a bond is usually called after a decline in interest rates.
INCORRECT
5 : The two components of the bond pricing formula are
a. present value of coupon payments and yield to maturity.
b. present value of coupon payments and present value of principal payment at maturity.
c. yield to maturity and future value of coupon payment.
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30
d. yield to maturity and current yield.
The correct answer is b
Your answer is a
Feedback : This is not correct; the price of a bond is the present value of all cash flows associated with it.
INCORRECT
6 : Which of the following statements about duration is FALSE?
a. Ceteris paribus, the longer a bond's maturity, the longer its duration.
b. Ceteris paribus, a bond's duration decreases at an increasing rate as maturity lengthens.
c. Ceteris paribus, the higher a bond's coupon, the shorter its duration.
d. Ceteris paribus, the duration on a bond with coupons is always less than its maturity.
The correct answer is b
Your answer is a
Feedback : This is not correct; this is a true statement.
INCORRECT
7 : The risk that arises in dedicated portfolios when the target date value (ending value) of a bond or bond
portfolio is not known with certainty is known as __________ risk.
a. reinvestment rate
b. price
c. interest rate
d. value
The correct answer is b
Your answer is a
Feedback : This is not correct. Value and price are the same in equilibrium.
INCORRECT
8 : The yield to maturity for a 10 percent annual coupon bond with 10 years to maturity, selling for
$885.30 is
a. 6%
b. 10%
c. 12%
d. 15%
The correct answer is c
Your answer is a
Feedback : This is not correct.<blockquote>
PV = ?Price<br></br>
FV = Par<br></br>
PMT = Coupon payment per compounding period<br></br>
第 30 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
31
N = Number of compounding periods<br></br>
I/Y = Interest per compounding period</blockquote>
INCORRECT
9 : Calculate the price of a 15 year bond with a face value of $1,000 and an annual coupon of $120, when
the yield to maturity is 10 percent.
a. $1,152.12
b. $1,726.58
c. $1,000.00
d. $695.76
The correct answer is d
Your answer is a
Feedback : This is not correct.<blockquote>
PV = ??? = ?$1152.12<br></br>
FV = 1000<br></br>
PMT = 120<br></br>
N = 15<br></br>
I/Y = 10</blockquote>
INCORRECT
10 : Sarah Clark needs to purchase a dedicated bond portfolio with a five year maturity to match
$200,000 in estimated outlays for her company "Hopefully Insured". Coupons are paid semiannually and
currently yielding 6%. The present value that must be invested is ______.
a. $172,522
b. $111,679
c. $200,000
d. $148,819
The correct answer is d
Your answer is a
Feedback : This is not correct; the present value of $200,000 is [$200,000/(1 + .03)¹⁰]
&#187; $148,819.]
Author Name : Corrado
Site Name : Fundamentals of Investments
Chapter : Chapter 6 : Common Stock Valuation
Quiz : Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
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================
Out of 10 questions, you answered 0 correctly.
0 correct (0%)
10 incorrect (100%)
0 unanswered (0%)
===========================================================================
=================
===========================================================================
=================
Your Results :
===========================================================================
=================
Section :
INCORRECT
1 : Due to its simplicity, the constant perpetual growth model can be usefully applied to any company.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; this model is only usefully applied to companies with a history of
relatively stable earnings and dividend growth expected to continue into the distant future.
INCORRECT
2 : The substantive growth rate refers to dividend growth that can be sustained by a company's earnings.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; the sustainable growth rate refers to dividend growth that can be sustained
by a company's earnings.
INCORRECT
3 : A firm's growth rate equals the retention ratio divided by its return on equity.
a. True
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b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; a firm's growth rate equals the retention ratio multiplied by its return on
equity
INCORRECT
4 : Unlike the constant growth rate model, the two-stage dividend discount model is suitable for
companies that don't pay dividends.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct. Normally, the two-stage dividend discount model is for companies that
have a period of high growth followed by an infinite period of constant growth.
INCORRECT
5 : Suppose a risky security has an equal probability of paying either $400 or $500 in one year. What is
the present value of the expected future cash flow if the discount rate is equal to 5%?
a. $380.95
b. $428.57
c. $476.19
d. $452.38
The correct answer is b
Your answer is a
Feedback : This is not correct; expected value is the sum of the probability-weighted values of each of the
individual payoffs. Present value is simply the discount value of the expected future value.
INCORRECT
6 : An analyst would expect Starbucks to have a
a. low price/earnings ratio
b. high price/earnings ratio
c. low price/book ratio
d. high price/book ratio
The correct answer is b
Your answer is a
Feedback : This is not correct; growth stocks generally have high P/E ratios.
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INCORRECT
7 : A firm has a per share dividend of $4 and is expected to decrease by 15% per year for the next five
years and then grow at a rate of 10%. Using the two stage model, determine the value of the stock. The
discount rate is 8%.
a. $42.28
b. $10.35
c. $61.71
d. $52.35
The correct answer is d
Your answer is a
Feedback : This is not correct; PV = $4(.85)/.08 &#8722; (&#8722;.15) [1 &#8722;
(.85/1.08)⁵] + (.85/1.08)⁵ ($4(1.05)/.08 &#8722; .05) = $52.35
INCORRECT
8 : Suppose that the dividend growth rate is 12 percent, the discount rate is 8 percent, there are 30 years
of dividends to be paid, and the current dividend is $14. What is the value of the stock based on the
constant growth model?
a. $558.23
b. $626.84
c. $708.93
d. $775.12
The correct answer is d
Your answer is a
Feedback : This is not correct. The formula for the value of a stock that pays a dividend that grows at a
constant rate over a finite period is:<br></br><blockquote>V(0) = D(0)(1 + g)/(k ? g) &times; {1 ? [(1 +
g)/(1 + k)]^T}]<br></br>where; V(0) = the value at time t = 0<br></br>D(0) = the current
dividend<br></br>g = the constant growth rate<br></br>k = the appropriate discount rate<br></br>T =
the number of dividend paying periods</blockquote>
INCORRECT
9 : If the U.S T-bill rate is 4 percent and the stock market risk premium is 8 percent, then the CAPM
discount rate for a security with a beta of 1.4 is
a. 12%.
b. 15.2%.
c. 5.6%.
d. 13.4%.
The correct answer is b
Your answer is a
Feedback : This is not
correct.<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount Rate
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= T-bill Rate + &#946;(Market Risk Premium)
INCORRECT
10 : Under the constant growth version of the DDM,
a. D₅ = D₀(1 + g)
b. D₅ =D₀(1 + g)⁴
c. D₅ = D₃(1 + g)²
d. D₅ = D₄(1 + g)²
The correct answer is c
Your answer is a
Feedback : This is not correct. D₃ = D₀(1 + g)³ and
D₅ = D₃(1+g)²
Options
24.1 Calls and Puts
Selling Calls and Puts
Financial Alchemy with Options
24.2 What Determines Option Values?
Upper and Lower Limits on Option Values
The Determinants of Option Value
Option-Valuation Models
24.3 Spotting the Option
Options on Real Assets
Options on Financial Assets
24.4 Summary
Author Name : Brealey
Site Name
: Fundamentals of Corporate Finance
Chapter
: Chapter 24 : Options
Quiz
: Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 15 questions, you answered 2 correctly.
2 correct (13%)
13 incorrect (87%)
0 unanswered (0%)
=======================================================================
=====================
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=======================================================================
=====================
Your Results :
=======================================================================
=====================
Section :
INCORRECT
1 : The seller of a put option is betting that the market value of the stock will decrease.
a. True
b. False
The correct answer is b
Your answer is a
Feedback :
CORRECT
2 : At expiration a call option will have no value if the stock price is less than exercise price.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
INCORRECT
3 : If the owner of a call option with a strike price of $35 finds the stock to be trading for $42 at
expiration, then the option:
a. expires worthless.
b. will not be exercised.
c. is worth $7 per share.
d. cost too much initially.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
4 : Which of the following is true for the owner of a call option?
a. The loss potential is unlimited.
b. The profit potential is unlimited.
c. The premium exceeds the strike price.
d. There is no expiration date, unless the option is a European call.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
5 : What is the option buyer's total profit or loss per share if a call option is purchased for a $5
premium, has a $50 exercise price, and the stock is valued at $53 at expiration?
a. ($5)
b. ($2)
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c. $3
d. $8
The correct answer is b
Your answer is a
Feedback :
CORRECT
6 : Which of the following option traders <i>receive</i>, rather than pay, a premium?
a. Option sellers
b. Option buyers
c. Both option sellers and buyers
d. Neither buyers nor sellers receive premiums
The correct answer is a
Your answer is a
Feedback :
INCORRECT
7 : Which of the following is true for an investor that owns a share of stock and has purchased a put
option on the stock?
a. The investor profits when the stock decreases in value.
b. Maximum loss is the price of the option premium.
c. The investor is protected against upside potential.
d. Increases in stock value go to the seller of the put.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
8 : Which combination of positions will tend to protect the owner from downside risk?
a. Buy the stock and buy a call option.
b. Sell the stock and buy a call option.
c. Buy the stock and buy a put option.
d. Buy the stock and sell a put option.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
9 : What is the worst-case profitability scenario for an investor who sold a call on the firm's stock
for a premium of $10 and a strike price of $100?
a. $90 per share profit
b. $10 per share profit
c. $0 per share profit (break-even)
d. Unlimited losses
The correct answer is d
Your answer is a
Feedback :
INCORRECT
10 : Which of the following call options would command the higher premium in September, 2002,
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other things equal?
a. October 2002 expiration, $45 strike price
b. December 2002 expiration, $40 strike price
c. March 2003 expiration, $45 strike price
d. June 2003 expiration, $40 strike price
The correct answer is d
Your answer is a
Feedback :
INCORRECT
11 : The option to abandon a project investing in real assets can be considered to have a strike price
equal to the:
a. historical cost of the asset.
b. market value of the asset at abandonment.
c. forgone revenues anticipated from the project.
d. forgone interest on the bonds used to finance the real assets.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
12 : The conversion ratio for a convertible bond equals the:
a. ratio of bond value to stock price at conversion.
b. number of bonds necessary to convert into one share of stock.
c. number of shares of stock that can be exchanged for one bond.
d. floor value beneath which the bond price cannot fall.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
13 : If a $1,000 convertible bond with a market value of $950 has a conversion ratio of 25 when the
firm's stock is selling for $36 per share, then:
a. the bond will be converted immediately.
b. the bond is violating its "price floor."
c. conversion now would give the investor a profit of $900.
d. the conversion value of the bond is $900.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
14 : Option buyers can have a(n) _____ of exercising their options. Options sellers can have a(n)
_____ of exercising their options.
a. obligation; obligation
b. obligation; right
c. right; right
d. right; obligation
The correct answer is d
Your answer is a
Feedback :
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INCORRECT
15 : The value of a call option increases as the time to expiration increases because:
a. the exercise price continually decreases.
b. opportunity increases to surpass exercise price.
c. dividends accumulate while waiting to be paid.
d. the option can be repeatedly exercised.
The correct answer is b
Your answer is a
Feedback :
Author Name : Brealey
Site Name
: Fundamentals of Corporate Finance
Chapter
: Chapter 4 : The Time Value of Money
Quiz
: Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 15 questions, you answered 3 correctly.
3 correct (20%)
12 incorrect (80%)
0 unanswered (0%)
=======================================================================
=====================
=======================================================================
=====================
Your Results :
=======================================================================
=====================
Section :
CORRECT
1 : The more frequent the compounding, the higher the future value, other things equal.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
INCORRECT
2 : For a given amount, the lower the discount rate, the less the present value.
a. True
b. False
The correct answer is b
Your answer is a
Feedback :
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INCORRECT
3 : Converting an annuity to an annuity due decreases the present value.
a. True
b. False
The correct answer is b
Your answer is a
Feedback :
INCORRECT
4 : How much will accumulate in an account with an initial deposit of $100, and which earns 10%
interest compounded quarterly for three years?
a. $107.69
b. $133.10
c. $134.49
d. $313.84
The correct answer is c
Your answer is a
Feedback :
INCORRECT
5 : How much can be accumulated for retirement if $2,000 is deposited annually, beginning one
year from today, and the account earns 9% interest compounded annually for 40 years?
a. $ 87,200.00
b. $675,764.89
c. $736,583.73
d. $802,876.27
The correct answer is b
Your answer is a
Feedback :
INCORRECT
6 : Under which of the following conditions will a future value calculated with simple interest
exceed a future value calculated with compound interest at the same rate?
a. The interest rate is very high.
b. The investment period is very long.
c. The compounding is annually.
d. This is not possible with positive interest rates.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
7 : How much interest is earned in the third year on a $1,000 deposit that earns 7% interest
compounded annually?
a. $ 70.00
b. $ 80.14
c. $105.62
d. $140.00
The correct answer is b
Your answer is a
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40
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
41
Feedback :
INCORRECT
8 : How long must one wait (to the nearest year) for an initial investment of $1,000 to triple in value
if the investment earns 8% compounded annually?
a. 9
b. 14
c. 22
d. 25
The correct answer is b
Your answer is a
Feedback :
CORRECT
9 : A credit card account that charges interest at the rate of 1.25% per month would have an
annually compounded rate of _______ and an APR of _______.
a. 16.08%; 15.00%
b. 14.55%; 16.08%
c. 12.68%; 15.00%
d. 15.00%; 14.55%
The correct answer is a
Your answer is a
Feedback :
INCORRECT
10 : What is the APR on a loan that charges interest at the rate of 1.4% per month?
a. 10.20%
b. 14.00%
c. 16.80%
d. 18.16%
The correct answer is c
Your answer is a
Feedback :
INCORRECT
11 : If the effective annual rate of interest is known to be 16.08% on a debt that has quarterly
payments, what is the annual percentage rate?
a. 4.02%
b. 10.02%
c. 14.50%
d. 15.19%
The correct answer is d
Your answer is a
Feedback :
INCORRECT
12 : If a borrower promises to pay you $1,900 nine years from now in return for a loan of $1,000
today, what effective annual interest rate is being offered?
a. 5.26%
b. 7.39%
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c. 9.00%
d. 10.00%
The correct answer is b
Your answer is a
Feedback :
INCORRECT
13 : What is the present value of your trust fund if it promises to pay you $50,000 on your 30th
birthday (7 years from today) and earns 10% compounded annually?
a. $25,000.00
b. $25,657.91
c. $28,223.70
d. $29,411.76
The correct answer is b
Your answer is a
Feedback :
CORRECT
14 : What is the present value of the following payment stream, discounted at 8% annually: $1,000
at the end of year 1, $2,000 at the end of year 2, and $3,000 at the end of year 3?
a. $5,022.11
b. $5,144.03
c. $5,423.87
d. $5,520.00
The correct answer is a
Your answer is a
Feedback :
INCORRECT
15 : The present value of a perpetuity can be determined by:
a. Multiplying the payment by the interest rate.
b. Dividing the interest rate by the payment.
c. Multiplying the payment by the number of payments to be made.
d. Dividing the payment by the interest rate.
The correct answer is d
Your answer is a
Feedback :
Author Name : Brealey
Site Name
: Fundamentals of Corporate Finance
Chapter
: Chapter 5 : Valuing Bonds
Quiz
: Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 15 questions, you answered 6 correctly.
6 correct (40%)
9 incorrect (60%)
0 unanswered (0%)
第 42 頁，共 69 頁
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=======================================================================
=====================
=======================================================================
=====================
Your Results :
=======================================================================
=====================
Section :
CORRECT
1 : Longer-term bond prices are more sensitive to changes in interest rates than are short-term bond
prices.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
CORRECT
2 : A Treasury bond's bid price will be lower than the ask price.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
INCORRECT
3 : Which of the following presents the correct relationship? As the coupon rate of a bond
increases, the bond's:
a. face value increases.
b. current price decreases.
c. interest payments increase.
d. maturity date is extended.
The correct answer is c
Your answer is a
Feedback :
CORRECT
4 : What happens when a bond's expected cash flows are discounted at a rate lower than the bond's
coupon rate?
a. The price of the bond increases.
b. The coupon rate of the bond increases.
c. The par value of the bond decreases.
d. The coupon payments will be adjusted to the new discount rate.
The correct answer is a
Your answer is a
Feedback :
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INCORRECT
5 : When an investor purchases a $1,000 par value U.S. Treasury bond that was quoted at 97.16, the
investor:
a. receives 97.5% of the stated coupon payments.
b. receives $975 upon the maturity date of the bond.
c. pays 97.5% of face value for the bond.
d. pays $1,025 for the bond.
The correct answer is c
Your answer is a
Feedback :
CORRECT
6 : How much should you pay for a $1,000 bond with 10% coupon, annual payments, and five years
to maturity if the interest rate is 12%?
a. $ 927.90
b. $ 981.40
c. $1,000.00
d. $1,075.82
The correct answer is a
Your answer is a
Feedback :
INCORRECT
7 : The current yield of a bond can be calculated by:
a. multiplying the price by the coupon rate.
b. dividing the price by the annual coupon payments.
c. dividing the price by the par value.
d. dividing the annual coupon payments by the price.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
8 : The discount rate that makes the present value of a bond's payments equal to its price is termed
the:
a. rate of return.
b. yield to maturity.
c. current yield.
d. coupon rate.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
9 : What is the coupon rate for a bond with three years until maturity, a price of $1,053.46, and a
yield to maturity of 6%?
a. 6%
b. 8%
c. 10%
d. 11%
The correct answer is b
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Your answer is a
Feedback :
INCORRECT
10 : Which of the following factors will change when interest rates change?
a. The expected cash flows from a bond
b. The present value of a bond's payments
c. The coupon payment of a bond
d. The maturity value of a bond
The correct answer is b
Your answer is a
Feedback :
CORRECT
11 : What is the rate of return for an investor who pays $1,054.47 for a three-year bond with a 7%
coupon and sells the bond one year later for $1,037.19?
a. 5.00%
b. 5.33%
c. 6.46%
d. 7.00%
The correct answer is a
Your answer is a
Feedback :
CORRECT
12 : How does a bond dealer generate profits when trading bonds?
a. By maintaining bid prices lower than ask prices
b. By maintaining bid prices higher than ask prices
c. By retaining the bond's next coupon payment
d. By lowering the bond's coupon rate
The correct answer is a
Your answer is a
Feedback :
INCORRECT
13 : The yield curve depicts the current relationship between:
a. bond yields and default risk.
b. bond maturity and bond ratings.
c. bond yields and maturity.
d. promised yields and default premiums.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
14 : Which of the following bonds would be likely to exhibit a <i>greater degree</i> of interest-rate
risk?
a. A coupon-paying bond with 5 years until maturity.
b. A coupon-paying bond with 20 years until maturity.
c. A floating-rate bond with 20 years until maturity.
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d. A zero-coupon bond with 30 years until maturity.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
15 : What is the yield to maturity (APR) of a bond with the following characteristics? Coupon rate
is 8% with semi-annual payments, current price is $960, three years until maturity.
a. 4.78%
b. 5.48%
c. 9.57%
d. 12.17%
The correct answer is c
Your answer is a
Feedback :
Author Name : Brealey
Site Name
: Fundamentals of Corporate Finance
Chapter
: Chapter 6 : Valuing Stocks
Quiz
: Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 15 questions, you answered 0 correctly.
0 correct (0%)
15 incorrect (100%)
0 unanswered (0%)
=======================================================================
=====================Author Name : Brealey
Site Name
: Fundamentals of Corporate Finance
Chapter
: Chapter 25 : Risk Management
Quiz
: Multiple Choice Quiz
Student Name: CHY
Section ID:
Results Reporter
================
Out of 15 questions, you answered 4 correctly.
4 correct (27%)
11 incorrect (73%)
0 unanswered (0%)
=======================================================================
=====================
=======================================================================
=====================
Your Results :
=======================================================================
=====================
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Section :
CORRECT
1 : Put options can be thought of as insurance policies for commodity producers.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
CORRECT
2 : Hedging reduces risk, but it is seldom cost free.
a. True
b. False
The correct answer is a
Your answer is a
Feedback :
INCORRECT
3 : Which of the following is <i>not</i> generally considered a benefit of hedging?
a. It reduces one or more aspects of business risk.
b. It allows prices to be locked in advance.
c. The costs of hedging are paid by the speculators.
d. It can stabilize profits.
The correct answer is c
Your answer is a
Feedback :
CORRECT
4 : How might a firm such as General Mills use options to control raw material prices for breakfast
cereals?
a. Buy call options on commodities.
b. Sell call options on commodities.
c. Buy put options on commodities.
d. Sell put options on commodities.
The correct answer is a
Your answer is a
Feedback :
CORRECT
5 : The spot price of silver closes at $7 per ounce at the expiration of an option contract. Which
one of the following option positions will have value?
a. The buyer of a call with $5 strike price.
b. The seller of a call with $5 strike price.
c. The buyer of a put with $5 strike price.
d. The seller of a put with $5 strike price.
The correct answer is a
Your answer is a
Feedback :
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INCORRECT
6 : Which of the following is <i>not</i> correct concerning futures contracts?
a. Entails an obligation rather than an option.
b. Contract price is set at the beginning of the contract.
c. Contracts are exchange-traded.
d. Gains or losses are recorded at contract expiration.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
7 : What happens to the price of a futures contract as expiration draws closer?
a. It exceeds the spot price of the asset.
b. It is exceeded by the spot price of the asset.
c. It approaches the spot price of the asset.
d. There is no relationship between futures price and spot price as the contract approaches
expiration.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
8 : The process of marking a futures contract to market means that:
a. the profitability of the contract is locked in from the onset of the contract.
b. the amount of commodity to be delivered changes as prices change.
c. contracts are closed out as soon as they become unprofitable.
d. profits or losses are posted to the contract daily.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
9 : The basic difference between speculators and hedgers in futures contracts is that speculators:
a. will profit regardless of the direction of price change.
b. are not protecting their commodity holdings.
c. are concerned only with long-term price movements.
d. take a position in more than one commodity at a time.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
10 : You enter into a forward contract to take delivery of one million Deutsche marks three months
from now. What happens to the price you will pay at expiration if marks depreciate during the
contract?
a. Your price will increase.
b. Your price will decrease.
c. Your price was fixed at the onset of the contract.
d. Your price was fixed, and you will receive correspondingly more marks due to the
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depreciation.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
11 : When two borrowers engage in a currency swap, they agree to:
a. trade one currency for another, thus avoiding the foreign exchange market.
b. make payments on each other's borrowings in a different currency.
c. pay to each other any depreciation or appreciation of the currency.
d. exchange fixed-rate interest payments for variable-rate interest payments.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
12 : Because most hedging acts to reduce risk, managers should expect that hedging will:
a. increase profits.
b. decrease profits.
c. increase the firm's stock price.
d. stabilize the firm's dividend payout.
The correct answer is b
Your answer is a
Feedback :
INCORRECT
13 : If managers are rational, they will only hedge when they perceive that:
a. prices are headed in an adverse direction.
b. derivative instruments are priced lower than actual value.
c. risk reduction is preferable to higher potential profits.
d. they can increase their profitability by doing so.
The correct answer is c
Your answer is a
Feedback :
INCORRECT
14 : Hershey's Chocolate is concerned about cocoa prices prior to building inventory for Halloween
sales. Analysts project that price per ton could vary from $1,250 to $1,500. A September call
option can be purchased with a $1,300 strike price for a premium of $145. What is Hershey's
worst-case scenario if it purchases these options?
a. Cocoa prices will rise to $1,500 and Hershey is only protected to a price of $1,300.
b. Cocoa prices will decline to $1,250 and Hershey must pay an extra $50 per ton.
c. Cocoa prices will not rise above Hershey's break-even price of $1,445, which equals the sum
of the strike price plus the option premium.
d. Cocoa Prices will remain below $1,300 and Hershey will lose $145 per option contract.
The correct answer is d
Your answer is a
Feedback :
INCORRECT
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15 : Why are most futures contracts not settled through delivery of the product?
a. Most contracts are settled through the margin account.
b. Most contracts expire with neither party having an obligation to the other party.
c. Most participants cancel their futures contracts through purchase of an option contract.
d. It is easier and cheaper to settle in cash or by offset.
The correct answer is d
Your answer is a
Feedback :
1. If we compare the prices of two options that are identical in every way except that one is
American and one is European, the price of the European should be at least as high as the
American.歐式選擇權與美式選擇權有許多方面事一樣的，唯一的不同點是歐式選擇權的
價格大於等於美式選擇權的價格。
2. When the price of a stock moves, the dollar change of the stock is generally less than the
dollar change of the option price.當現貨(股票)的成交價變動時，現貨(股票)的價格變動絕對量
通常小於股票選擇權的價格變動絕對量(非相對量)。
3. Options are a zero-sum game, meaning that profits on the long position represent losses on
the short side, and vice versa. 選擇權是一種零和遊戲，「做多」一方的利益來自於「做空」
一方的損失，反之亦然。
4. Call and put option prices decrease as the volatility of the underlying stock increases.選擇
權價格(權利金)與現貨(股票)的變異數成反比，即一個增加一個減少。
5. Under the binomial option-pricing model, once the possible stock prices at expiration have
been determined, it is not necessary to make an assumption as to the probability of reaching
each ending stock price.在二項式選擇權定價模型下，一旦現貨(股票)的到期日成交價已被決
定時，那麼就不需要再對每天股票的成交價上漲或下跌的機率做任何假設。
6. When using put-call parity relationships, all of the following conditions must be met in
order to be certain that the cash flows of the portfolios will be identical at the options’
expiration date, except:當在使用買權賣權評價關係式時，為了確保兩種投資組合的現金流量
在期初是一樣，在期末也是一樣。則有一些條件須被吻合，請在 a、b、c、d 中挑出不須被吻
合的條件。
7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the
following scenario: current stock price = $35; possible stock prices at expiration = $45, or $33;
exercise price of a call option = $27?使用二項式選擇權定價模型來避險時，當目前股票價格為
$35(S)，在到期日時，股票價格有可能變成$45(Su)或是$33(Sd)，而買權的履約價格為
$27(K),(Cu=Su-K=45-27=18,Cd=6)，試求應買進幾單位的標的物(股票)，才是最佳避險比率？
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8. In order to price an option using the binomial option-pricing model, which of the following
pieces of information is not necessary?為了要使用二項式選擇權定價模型，我們需要一些資
訊，但下列哪一個資訊是我們不需要的？
9. Which of the following portfolios represents a synthetic position equivalent to a short bond
PV(X)?下列哪一組投資組合的部位等於放空債券？
10. Consider the following scenario. The stock of ABC Company is currently trading at $18.
In 6 months, the stock will either be worth $27, or $9. The risk-free rate is 20%. Using the
risk-neutral method, what is the probability of an upward move (to $27)?考慮下列情形。ABC
公司所發行的股票在今日的價格為$18，而在六個月後，它的價格有可能變成$27 或者是$9，
其無風險利率為 20%，使用風險中立者方法，求算出股票價格上漲的機率。
1. If we compare the prices of two options that are identical in every way except that one is
American and one is European, the price of the European should be at least as high as the
American.
a. True
Incorrect. The American call should be worth at least as much as the European call due to the
American call’s greater flexibility.
b. False
Correct.
2. When the price of a stock moves, the dollar change of the stock is generally less than the
dollar change of the option price.
a. True
Incorrect. The dollar change of the stock is greater than the dollar change of the option. It is
the percentage change in the option price which is greater than the percentage change in the
stock price.
b. False
Correct.
3. Options are a zero-sum game, meaning that profits on the long position represent losses on
the short side, and vice versa.
a. True
Correct.
b. False
Incorrect. Options are in fact a zero-sum game.
4. Call and put option prices decrease as the volatility of the underlying stock increases.
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a. True
Incorrect. Due to the asymmetry of option payoffs, call and put option prices increase as the
volatility of the underlying assets increases.
b. False
Correct.
5. Under the binomial option-pricing model, once the possible stock prices at expiration have
been determined, it is not necessary to make an assumption as to the probability of reaching
each ending stock price.
a. True
Correct.
b. False
Incorrect. This is due to the fact that the market already prices these probabilities into the
stock price, and the fact that binomial model prices an option through the principle of “no
arbitrage”.
6. When using put-call parity relationships, all of the following conditions must be met in
order to be certain that the cash flows of the portfolios will be identical at the options’
expiration date, except:
a. The call and put options must have the same exercise price.
Incorrect. This is a necessary condition.
b. The call and put options must share the same expiration date.
Incorrect. This is a necessary condition.
c. The underlying stock must not pay a dividend during the life of the options.
Incorrect. This is a necessary condition.
d. The call and put options must be American options.
Correct. The call and put options must be European options.
7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the
following scenario: current stock price = $24; possible stock prices at expiration = $36, or $16;
exercise price of a call option = $30?
a. 0.3
b. 0.4
c. 0.6
d. 0.5
correct. (6-0)/(36-16); h =0.3
8. In order to price an option using the binomial option-pricing model, which of the following
pieces of information is not necessary?
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a. The current price of the underlying stock.
Incorrect. This is required information.
b. An estimate of the company’s current beta.
Correct. This isn’t required information.
c. The amount of time remaining before the option expires.
Incorrect. This is required information.
d. The market’s current risk-free rate.
Incorrect. This is required information.
9. Which of the following portfolios represents a synthetic position equivalent to a short bond
PV(X)?
a. Long call, short stock, and short put.
Correct.
b. Short call, short stock, and short put.
Incorrect. –B = C – S – P.
c. Short call, long stock, and long put.
Incorrect. –B = C – S – P.
d. Long call, short stock, and long put.
Incorrect. –B = C – S – P.
10. Consider the following scenario. The stock of ABC Company is currently trading at $18.
In 6 months, the stock will either be worth $27, or $9. The risk-free rate is 20%. Using the
risk-neutral method, what is the probability of an upward move (to $27)?
a.
0.3
b. 0.4
c. 0.5
d. 0.6
correct. (27*p) + [9*(1-p)] = 18*1.1; p = 0.6
Pr o 
27
9
R  d 1.1  0.5 0.6
， R  1.1 ， u 
，d  。


18
18
u  d (27  9)
1
18
Section :
INCORRECT
1 : An option can be exercised after its expiration date.
a. True
b. False
The correct answer is b
Your answer is a
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Feedback : This is not correct; an option can be exercised up to and including its expiration date.
CORRECT
2 : It is not possible for a call option to sell for more than the underlying stock.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
3 : The first stock index options were contracts on the S<![CDATA[&]]>P 500.
a. True
b. False
The correct answer is b
Your answer is a
Feedback : This is not correct; it was the S&P 100.
CORRECT
4 : All stock index options use a cash settlement procedure when they are exercised.
a. True
b. False
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
5 : A _____ option on a stock gives the holder the right to buy the underlying stock at a given price
before the option expiration date.
a. hedge
b. call
c. put
d. protective put
The correct answer is b
Your answer is a
Feedback : This is not correct; calls-buy, puts-sell.
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INCORRECT
6 : Buying a baseball ticket to see a Mets game is similar to:
a. put option
b. call option
c. covered option
d. writing an option
The correct answer is b
Your answer is a
Feedback : This is not correct; a call option gives you rights, but not an obligation to exercise the option.
A baseball ticket gives you a right to a seat, but you are obliged to go. In both cases if you do not exercise
your rights, you lose your money.
CORRECT
7 : An option is said to be <![CDATA[&quot;]]>in-the-money<![CDATA[&quot;]]> if it has
a. a positive intrinsic value.
b. a zero intrinsic value.
c. an exercise price greater than the intrinsic value.
d. an exercise price less than the intrinsic value.
The correct answer is a
Your answer is a
Feedback : You are correct!
INCORRECT
8 : A call option sells for $15, has a strike price of $60 and expires in 6 months. If the stock price is $50
per share and the risk-free interest rate is 5 percent, what is the price of a put option with a strike price of
$60 and 6 months to maturity?
a. $18.77
b. $21.87
c. $23.52
d. $26.52
The correct answer is c
Your answer is a
Feedback : This is not correct; the put-call parity relationship is expressed algebraically as C ? P = S ?
Ke^?rT, where:<blockquote>C = the value of the call, P = the value of the put,<br></br>
S = the value of the stock, K = the strike price of the options,<br></br>
r = the risk?free rate, and T = the time to expiration</blockquote>
INCORRECT
9 : At what stock price does the owner of a call option break even?
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a. When the stock price is equal to the strike price.
b. When the stock price is below the strike price by the amount of the premium.
c. When the stock price is above the strike price by the amount of the premium.
d. Whenever the option expires in-the-money.
The correct answer is c
Your answer is a
Feedback : This is not correct; a call owner breaks even when the stock price is equal to the strike price
plus the option premium paid.
CORRECT
10 : A protective put
a. acts as insurance against the decline of the underlying stock.
b. represents a short position in both the stock and the put.
c. has a linear payoff.
d. guarantees a maximum profit potential.
The correct answer is a
Your answer is a
Feedback : You are correct!
Section :
INCORRECT
1 : "In the money options" are usually sold rather than exercised.
a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; the statement is true
INCORRECT
2 : The premium imbedded in a call option will generally increase with the interest rate.
a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; the statement is correct.
INCORRECT
3 : Interest rates and call prices are positively related.
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a. True
b. False
The correct answer is a
Your answer is b
Feedback : This is not correct; interest rates and call prices are positively related.
CORRECT
4 : In the Black-Scholes-Merton option pricing model, a put option eta is greater than or equal to 1.
a. True
b. False
The correct answer is b
Your answer is b
Feedback : You are correct!
CORRECT
5 : When examining volatility skews, it is generally found that for a _____ strike price the implied
standard deviation is ______.
a. lower; lower
b. lower; higher
c. higher; higher
d. There is no general relationship.
The correct answer is b
Your answer is b
Feedback : You are correct!
INCORRECT
6 : As a stock's dividend yield decreases, put prices _____ and call prices _____.
a. increase...increase
b. increase...decrease
c. decrease...decrease
d. decrease...increase
The correct answer is d
Your answer is b
Feedback : This is not correct; dividends ultimately lower stock
prices.<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Recall that the minimum value of an
option is:<br></br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C = max[0, S -K] and P = max[0,
K - S]
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CORRECT
7 : Vega is
a. positive for a call option and negative for a put option.
b. positive for both a put and call option.
c. negative for a call option and positive for a put option.
d. negative for both a put and call option.
The correct answer is b
Your answer is b
Feedback : You are correct!
INCORRECT
8 : Calculating an implied volatility requires that all input values be known except for
a. call price.
b. put price.
c. dividend yield.
d. sigma.
The correct answer is d
Your answer is b
Feedback : This is not correct; sigma is volatility.
INCORRECT
9 : If the S<![CDATA[&]]>P 500 index has a value of 996.33, an SPX option contact has a value of
a. $99,633
b. $49,816
c. $996,330
d. $498,165
The correct answer is a
Your answer is b
Feedback : This is not correct; S&P 500 index option contracts have a value equal to $100 times the
index.
CORRECT
10 : Which of the following would decrease the price of a call option?
a. The underlying stock price increases.
b. The volatility of the underlying stock decreases.
c. The risk-free rate of interest increases.
d. The dividend yield of the underlying stock decreases.
The correct answer is b
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59
Your answer is b
Feedback : You are correct!
科目: 期貨、選擇權理論與實務
請填入學號：
※ 注意：考生請在「答案欄」上作答，單一選擇題，共 40 題，每題 2.5 分。
答案欄：請將您的答案依題號放入下列答案欄，謝謝合作。
11.CDDAB BCABB ACA DA ACDCA BABBB BABCC
1.b
2.b
3.a
4.b
5.a
6.d
7.a
8.b
9.a
10.d
11.C
12.A
13.D
14.A
15.A
16.C
17.D
18.C
19.A
20.B
21.A
22.B
23.A
24.B
25.A
26.A
27.B
28.C
29.A
30.D
31.A
32.A
33.C
34.D
35.C
36.A
37.B
38.A
班級：
學號：
姓名：
39.
C
答對題數：
40.
C
得分：
1. If we compare the prices of two options that are identical in every way except that one is
American and one is European, the price of the European should be at least as high as the
American.
a. True
b. False
2. When the price of a stock moves, the dollar change of the stock is generally less than the
dollar change of the option price.
a. True
b. False
3. Options are a zero-sum game, meaning that profits on the long position represent losses on
the short side, and vice versa.
a. True
b. False
4. Call and put option prices decrease as the volatility of the underlying stock increases.
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a. True
b. False
5. Under the binomial option-pricing model, once the possible stock prices at expiration have
been determined, it is not necessary to make an assumption as to the probability of reaching
each ending stock price.
a. True
b. False
6. When using put-call parity relationships, all of the following conditions must be met in
order to be certain that the cash flows of the portfolios will be identical at the options’
expiration date, except:
a. The call and put options must have the same exercise price.
b. The call and put options must share the same expiration date.
c. The underlying stock must not pay a dividend during the life of the options.
d. The call and put options must be American options.
7. Using the binomial option-pricing model, what is the appropriate hedge ratio for the
following scenario: current stock price = $24; possible stock prices at expiration = $36, or $16;
exercise price of a call option = $30?
a. 0.3
b. 0.4
c. 0.6
d. 0.5
8. In order to price an option using the binomial option-pricing model, which of the following
pieces of information is not necessary?
a. The current price of the underlying stock.
b. An estimate of the company’s current beta.
c. The amount of time remaining before the option expires.
d. The market’s current risk-free rate.
9. Which of the following portfolios represents a synthetic position equivalent to a short bond
PV(X)?
a. Long call, short stock, and short put.
b. Short call, short stock, and short put.
c. Short call, long stock, and long put.
d. Long call, short stock, and long put.
10. Consider the following scenario. The stock of ABC Company is currently trading at $18.
In 6 months, the stock will either be worth $27, or $9. The risk-free rate is 20%. Using the
risk-neutral method, what is the probability of an upward move (to $27)?
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a. 0.3
b. 0.4
c. 0.5
d. 0.6
11. 下列敘述何者不正確？
(A)避險者利用期貨契約將風險轉移至投機者 (B)投機者通常對於市場未來走勢有個人
主觀預期 (C)投機者一定可以賺取期貨價差做為風險貼水 (D)投機者提高市場流動性
12. 其他條件不變時，黃金期貨買權的時間價值一般會隨著到期日的接近：
(A)呈比例遞增 (B)呈比例遞減 (C)呈加速遞增 (D)呈加速遞減
13. 某甲以 52 元買進 A 股票後，又買進同量的 A 股賣權，其履約價格為 50 元，權利金為
1.2 元，則某甲在權利期間結束時之每單位，最大可能虧損為：
(A)53.2 元 (B)51.2 元 (C)1.2 元 (D)3.2 元
14. 預期未來標的期貨價格走勢將大幅波動，但不確定上漲或下跌時，應採何應策略？
(A)買入跨式交易(Long Straddle)
(B)賣出跨式交易(Short Straddle)
(C)兀鷹價差交易(Condor Spread)
(D)盒狀價差交易(Box Spread)
15. 買進一口 9 月份 S&P500 期貨買權、履約價格為 1,400，請問上述動作與下列何者可組
成多頭價差策略？ (A)買進 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410 (B)賣出
1 口 9 月份 S&P500 期貨買權、履約價格為 1,410 (C)賣出 1 口 9 月份 S&P500 期貨買權、
履約價格為 1,390 (D)買進 1 口 9 月份 S&P500 期貨賣權、履約價格為 1,410
16. 下列何者不是期貨契約應符合之標準？
(A)結算所對買賣負責 (B)價格發現 (C)競價公開
(D)契約標準化
17. 若交易人同時買一個履約價為 100 的現貨買權，賣一個履約價為 140 的現貨買權，若現
在現貨價格為 120，不考慮權利金下，則該交易人每單位之損益為：
(A)0 (B)賠 20 (C)賺 20 (D)以上皆非
18. 當賣出期貨賣權(put)且被執行時，其結果如何？
(A)取得多頭期貨契約 (B)取得空頭期貨契約 (C)取得相等數量之現貨
(D)取得現金
19. 現貨賣權(put)履約價格為 K，選擇權標的現貨市價 F，若 F＜K，則其內含價值等於：
(A) 0
(B) K－F
(C) K＋F
(D) F
20. 設現貨買權(call)履約價格為 K，選擇權標的現貨市價 F，若 F＜K，則其內含價值等於：
(A) K－F
(B) 0
(C) F－K
(D)K
21. 新到期月份契約掛牌時，以前一營業日標的指數收盤價為基準，向下取最接近之一百點
倍數推出一個序列，另再依履約價格間距上下各推出二個序列，共計五個序列，如果
3/19(星期三)現貨收盤 6,092 點，則四月履約價格何者不可能：
(A) 5,700
(B) 5,800
(C) 5,900
(D)6,000
22. 下列何者不是期貨契約所規範的項目：
割方式
(A)品質等級
23. 期貨市場在買賣手續確定後，買方之對手為：
期貨商
(B)數量
(A)結算所
(C)下單方式
(B)賣方
(C)期交所
24. 期貨交易比遠期交易具有「安全與效率」之優勢主要因那一單位之建立？
第 61 頁，共 69 頁
(D)交
(D)
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
(A)主管機關
(B)期交所
(C)公會
25. 下列何者不屬於期貨市場之功能？
62
(D)結算所
(A)募集資金
(B)投機
(C)避險
(D)價格發現
26. 期貨契約不同於遠期契約的最大差異在於： (A)定型化 (B)電腦化 (C)透明化 (D)以
上皆是
27. 期貨商向交易人發出追繳保證金通知為當交易人帳戶餘額低於：
(A)交易保證金 (B)結算保證金 (C)維持保證金 (D)原始保證金
28. 同時買進到期日期和履約價格相同的買權和賣權(買進跨式部位)可用於：
A.看空標的物價格；B.看多標的物價格；C.標的物價格持平
(A)A. C. (B)A. B. C.
(C)B. C. (D)A. B.
29. 三月黃金期貨市價為 290，則下列何種黃金期貨買權有較高之時間價值？
(A)履約價格為 270 (B)履約價格為 280 (C)履約價格為 290 (D)履約價格為 300
30. 某一投資持有公債期貨空頭部位，其應如何應用選擇權來保護其投資？
(A)買入公債期貨買權 (B)買入公債期貨賣權 (C)賣出公債期貨買權 (D)賣出公債期
貨賣權
31. 其他條件不考慮，利率上揚，則期貨賣權價格應： (A)越高 (B)越低 (C)無關 (D)不一
定
32. 價平(at-the-money)原油期貨買權指原油期貨價格：
(A)等於履約價格 (B)大於履約價格 (C)小於履約價格
(D)大於或小於履約價格
33. 期貨買權之內含價值(Intrinsic Value)與時間價值之關係為何？
(A)成正向關係 (B)成反向關係 (C)不一定 (D)無關
34. 買入黃金期貨賣權一般是：
(A)看多黃金市場 (B)看空黃金市場
(C)預期黃金市場平穩
(D)預期黃金市場大波動
35. 下列何者是上跨式(Top Straddle)策略？
(A)賣出 2 月期貨買權履約價格$575，並買進 2 月期貨賣權履約價格$575
(B)賣出 2 月期貨買權履約價格$575，並賣出 2 月期貨賣權履約價格$575
(C)買入 2 月期貨買權履約價格$575，並賣出 2 月期貨賣權履約價格$600
(D)買入 2 月期貨買權履約價格$575，並買進 2 月期貨賣權履約價格$575
36. 買進一口 9 月份 S&P500 期貨買權、履約價格為 1,400，請問上述動作與下何者可組成多頭
價差策略？
(A)買進 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410
(B)賣出 1 口 9 月份 S&P500 期貨買權、履約價格為 1,410
(C)賣出 1 口 9 月份 S&P500 期貨買權、履約價格為 1,390
(D)買進 1 口 9 月份 S&P500 期貨賣權、履約價格為 1,410
37. 臺指選擇權市場造市者之資格限定為：
A.期貨自營商；B.證券商 (A)限 A. (B)限 B.
38. 指數選擇權到期月份為：
39.
(A)四個 (B)五個
(C)A. B.皆可
(C)六個
(D)A. B.皆不可
(D)以上皆非
期貨交易的違約機率為什麼會遠低於遠期契約，其主要原因為：
(A)期貨契約具標準化 (B)期貨交易人大多在到期前平倉
(C)結算機構的參與
40.
(D)期貨的到期期間較遠期契約短
我國指數選擇權的契約乘數為：
(A)每點 50 元
(B)每點 100 元
(C)每點 150 元
第 62 頁，共 69 頁
(D)每點 200 元
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
CDDAB BCABB
63
A
1 C 11 C
21 C
31 D
41 D 51 A
61
D
71
D
81 D
91
A
2 C 12 C
22 A
32 D
42 C 52 B
62
C
72
B
82 C
92
C
3 A 13 C
23 D
33 D
43 B 53 B
63
A
73
C
83 D
93
A
4 D 14 C
24 A
34 D
44 B 54 B
64
C
74
A
84 A
94
B
5 C 15 C
25 A
35 D
45 A 55 B
65
A
75
D
85 B
95
B
6 A 16 B
26 C
36 C
46 D 56 D
66
A
76
B
86 C
96
B
7 A 17 A
27 B
37 B
47 A 57 B
67
B
77
C
87 D
97
A
8 A 18 B
28 D
38 B
48 D 58 D
68
C
78 均給分
88 D
98
A
9 C 19 D
29 D
39 C
49 C 59 D
69
B
79
A
89 B
99
C
10 B 20 D
30 C
40 C
50 D 60 C
70
A
80
A
90 B 100
A
CA D A A
CDCAB
ABBBB
1 C
11 B
21
C
81 D
91
B
2 B
12 D
22
C
82 C
92
A
3 A
13 A
23
A
83 A
93
B
4 A
14 C
24
B
84 B
94
B
5 B
15 B
25
A
85 A
95
D
AB
第 63 頁，共 69 頁
98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
6 B
16 A
26
A
86 B
96
A
7 D
17 A
27
B
87 B
97
D
8 A
18 A
28
C
88 D
98
A
9 A
19 D
29
A
89 A
99
C
10 A
20 B
30
B
90 B
100
D
64
CC
1. While the binomial option pricing model shares many similarities with the Black and Scholes model,
one difference is that the Black and Scholes model is intended to estimate the value of American as
well as European call options.
a. True
b. False
2. While the input variables N(d1) and N(d2) can seem intimidating, they essentially represent the
risk-adjusted probabilities that an option will expire in the money.
a. True
b. False
3. When trying to price an option, implied volatility is a more effective tool than independent
measures of volatility (derived from sampling recent stock movements).
a. True
b. False
4. For firms that have outstanding convertible debt, the optimal policy is to call the bonds when their
market value equals the call price.
a. True
b. False
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
65
5. When companies value investment proposals, the difference between the NPV valuation and the
real option valuation is essentially the value of the managerial flexibility as the passing of time
resolves uncertainty surrounding a particular investment.
a. True
b. False
6. Which of the following terms in the Black and Scholes equation is not required in the binomial
option pricing equation?
a. X (the strike price of option).
b. r (the annual risk-free interest rate).
c. t (amount of time before option expires).
d. σ (annual standard deviation of underlying stock’s returns).
7. Using the Black and Scholes equation, if d2 equals 0.35, N(d2) equals:
a. 0.6368.
b. 0.5895.
c. 0.3632.
d. None of the above.
8. Which of the following is not a difference between warrants and calls?
a. Warrants are issued by firms, whereas call options are contracts between investors who are not
necessarily connected to the firm whose stock serves as the underlying asset.
b. Options are often issued with expiration dates several years in the future, whereas most warrants
expire in just a few months.
c. Although call and put options trade as stand-alone securities, firms frequently attach warrants to public
or privately placed bonds, preferred stock, and sometimes even common stock.
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
66
d. When investors exercise warrants, the number of outstanding shares increases, and the issuing firm
receives the strike price as a cash inflow. When investors exercise call options, no change in outstanding
shares occurs, and the firm receives no cash.
9. A particular call option is valued at $1.65. If a firm has 10,000 shares of stock outstanding, and it is
issuing 750 warrants with identical terms to the call option mentioned above, the value of each
warrant would be worth:
a. $1.61.
b. $1.78
c. $1.45.
d. $1.53.
10. A firm has recently issued 20-year, zero-coupon bonds. Each bond had a face value of $1,000, and
offered a yield to maturity of 1.375%. Each bond was convertible into 25 shares of the firm’s common
stock, which was trading at $42.38. What was the bond’s conversion premium?
a. 45.8%.
b. 17.9%.
c. 39.2%.
d. 28.4%.
1. While the binomial option pricing model shares many similarities with the Black and
Scholes model, one difference is that the Black and Scholes model is intended to
estimate the value of American as well as European call options.
a. True
Incorrect. Like the binomial option pricing model, the Black and Scholes model was derived to
estimate the value of European call options only.
b. False
Correct.
2. While the input variables N(d1) and N(d2) can seem intimidating(intimidate
sb into doing
脅迫某人做某事.), they essentially represent the risk-adjusted probabilities that an
option will expire in the money.
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
67
a. True
Correct.
b. False
Incorrect. For example, d1 is a numerical value that takes into consideration the current stock price,
the strike price, the volatility of the stock, the time to expiration, etc, and N(d 1) equals the probability
of drawing a particular value, d1, or a lower value from the standard normal distribution.
3. When trying to price an option, implied volatility is a more effective tool than
independent measures of volatility (derived from sampling recent stock movements).
a. True
Incorrect. A trader can’t use an option’s implied volatility to calculate its price because they have to
know the price to calculate implied volatility.
b. False
Correct.
4. For firms that have outstanding convertible debt, the optimal policy is to call the
bonds when their market value equals the call price.
a. True
Correct.
b. False
Incorrect. Calling the bonds when they’re worth less than the call price will transfer wealth away from
shareholders, as will allowing the price of a bond to rise above the call price without calling the
bonds.
5. When companies value investment proposals, the difference between the NPV
valuation and the real option valuation is essentially the value of the managerial
flexibility as the passing of time resolves uncertainty surrounding a particular
investment.
a. True
Correct.
b. False
Incorrect. Real option valuations take into account the value of management flexibility which is not
captured in an NPV analysis.
6. Which of the following terms in the Black and Scholes equation is not required in the
binomial option pricing equation?
a. X (the strike price of option).
Incorrect. This is required in the binomial option pricing model.
b. r (the annual risk-free interest rate).
Incorrect. This is required in the binomial option pricing model.
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
68
c. t (amount of time before option expires).
Incorrect. This is required in the binomial option pricing model.
d. σ (annual standard deviation of underlying stock’s returns).
Correct.
7. Using the Black and Scholes equation, if d2 equals 0.35, N(d2) equals:
a. 0.6368.
Correct.
b. 0.5895.
Incorrect. =NORMSDIST(0.35).
c. 0.3632.
Incorrect. =NORMSDIST(0.35).
d. None of the above.
Incorrect. =NORMSDIST(0.35).
8. Which of the following is not a difference between warrants and calls?
a. Warrants are issued by firms, whereas call options are contracts between investors who are not necessarily
connected to the firm whose stock serves as the underlying asset.
Incorrect. This is a difference between warrants and calls.
b. Options are often issued with expiration dates several years in the future, whereas most warrants expire in
just a few months.
Correct. Warrants are often issued with expiration dates several years in the future, whereas most
options expire in just a few months.
c. Although call and put options trade as stand-alone securities, firms frequently attach warrants to public or
privately placed bonds, preferred stock, and sometimes even common stock.
Incorrect. This is a difference between warrants and calls.
d. When investors exercise warrants, the number of outstanding shares increases, and the issuing firm
receives the strike price as a cash inflow. When investors exercise call options, no change in outstanding
shares occurs, and the firm receives no cash.
Incorrect. This is a difference between warrants and calls.
9. A particular call option is valued at $1.65. If a firm has 10,000 shares of stock
outstanding, and it is issuing 750 warrants with identical terms to the call option
mentioned above, the value of each warrant would be worth:
a. $1.61.
Incorrect. =1.65*(10000/10750).
b. $1.78
Incorrect. =1.65*(10000/10750).
c. $1.45.
Incorrect. =1.65*(10000/10750).
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98 學年度第一學期義守大學企業管理學系二○一六年三月九日星期三
69
d. $1.53.
Correct.
10. A firm has recently issued 20-year, zero-coupon bonds. Each bond had a face value
of $1,000, and offered a yield to maturity of 1.375%. Each bond was convertible into 25
shares of the firm’s common stock, which was trading at $42.38. What was the bond’s
conversion premium?
a. 45.8%.
Incorrect. Price = ($1000/1.01375^20) = $761. Conversion price = $761/25 = $30.44. Conversion
premium = ($42.38-$30.44)/$30.44 = 39.2%.
b. 17.9%.
Incorrect. Price = ($1000/1.01375^20) = $761. Conversion price = $761/25 = $30.44. Conversion
premium = ($42.38-$30.44)/$30.44 = 39.2%.
c. 39.2%.
Correct.
d. 28.4%.
Incorrect. Price = ($1000/1.01375^20) = $761. Conversion price = $761/25 = $30.44. Conversion
premium = ($42.38-$30.44)/$30.44 = 39.2%.
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