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题目
题目

fin_412_120258_251367 Mid-term Test 2

单项选择题

Option prices can be divided into

选项
A.Intrinsic value and parity value
B.Volatility value and time value
C.Intrinsic value and time value
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标准答案
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思路分析
The question asks about how option prices can be divided. Option 1: 'Intrinsic value and parity value' — This is not standard terminology used to partition option prices. Parity value is not a recognized component in classic option pricing models, so this option intr......Login to view full explanation

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类似问题

Stock A is currently trading at $100 per share. A binomial model indicates that in one year, the stock price will be either $120 or $80. At the moment, the effective one year interest rate is 5.21% (APR compounded annually). Using a one-period binomial model, calculate the price of a European put option on one share of Stock A, with a strike price of $95 and one-year maturity. Enter your final answer rounded to two decimal places. For example, enter 1.23 if your answer is $1.234, and enter -1.23 if your answer is -$1.234.

The price of Stock A can be described by a one-period binomial model and its current price is $100. In one period, the price of Stock A can increase by 30% or decrease by 30%. You observe that a European put option on Stock A with a strike price of $100 and a maturity of exactly one period is trading at a price of $14.12. There is 300 units of Stock A available in the market for you to short. You can also invest as much as you want at the 2% risk-free rate (quoted as an effective periodic rate). Calculate the maximum riskless profit you can make at today. Round your answer to two decimal places. If your answer is "123.4567", enter it as 123.46.

A non-dividend-paying stock is trading at $100 today. The three-month effective risk-free rate is 2%. A quant fund is offering a new type of derivative called "fixed option." A fixed option works as follows: At maturity, it pays $150 if the stock price is below the strike price. It pays $0 otherwise. The holder has the right, but not the obligation, to realize this payoff. You model the stock using a one-period binomial model with u = 1.3 and d = 0.7. An investor is considering the following option portfolio: Long one fixed option on the non-dividend-paying stock with a strike price of $150 and a maturity of three months Short one fixed option on the non-dividend-paying stock with a strike price of $90 and a maturity of three months Using the binomial model, what is the price that the investor will need to pay for such an option portfolio today? Round your answer to two decimal places. If your answer is "123.4567", enter it as 123.46.   

Select all of the statements below that are TRUE.

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