Exam 16: Option Relations

Consider a stock that pays no dividends whose value equals the strike price of a call and put with identical contract terms on the stock.Interest rates are positive.Then,which of the following is true?

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.If the put price p is $2.70,then the call price c is:

The following can be incorporated into an adjusted put-call parity (still an equality)for European options:

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.If the call price c is $7.50 and the put price p is $4.60,then the arbitrage profits that you can make today by trading one contract of each option (one contract is based on 100 shares)are:

Consider options that are identical in all respects except for the differences that are mentioned.Then which of the following statements is INCORRECT?

It may make sense to exercise early an American call option (like the ones that trade in the Chicago Board Options Exchange)just before the time of:

The following is NOT an example of tax or regulatory arbitrage:

Consider a call and a put written on a stock that pays no dividends.If the interest rate is positive and the options have the same price and identical contract terms,then which of the following is true?

Consider options that are otherwise identical.Then,the following statement is INCORRECT:

Consider options that are identical in all respects except for the differences that are mentioned.Then which of the following statements is INCORRECT?

The current value of INDY index is 1,015 and a portfolio replicating this index has a value of $1,015.European options with a strike price K = $1,000 and maturing in T = 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.The stocks underlying INDY index have a dividend yield $\delta$ = 1.2 percent per year.A trader quotes a call price c= $80 and a put price p = $37.Then,the amount of arbitrage profits that you can make by trading securities based on one share of INDY are:

A cash dividend lowers the value of:

Suppose p is the current price of a European put and p_A is that for an American put,where the two options have identical terms and conditions and differ only in terms of the early exercise feature.If B = $0.96 is today's price of a zero-coupon bond that matures on the option's expiration date and K = $50 is the strike price,then the following statement is correct:

Given strictly positive interest rates and an underlying stock that pays no dividends,the best way to close out a long American call option position early is to:

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.A dividend of $1.10 is paid out after three months.If the put price p is $4.03,the call price c is:

Which of the following statements is INCORRECT?

The current price of YBM stock S is $101.American options with a strike price K = $100 and maturing in T= 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.If the American put price p_A is $2.70,then the American call price c_A will attain or lie between:

Suppose c and p are the current prices of a European call and put,while c_A and p_A are those corresponding to American options.If today's price of the stock underlying the options is S,a zero-coupon bond that matures on the common expiration date for the options is B,and the common strike price is K,then the following statement is INCORRECT:

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.If the call price c is $8.07 and the put price p is $3.63,then the annual continuously compounded risk-free interest rate r is:

In the absence of cash dividends,you may exercise the following option early: