Exam 16: Option Valuation

A stock is currently priced at $44 a share while the $45 call option is priced at $1.22.The call option delta is 0.86.What is the approximate call price if the stock increases in value to $45?

Which two of the following are key to making SPX options an easy choice as a hedge against an equity portfolio? I.European style II.American style III.trade in whole or partial contracts IV.cash settlement

What is the put option premium given the following information?

An increase in which two of the following will have a negative effect on the value of a put option? I.risk-free interest rate II.time to option maturity III.underlying stock price IV.option strike price

Which one of the following inputs for the Black-Scholes model is NOT directly observable?

Given a set of variables,the Black-Scholes option pricing formula has a put option delta of -0.154.What is the call delta given these same variables?

What is the put option premium given the following information?

A stock with a current price of $37 will either move up by a factor of 1.20 or down by a factor of 0.80 each period over the next two periods.The risk-free rate of interest is 4 percent.What is the current value of a call option with a strike price of $40?

What is the call option premium given the following information?

Which one of the following best describes the graphical relationship between stock prices and option prices?

You own 5,000 shares of Miller stock which is currently valued at $37 a share.The $40 put has a premium of $2.30 and a put delta of -0.25.What position should you take in $40 put contracts to hedge your stock against a $1 decrease in price?

A stock is currently priced at $35 a share while the $40 put option is priced at $5.22.The put option delta is -0.14.What is the approximate put price if the stock increases in value to $38?

Which one of the following terms is used as a shortcut means of saying "time to maturity"?

What is the call option premium given the following information?

An employee stock option is which one of the following?

Which one of the following inputs is included in the Black-Scholes-Merton model but not in the Black-Scholes model?

Which one of the following is defined as an estimate of stock price volatility obtained from an option price?

Which one of the following is another term for implied volatility?

Employee stock options grant an employee which one of the following rights?

A stock with a current price of $25 will either move up to $32 or down to $20 over the next period.The risk-free rate of interest is 3.5 percent.What is the value of a call option with a strike price of $30?