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21.
To compute the value of a put using the Black-Scholes option pricing
model, you:
22.
Which one of the following statements is correct?
23.
The Black-Scholes option pricing model can be used for:
24.
Which of the following variables are included in the Black-Scholes call
option pricing formula?
I. put premium
II. N(d1)
III. exercise price
IV. stock price
25.
Which one of the following statements related to options is correct?
26.
The value of a call option delta is best defined as:
27.
Which one of the following is the correct formula for approximating the
change in an option's value given a small change in the value of the
underlying stock?
28.
Assume the price of the underlying stock decreases. How will the values of
the options respond to this change?
I. call value decreases
II. call value increases
III. put value decreases
IV. put value increases
29.
Which of the following statements are correct?
I. Increasing the time to maturity may not increase the value of a European
put.
II. Vega measures the sensitivity of an option's value to the passage of time.
III. Call options tend to be more sensitive to the passage of time than are
put options.
IV. An increase in time decreases the value of a call option.
30.
Theta measures an option's:
31.
Selling an option is generally more valuable than exercising the option
because of the option's:
32.
Which of the following statements are correct?
I. As the standard deviation of the returns on a stock increase, the value of
a put option increases.
II. The value of a call option decreases as the time to expiration increases.
III. A decrease in the risk-free rate increases the value of a put option.
IV. Increasing the strike price increases the value of a put option.
33.
A decrease in which of the following will increase the value of a put option
on a stock?
I. time to expiration
II. stock price
III. exercise price
IV. risk-free rate
34.
Which one of the five factors included in the Black-Scholes model cannot
be directly observed?
35.
Which one of the following statements related to the implied standard
deviation (ISD) is correct?
36.
The implied standard deviation used in the Black-Scholes option pricing
model is:
37.
The value of an option is equal to the:
38.
For the equity of a firm to be considered a call option on the firm's assets,
the firm must:
39.
Paying off a firm's debt is comparable to _____ on the assets of the firm.
40.
The shareholders of a firm will benefit the most from a positive net present
value project when the delta of the call option on the firm's assets is:
