978-0134083247 Chapter 16

subject Type Homework Help
subject Pages 5
subject Words 1225
subject Authors John C. Hull

Unlock document.

This document is partially blurred.
Unlock all pages and 1 million more documents.
Get Access
page-pf1
Hull: Fundamentals of Futures and Options Markets, Ninth Edition
Chapter 16: Futures Options and Black’s Model
Multiple Choice Test Bank
1. Which of the following is acquired (in addition to a cash payoff) when the holder of a put futures
exercises?
A. A long position in a futures contract
B. A short position in a futures contract
C. A long position in the underlying asset
D. A short position in the underlying asset
2. Which of the following is acquired (in addition to a cash payoff) when the holder of a call futures
exercises?
A. A long position in a futures contract
B. A short position in a futures contract
C. A long position in the underlying asset
D. A short position in the underlying asset
3. The risk-free rate is 5% and the dividend yield on the S&P 500 index is 2%. Which of the following
is correct when a futures option on the index is being valued?
A. The futures price of the S&P 500 is treated like a stock paying a dividend yield of 5%.
B. The futures price of the S&P 500 is treated like a stock paying a dividend yield of 2%.
C. The futures price of the S&P 500 is treated like a stock paying a dividend yield of 3%.
D. The futures price of the S&P 500 is treated like a non-dividend-paying stock.
4. Which of the following is NOT true?
A. Black’s model can be used to value an American-style option on futures
B. Black’s model can be used to value a European-style option on futures
C. Black’s model can be used to value a European-style option on spot
D. Black’s model is widely used by practitioners
page-pf2
page-pf3
page-pf4
page-pf5

Trusted by Thousands of
Students

Here are what students say about us.

Copyright ©2022 All rights reserved. | CoursePaper is not sponsored or endorsed by any college or university.