期权与风险模型基础试题及解析
行业资讯 | 2020-05-07
期权与风险模型基础试题及解析
今天金程FRM小编带大家了解一些金融知识，普及一些期权与风险模型基础试题以及解答，希望可以帮助大家！
Q-1.A butterfly spread involves positions in options with three difference strike prices.It can be created by buying a call option with a low strike of X1;buying a call option with a high strike X3;and selling two call options with a strike X2 halfway between X1 and X3.What can be said about the upside and downside of the strategy?
A.Both the upside and downside is unlimited.
B.Both the upside and downside is limited.
C.The upside is unlimited but the downside is limited.
D.The upside is limited but the downside is unlimited.
Solution:B
The pay-off structure to this strategy leaves the upside and downside potential at the difference between the premium collected on the calls sold and the premium paid on the calls purchased.
Q-2.The payoff on a calendar spread is most similar to which of the following option strategies?
A.Bull spread
B.Bear spread
C.Long straddle
D.Butterfly spread
Solution:D
A calendar spread is created by transacting in two options that have different expirations.Both options have the same strike price.The strategy sells the short-dated option and buys the long-dated option.The investor profits only if the stock remains in a narrow range,but losses are limited.Overall,the payoff is most similar to the butterfly spread.
Q-3.Which of the following statements is correct about the early exercise of American options?
A.It is always optimal to exercise an American call option on a non-dividend-paying stock before the expiration date.
B.It can be optimal to exercise an American put option on a non-dividend-paying stock early.
C.It can be optimal to exercise an American call option on a non-dividend-paying stock early.
D.It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.
Solution:B》》在线领取整套期权与风险模型真题
It is never optimal to exercise an American call option on a non-dividend-paying stock before the expiration date,but at any given time during its life,a put option should always be exercised early if it is sufficiently deep in the money.Thus,it can be optimal to exercise an American put option on a non-dividend-paying stock early.
Q-4.If risk is defined as a potential for unexpected loss,which factors contribute to the risk of a short call option position?
A.Delta,Vega,Rho
B.Vega,Rho
C.Delta,Vega,Gamma,Rho
D.Delta,Vega,Gamma,Theta,Rho
Solution:C
For a short call,Delta Vega,Gamma,and Rho contribute to the risk of the position.Theta is not a risk factor.
Q-5.Which of the following statements is correct?
I.The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches,but this is not true for the rho of put options.
II.Theta is always negative for long calls and long puts and positive for short calls and short puts.
A.I only.
B.II only
C.I and II
D.Neither
Solution:D
Statement I is false–rho of a call and a put will change,with expiration of time and it tends to approach zero as expiration approaches.
Statement II is false-theta is positive for long ITM European put.
Q-6.Which of the following statements is true regarding options Greeks?
A.Theta tends to be large and positive when buying at-the-money options.
B.Gamma is greatest for in-the-money options with long maturities.
C.Vega is greatest for at-the-money options with long maturities.
D.Delta of deep in-the-money put options tends toward+1.
Solution:C
Theta is negative for long positions in ATM options,so A is incorrect.Gamma is small for ITM options,so B is incorrect.Delta of ITM puts tens to-1,so D is incorrect.
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