"Derivative"exercise:Derivative products

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来源: 正保会计网校编辑：小鞠橘桔 2020/09/17 09:17:15　字体：大小

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Questions 1:

If dividends paid by the underlying increase, the value of a European call option will most likely:

A、 not change.

B、 increase.

C、 decrease.

Questions 2:

According to put–call parity, if a fiduciary call expires in the money, the payoff is most likely equal to the:

A 、difference between the market value of the asset and the face value of the risk-free bond.

B、 market value of the asset.

C、 face value of the risk-free bond.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. A European call option is worth less the more dividends are paid by the underlying.

A is incorrect. A European call option is worth less the more dividends are paid by the underlying.

B is incorrect. A European call option is worth less the more dividends are paid by the underlying.

【Answer to question 2】B

【analysis】

B is correct. A fiduciary call, defined as a long position in a call and in a risk-free bond, generates a payoff that is equal to the market value of the asset if it expires in the money.

A is incorrect. The difference between the market value of the asset and the face value of the risk-free bond is the payoff of the long call if exercised. This ignores the fact that the face value of the bond needs to be added to the payoff.

C is incorrect. The face value of the risk-free bond is the payoff of the fiduciary call if the call expires out of the money

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