Exam 10: Early-Exercise/Put-Call Parity

Consider a portfolio comprised of a short call and a short put,both options written on the same stock,same strike,and for the same maturity.Which of the following is valid?

If the interest rate is positive,then which of the following statements is valid for at-the-money call and put options written on the same underlying stock for the same strike and maturity?

A stock that pays no dividends has a price of $50.The rate of interest is 10%.The one-month maturity,60-strike American put is optimally exercised.What can you infer about the insurance value of the option at the time of exercise?

The stock price is $30.The strike price of a three-month European put option is $32.If the put option is priced at $5,and the risk-free rate of interest is 2%,and the stock pays no dividends,then the insurance value of the option is

For a stock that pays no dividends,which of the following statements is most accurate?

An American put option on a stock that pays no dividends:

Put-call parity is valid for

The stock price is $34.The strike price of a three-month European call option is $32.If the call option is priced at $5,and the risk-free rate of interest is 2%,and the stock pays a dividend of $1 in one month,then the time value of the option is

A stock that pays no dividends has a price of $50.The one-month maturity,at-the-money European call and put are trading at $10 and $9.90,respectively.The one-month forward price of the stock is:

Consider an American call option and an American put option,on the same dividend-paying stock,both for the same strike and maturity.Which of the following statements is most accurate?

The six-month at-the-money European call option on a stock worth $25 is priced at $5.The rate of interest is 2%.The put is priced at $7.The dividend paid at the end of three months must be

If you are short a call and long an otherwise identical put on the same stock,where the strike price is the forward price of the stock for the same maturity as the options,you essentially have the following position:

Consider two six-month American calls at strikes 90 and 100 on a non-dividend paying stock.The risk free rate is 2%.The difference between the two call prices at any time before maturity will always be

When an American call has been exercised early,which of the following inferences about the stock and option is valid?

Given that call prices are convex in strike prices,the implication is that

The stock price is $50.The strike price of a three-month European put option is $52.If the put option is equal in price to the call option and the stock pays no dividends,then the rate of interest for three month's maturity is

An American put option is sometimes exercised early because:

Consider two identical European call options on two identical stocks A and B,except that the former stock pays dividends and the latter stock does not.Which of the following statements is most valid?

An American call option on a stock that pays no dividends:

A stock that pays no dividends has a price of $40.If the interest rate is zero,then which if the following statements is valid?