第七章外汇期货与外汇期权

______________________________________________________________________________________________________________精品资料Lecture10(Chapter07)FuturesandOptionsonForeignExchange外汇期货与期权

1.

Aputoptionon$15,000withastrikepriceof€10,000isthesamethingasacalloptionon€10,000withastrikepriceof$15,000.

TRUE2.

ACMEcontracton€125,000withSeptemberdelivery

交货

A.

isanexampleofaforwardcontract.

B.

isanexampleofafuturescontract.

C.

isanexampleofaputoption.

D.

isanexampleofacalloption.3.

Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50per€.Supposethefuturespriceclosestodayat$1.46.Howmuchhaveyoumade/lost?

A.

Dependsonyourmarginbalance.

B.

Youhavemade$2,500.00.

C.

Youhavelost$2,500.00.

D.

Youhaveneithermadenorlostmoney,yet.4.

Inreferencetothefuturesmarket,a"speculator"

A.

attemptstoprofitfromachangeinthefuturesprice

B.

wantstoavoidpricevariationbylockinginapurchasepriceoftheunderlyingassetthroughalongpositioninthefuturescontractorasalespricethroughashortpositioninthefuturescontract

C.

standsreadytobuyorsellcontractsinunlimitedquantity

D.

bothb)andc)5.

Comparing"forward"and"futures"exchangecontracts,wecansaythat

A.

theyareboth"marked-to-market"daily.

B.

theirmajordifferenceisinthewaytheunderlyingassetispricedforfuturepurchaseorsale:futuressettledailyandforwardssettleatmaturity.

C.

afuturescontractisnegotiatedbyopenoutcrybetweenfloorbrokersortradersandistradedonorganizedexchanges,whileforwardcontractistailor-madebyaninternationalbankforitsclientsandistradedOTC.

D.

bothb)andc)

Topic:FuturesContracts:SomePreliminaries

6.

Comparing"forward"远期合约and"futures"期货合约exchangecontracts,wecansaythat

A.

deliveryoftheunderlyingassetisseldommadeinfuturescontracts.

B.

deliveryoftheunderlyingassetisusuallymadeinforwardcontracts.

C.

deliveryoftheunderlyingassetisseldommadeineithercontract—theyaretypicallycashsettledatmaturity.

D.

botha)andb)

E.

botha)andc)7.

Inwhichmarketdoesaclearinghouseserveasathirdpartytoalltransactions?

A.

Futures

B.

Forwards

C.

Swaps

D.

Noneoftheabove8.

Intheeventofadefaultononesideofafuturestrade,

A.

theclearingmemberstandsinforthedefaultingparty.结算会员代表为违约方

B.

theclearingmemberwillseekrestitutionforthedefaultingparty.寻求赔偿

C.

ifthedefaultisontheshortside,arandomlyselectedlongcontractwillnotgetpaid.Thatpartywillthenhavestandingtoinitiateacivilsuitagainstthedefaultingshort.

D.

botha)andb)9.

Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50per€.Yourinitialperformancebondis$1,500andyourmaintenancelevelis$500.Atwhatsettlepricewillyougetademandforadditionalfundstobeposted?

题目的意思是，初始保证金余额１５００，维持保证金水平为５００，当汇率在哪个水平上，客户需要追加保证金？,A.

$1.5160per€.

B.

$1.208per€.

C.

$1.1920per€.

D.

$1.4840per€.10.

Yesterday,youenteredintoafuturescontracttosell€62,500at$1.50per€.Yourinitialperformancebondis$1,500andyourmaintenancelevelis$500.Atwhatsettlepricewillyougetademandforadditionalfundstobeposted?

A.

$1.5160per€.

B.

$1.208per€.

C.

$1.1920per€.

D.

$1.1840per€.

11.

Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50/€.Yourinitialmarginwas$3,750(=0.04€62,500$1.50/€=4percentofthecontractvalueindollars).Yourmaintenancemarginis$2,000(meaningthatyourbrokerleavesyoualoneuntilyouraccountbalancefallsto$2,000).Atwhatsettleprice(use4decimalplaces)doyougetamargincall?

A.

$1.4720/€６２５００×（１．５－？）＝３７５０－２０００

B.

$1.5280/€

C.

$1.500/€

D.

Noneoftheabove12.

Threedaysago,youenteredintoafuturescontracttosell€62,500at$1.50per€.Overthepastthreedaysthecontracthassettledat$1.50,$1.52,and$1.54.Howmuchhaveyoumadeorlost?

A.

Lost$0.04per€or$2,500

B.

Made$0.04per€or$2,500

C.

Lost$0.06per€or$3,750

D.

Noneoftheabove13.

Today'ssettlementpriceonaChicagoMercantileExchange(CME)Yenfuturescontractis$0.8011/¥100.Yourmarginaccountcurrentlyhasabalanceof$2,000.Thenextthreedays'settlementpricesare$0.8057/¥100,$0.7996/¥100,and$0.7985/¥100.(ThecontractualsizeofoneCMEYencontractis¥12,500,000).Ifyouhaveashortposition空头inonefuturescontract,thechangesinthemarginaccountfromdailymarking-to-marketwillresultinthebalanceofthemarginaccountafterthethirddaytobe

日元贬值，赚钱

A.

$1,425.

B.

$2,000.

C.

$2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００

D.

$3,425.14.

Today'ssettlementpriceonaChicagoMercantileExchange(CME)Yenfuturescontractis$0.8011/¥100.Yourmarginaccountcurrentlyhasabalanceof$2,000.Thenextthreedays'settlementpricesare$0.8057/¥100,$0.7996/¥100,and$0.7985/¥100.(ThecontractualsizeofoneCMEYencontractis¥12,500,000).Ifyouhavealongposition多头inonefuturescontract,thechangesinthemarginaccountfromdailymarking-to-market,willresultinthebalanceofthemarginaccountafterthethirddaytobe

日元贬值，亏钱

A.

$1,425.

B.

$1,675.

C.

$2,000.

D.

$3,425.

Topic:CurrencyFuturesMarkets

15.

SupposethefuturespriceisbelowthepricepredictedbyIRP.Whatstepswouldassureanarbitrageprofit?

A.

Goshortinthespotmarket,golonginthefuturescontract.

B.

Golonginthespotmarket,goshortinthefuturescontract.

C.

Goshortinthespotmarket,goshortinthefuturescontract.

D.

Golonginthespotmarket,golonginthefuturescontract.16.

Whatparadigmisusedtodefinethefuturesprice?

A.

IRP利率平价

B.

HedgeRatio

C.

BlackScholes

D.

RiskNeutralValuation17.

Supposeyouobservethefollowing1-yearinterestrates,spotexchangeratesandfuturesprices.Futurescontractsareavailableon€10,000.Howmuchrisk-freearbitrageprofitcouldyoumakeon1contractatmaturityfromthismispricing?

A.

$159.22Ｆ＝１．４５×１．０４／１．０３＝１．４６４１

B.

$153.10（１．４８－１．４６４１）×１００００＝４５９

C.

$439.42

D.

Noneoftheabove

Thefuturespriceof$1.48/€isabovetheIRPfuturespriceof$1.4641/€,sowewanttosell(i.e.takeashortpositionin1futurescontracton€10,000,agreeingtosell€10,000in1yearfor$14,800).

Profit=

Tohedge,weborrow$14,077.67todayat4%,converttoeuroatthespotrateof$1.45/€,investat3%.Atmaturity,ourinvestmentmaturesandpays€10,000,whichwesellfor$14,800,andthenwerepayourdollarborrowingwith$14,640.78.Ourrisk-freeprofit=$159.22=$14,800-$14,640.78

18.

Whichequationisusedtodefinethefuturesprice?

A.

B.

C.

D.

19.

Whichequationisusedtodefinethefuturesprice?

A.

B.

C.

D.

E.

Topic:CurrencyFuturesMarkets

20.

Ifacurrencyfuturescontract(directquote)ispricedbelowthepriceimpliedbyInterestRateParity(IRP),arbitrageurscouldtakeadvantageofthemispricingbysimultaneously

A.

goingshortinthefuturescontract,borrowinginthedomesticcurrency,andgoinglongintheforeigncurrencyinthespotmarket.

B.

goingshortinthefuturescontract,lendinginthedomesticcurrency,andgoinglongintheforeigncurrencyinthespotmarket.

C.

goinglonginthefuturescontract,borrowinginthedomesticcurrency,andgoingshortintheforeigncurrencyinthespotmarket.

D.

goinglonginthefuturescontract,borrowingintheforeigncurrency,andgoinglonginthedomesticcurrency,investingtheproceedsatthelocalrateofinterest.

21.

Openinterestincurrencyfuturescontracts

A.

tendstobegreatestforthenear-termcontracts.

B.

tendstobegreatestforthelonger-termcontracts.

C.

typicallydecreaseswiththetermtomaturityofmostfuturescontracts.

D.

botha)andc)

22.

The"openinterest"shownincurrencyfuturesquotationsis

A.

thetotalnumberofpeopleindicatinginterestinbuyingthecontractsinthenearfuture.

B.

thetotalnumberofpeopleindicatinginterestinsellingthecontractsinthenearfuture.

C.

thetotalnumberofpeopleindicatinginterestinbuyingorsellingthecontractsinthenearfuture.

D.

thetotalnumberoflongorshortcontractsoutstandingfortheparticulardeliverymonth.23.

Ifyouthinkthatthedollarisgoingtoappreciateagainsttheeuro,youshould

A.

buyputoptionsontheeuro.

B.

sellcalloptionsontheeuro.卖出欧元看涨权

C.

buycalloptionsontheeuro.

D.

noneoftheabove24.

Fromtheperspectiveofthewriter卖家ofaputoption看跌期权writtenon€62,500.Ifthestrikeprice执行价格is$1.55/€,andtheoptionpremiumis$1,875,atwhatexchangeratedoyoustarttolosemoney?

A.

$1.52/€

B.

$1.55/€

C.

$1.58/€

D.

Noneoftheabove

25.

AEuropeanoptionisdifferentfromanAmericanoptioninthat

A.

oneistradedinEuropeandoneintradedintheUnitedStates.

B.

Europeanoptionscanonlybeexercisedatmaturity;Americanoptionscanbeexercisedpriortomaturity.

C.

EuropeanoptionstendtobeworthmorethanAmericanoptions,ceterisparibus.

D.

Americanoptionshaveafixedexerciseprice;Europeanoptions'exercisepriceissetattheaveragepriceoftheunderlyingassetduringthelifeoftheoption.26.

An"option"is

A.

acontractgivingtheseller(writer)oftheoptiontheright,butnottheobligation,tobuy(call)orsell(put)agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.

B.

acontractgivingtheowner(buyer)oftheoptiontheright,butnottheobligation,tobuy(call)orsell(put)agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.

C.

acontractgivingtheowner(buyer)oftheoptiontheright,butnottheobligation,tobuy(put)orsell(call)agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.

D.

acontractgivingtheowner(buyer)oftheoptiontheright,butnottheobligation,tobuy(put)orsell(sell)agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.27.

Aninvestorbelievesthatthepriceofastock,sayIBM'sshares,willincreaseinthenext60days.Iftheinvestoriscorrect,whichcombinationofthefollowinginvestmentstrategieswillshowaprofitinallthechoices?

(i)-buythestockandholditfor60days

(ii)-buyaputoption

(iii)-sell(write)acalloption

(iv)-buyacalloption

(v)-sell(write)aputoption

A.

(i),(ii),and(iii)

B.

(i),(ii),and(iv)

C.

(i),(iv),and(v)

D.

(ii)and(iii)28.

Mostexchangetradedcurrencyoptions

A.

matureeverymonth,withdailyresettlement.

B.

haveoriginalmaturitiesof1,2,and3years.

C.

haveoriginalmaturitiesof3,6,9,and12months.

D.

matureeverymonth,withoutdailyresettlement.29.

ThevolumeofOTCcurrencyoptionstradingis

A.

muchsmallerthanthatoforganized-exchangecurrencyoptiontrading.

B.

muchlargerthanthatoforganized-exchangecurrencyoptiontrading.

C.

larger,becausetheexchangesareonlyrepackagingOTCoptionsfortheircustomers.

D.

noneoftheabove

30.

IntheCURRENCYTRADINGsectionofTheWallStreetJournal,thefollowingappearedundertheheadingOPTIONS:

Whichcombinationofthefollowingstatementsaretrue?

(i)-Thetimevaluesofthe68Mayand69Mayputoptionsarerespectively.30centsand.50cents.

(ii)-The68Mayputoptionhasalowertimevalue(price)thanthe69Mayputoption.

(iii)-Ifeverythingelseiskeptconstant,thespotpriceandtheputpremiumareinverselyrelated.

(iv)-Thetimevaluesofthe68Mayand69Mayputoptionsare,respectively,1.63centsand0.83cents.

(v)-Ifeverythingelseiskeptconstant,thestrikepriceandtheputpremiumareinverselyrelated.

A.

(i),(ii),and(iii)

B.

(ii),(iii),and(iv)

C.

(iii)and(iv)

D.

(iv)and(v)31.

Withcurrencyfuturesoptionstheunderlyingassetis

A.

foreigncurrency.

B.

acallorputoptionwrittenonforeigncurrency.

C.

afuturescontractontheforeigncurrency.

D.

noneoftheabove32.

Exerciseofacurrencyfuturesoptionresultsin

A.

alongfuturespositionforthecallbuyerorputwriter.

B.

ashortfuturespositionforthecallbuyerorputwriter.

C.

alongfuturespositionfortheputbuyerorcallwriter.

D.

ashortfuturespositionforthecallbuyerorputbuyer.33.

Acurrencyfuturesoptionamountstoaderivativeonaderivative.Whywouldsomethinglikethatexist?

A.

Forsomeassets,thefuturescontractcanhavelowertransactionscostsandgreaterliquiditythantheunderlyingasset.标的资产

B.

Taxconsequencesmatteraswell,andforsomeusersanoptioncontractonafutureismoretaxefficient.

C.

Transactionscostsandliquidity.

D.

Alloftheabove34.

Thecurrentspotexchangerate目前即期汇率is$1.55=€1.00andthethree-monthforwardrateis$1.60=€1.00.Considerathree-monthAmericancalloptionon€62,500.Forthisoptiontobeconsideredat-the-money,thestrikepricemustbe

A.

$1.60=€1.00

B.

$1.55=€1.00

C.

$1.55(1+i$)3/12=€1.00(1+i€)3/12

D.

noneoftheabove35.

Thecurrentspotexchangerateis$1.55=€1.00andthethree-monthforwardrateis$1.60=€1.00.Considerathree-monthAmericancalloptionon€62,500withastrikepriceof$1.50=€1.00.Immediateexerciseofthisoptionwillgenerateaprofitof

A.

$6,125

B.

$6,125/(1+i$)3/12

C.

negativeprofit,soexercisewouldnotoccur

D.

$3,125

36.

Thecurrentspotexchangerateis$1.55=€1.00andthethree-monthforwardrateis$1.60=€1.00.Considerathree-monthAmericancalloptionon€62,500withastrikepriceof$1.50=€1.00.Ifyoupayanoptionpremiumof$5,000tobuythiscall,atwhatexchangeratewillyoubreak-even?

A.

$1.58=€1.00

B.

$1.62=€1.00

C.

$1.50=€1.00

D.

$1.68=€1.00

37.

Considerthegraphofacalloptionshownatright.Theoptionisathree-monthAmericancalloptionon€62,500withastrikepriceof$1.50=€1.00andanoptionpremiumof$3,125.WhatarethevaluesofA,B,andC,respectively?

A.

A=-$3,125(or-$.05dependingonyourscale);B=$1.50;C=$1.55

B.

A=-€3,750(or-€.06dependingonyourscale);B=$1.50;C=$1.55

C.

A=-$.05;B=$1.55;C=$1.60

D.

noneoftheabove

38.

Whichofthelinesisagraphoftheprofitatmaturityofwritingacalloptionon€62,500withastrikepriceof$1.20=€1.00andanoptionpremiumof$3,125?

A.

A

B.

B

C.

C

D.

D39.

Thecurrentspotexchangerateis$1.55=€1.00;thethree-monthU.S.dollarinterestrateis2%.Considerathree-monthAmericancalloptionon€62,500withastrikepriceof$1.50=€1.00.Whatistheleastthatthisoptionshouldsellfor?

A.

$0.0562,500=$3,125

B.

$3,125/1.02=$3,063.73

C.

$0.00

D.

noneoftheabove40.

Whichofthefollowoptionsstrategiesareconsistentintheirbeliefaboutthefuturebehavioroftheunderlyingassetprice?

A.

Sellingcallsandsellingputs

B.

Buyingcallsandbuyingputs

C.

Buyingcallsandsellingputs

D.

Noneoftheabove

Topic:AmericanOption-PricingRelationships

41.

Americancallandputpremiums

A.

shouldbeatleastaslargeastheirintrinsicvalue.内在价值

B.

shouldbeatnolargerthantheirmoneyness.

C.

shouldbeexactlyequaltotheirtimevalue.

D.

shouldbenolargerthantheirspeculativevalue.42.

Whichofthefollowingiscorrect?

A.

Timevalue=intrinsicvalue+optionpremium

B.

Intrinsicvalue=optionpremium+timevalue

C.

Optionpremium=intrinsicvalue-timevalue

D.

Optionpremium=intrinsicvalue+timevalue43.

Whichofthefollowingiscorrect?

A.

Europeanoptionscanbeexercisedearly.

B.

Americanoptionscanbeexercisedearly.

C.

Asianoptionscanbeexercisedearly.

D.

Alloftheabove44.

Assumethatthedollar-eurospotrateis$1.28andthesix-monthforwardrateis

.Thesix-monthU.S.dollarrateis5%andtheEurodollarrateis4%.Theminimumpricethatasix-monthAmericancalloptionwithastrikingpriceof$1.25shouldsellforinarationalmarketis

A.

0cents

B.

3.47cents

C.

3.55cents

D.

3cents45.

ForEuropeanoptions,whatoftheeffectofanincreaseinSt?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus46.

ForanAmericancalloption,AandBinthegraphare

A.

timevalueandintrinsicvalue.

B.

intrinsicvalueandtimevalue.

C.

in-the-moneyandout-of-themoney.

D.

noneoftheabove47.

ForEuropeanoptions,whatoftheeffectofanincreaseinthestrikepriceE?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus48.

ForEuropeancurrencyoptionswrittenoneurowithastrikepriceindollars,whatoftheeffectofanincreaseinr$relativetor€?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus49.

ForEuropeancurrencyoptionswrittenoneurowithastrikepriceindollars,whatoftheeffectofanincreaseinr$?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus

Topic:EuropeanOption-PricingRelationships

50.

ForEuropeancurrencyoptionswrittenoneurowithastrikepriceindollars,whatoftheeffectofanincreaser€?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus51.

ForEuropeancurrencyoptionswrittenoneurowithastrikepriceindollars,whatoftheeffectofanincreaseintheexchangerateS($/€)?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus52.

ForEuropeancurrencyoptionswrittenoneurowithastrikepriceindollars,whatoftheeffectofanincreaseintheexchangerateS(€/$)?

A.

Decreasethevalueofcallsandputsceterisparibus

B.

Increasethevalueofcallsandputsceterisparibus

C.

Decreasethevalueofcalls,increasethevalueofputsceterisparibus

D.

Increasethevalueofcalls,decreasethevalueofputsceterisparibus53.

Thehedgeratio

A.

Isthesizeofthelong(short)positiontheinvestormusthaveintheunderlyingassetperoptiontheinvestormustwrite(buy)tohavearisk-freeoffsettinginvestmentthatwillresultintheinvestorperfectlyhedgingtheoption.

B.

C.

Isrelatedtothenumberofoptionsthataninvestorcanwritewithoutunlimitedlosswhileholdingacertainamountoftheunderlyingasset.

D.

Alloftheabove54.

Findthevalueofacalloptionwrittenon€100withastrikepriceof$1.00=€1.00.Inoneperiodtherearetwopossibilities:theexchangeratewillmoveupby15%ordownby15%(i.e.$1.15=€1.00or$0.85=€1.00).TheU.S.risk-freerateis5%overtheperiod.Therisk-neutralprobabilityofdollardepreciationis2/3andtherisk-neutralprobabilityofthedollarstrengtheningis1/3.

A.

$9.5238

B.

$0.0952

C.

$0

D.

$3.174655.

Usethebinomialoptionpricingmodeltofindthevalueofacalloptionon£10,000withastrikepriceof€12,500.

Thecurrentexchangerateis€1.50/£1.00andinthenextperiodtheexchangeratecanincreaseto€2.40/£ordecreaseto€0.9375/€1.00(i.e.u=1.6andd=1/u=0.625).

Thecurrentinterestratesarei€=3%andarei£=4%.

Choosetheanswerclosesttoyours.

A.

€3,275

B.

€2,500

C.

€3,373

D.

€3,243

56.

Findthehedgeratioforacalloptionon£10,000withastrikepriceof€12,500.

Thecurrentexchangerateis€1.50/£1.00andinthenextperiodtheexchangeratecanincreaseto€2.40/£ordecreaseto€0.9375/€1.00(i.e.u=1.6andd=1/u=0.625).

Thecurrentinterestratesarei€=3%andarei£=4%.

Choosetheanswerclosesttoyours.

A.

5/9

B.

8/13

C.

2/3

D.

3/8

E.

Noneoftheabove57.

Youhavewrittenacalloptionon£10,000withastrikepriceof$20,000.Thecurrentexchangerateis$2.00/£1.00andinthenextperiodtheexchangeratecanincreaseto$4.00/£1.00ordecreaseto$1.00/€1.00(i.e.u=2andd=1/u=0.5).Thecurrentinterestratesarei$=3%andarei£=2%.Findthehedgeratioanduseittocreateapositionintheunderlyingassetthatwillhedgeyouroptionposition.

A.

Buy£10,000todayat$2.00/£1.00.

B.

Enterintoashortpositioninafuturescontracton£6,666.67.

C.

Lendthepresentvalueof£6,666.67todayati£=2%.

D.

Enterintoalongpositioninafuturescontracton£6,666.67.

E.

Bothc)andd)wouldwork

F.

Noneoftheabove58.

Drawthetreeforaputoptionon$20,000withastrikepriceof£10,000.Thecurrentexchangerateis£1.00=$2.00andinoneperiodthedollarvalueofthepoundwilleitherdoubleorbecutinhalf.Thecurrentinterestratesarei$=3%andarei£=2%.

A.

B.

C.

Noneoftheabove59.

Drawthetreeforacalloptionon$20,000withastrikepriceof£10,000.Thecurrentexchangerateis£1.00=$2.00andinoneperiodthedollarvalueofthepoundwilleitherdoubleorbecutinhalf.Thecurrentinterestratesarei$=3%andarei£=2%.

A.

B.

C.

Noneoftheabove

60.

Findthehedgeratioforaputoptionon$15,000withastrikepriceof€10,000.Inoneperiodtheexchangerate(currentlyS($/€)=$1.50/€)canincreaseby60%ordecreaseby37.5%(i.e.u=1.6andd=0.625).

A.

-15/49

B.

5/13

C.

3/2

D.

15/4961.

Findthehedgeratioforaputoptionon€10,000withastrikepriceof$15,000.Inoneperiodtheexchangerate(currentlyS($/€)=$1.50/€)canincreaseby60%ordecreaseby37.5%(i.e.u=1.6andd=0.625).

A.

-15/49

B.

8/13

C.

-5/13

D.

15/4962.

Findthedollarvaluetodayofa1-periodat-the-moneycalloptionon€10,000.Thespotexchangerateis€1.00=$1.25.Inthenextperiod,theeurocanincreaseindollarvalueto$2.00orfallto$1.00.Theinterestrateindollarsisi$=27.50%;theinterestrateineuroisi€=2%.

A.

$3,308.82

B.

$0

C.

$3,294.12

D.

$4,218.7563.

Supposethatyouhavewrittenacalloptionon€10,000withastrikepriceindollars.Supposefurtherthatthehedgeratiois½.Whichofthefollowingwouldbeanappropriatehedgeforashortpositioninthiscalloption?

A.

Buy€10,000todayattoday'sspotexchangerate.

B.

Buy€5,000todayattoday'sspotexchangerate.

C.

Agreetobuy€5,000atthematurityoftheoptionattheforwardexchangerateforthematurityoftheoptionthatprevailstoday(i.e.,golonginaforwardcontracton€5,000).

D.

Buythepresentvalueof€5,000discountedati€forthematurityoftheoption.

E.

Bothc)andd)wouldwork.

F.

Noneoftheabove64.

Findthevalueofaone-yearputoptionon$15,000withastrikepriceof€10,000.Inoneyeartheexchangerate(currentlyS0($/€)=$1.50/€)canincreaseby60%ordecreaseby37.5%(i.e.u=1.6andd=0.625).Thecurrentone-yearinterestrateintheU.S.isi$=4%andthecurrentone-yearinterestrateintheeurozoneisi€=4%.

A.

€1,525.52

B.

$3,328.40

C.

$4,992.60

D.

€2,218.94

E.

Noneoftheabove65.

Findthevalueofaone-yearcalloptionon€10,000withastrikepriceof$15,000.Inoneyeartheexchangerate(currentlyS0($/€)=$1.50/€)canincreaseby60%ordecreaseby37.5%(i.e.u=1.6andd=0.625).Thecurrentone-yearinterestrateintheU.S.isi$=4%andthecurrentone-yearinterestrateintheeurozoneisi€=4%.

A.

€1,525.52

B.

$3,328.40

C.

$4,992.60

D.

€2,218.94

E.

Noneoftheabove66.

Considera1-yearcalloptionwrittenon£10,000withanexercisepriceof$2.00=£1.00.Thecurrentexchangerateis$2.00=£1.00;TheU.S.risk-freerateis5%overtheperiodandtheU.K.risk-freerateisalso5%.Inthenextyear,thepoundwilleitherdoubleindollartermsorfallbyhalf(i.e.u=2andd=½).Ifyouwrite1calloption,whatisthevaluetoday(indollars)ofthehedgeportfolio?

A.

£6,666.67

B.

£6,349.21

C.

$12,698.41

D.

$20,000

E.

Noneoftheabove

67.

Valuea1-yearcalloptionwrittenon£10,000withanexercisepriceof$2.00=£1.00.Thespotexchangerateis$2.00=£1.00;TheU.S.risk-freerateis5%andtheU.K.risk-freerateisalso5%.Inthenextyear,thepoundwilleitherdoubleindollartermsorfallbyhalf(i.e.u=2andd=½).Hint:H=⅔.

A.

$6,349.21

B.

C.

D.

Noneoftheabove

Topic:BinomialOption-PricingModel

68.

Whichofthefollowingiscorrect?

A.

Thevalue(indollars)ofacalloptionon£5,000withastrikepriceof$10,000isequaltothevalue(indollars)ofaputoptionon$10,000withastrikepriceof£5,000onlywhenthespotexchangerateis$2