Hull:Options,Future,andOtherDerivatives,NinthEditionChapter18:FuturesOptionsMultipleChoiceTestBank:Questions1.Whichofthefollowingisacquired(inadditiontoacashpayoff)whentheholderofaputfuturesexercises?A.AlongpositioninafuturescontractB.AshortpositioninafuturescontractC.AlongpositionintheunderlyingassetD.Ashortpositionintheunderlyingasset2.Whichofthefollowingisacquired(inadditiontoacashpayoff)whentheholderofacallfuturesexercises?A.AlongpositioninafuturescontractB.AshortpositioninafuturescontractC.AlongpositionintheunderlyingassetD.Ashortpositionintheunderlyingasset3.Therisk-freerateis5%andthedividendyieldontheS&P500indexis2%.Whichofthefollowingiscorrectwhenafuturesoptionontheindexisbeingvalued?A.ThefuturespriceoftheS&P500istreatedlikeastockpayingadividendyieldof5%.B.ThefuturespriceoftheS&P500istreatedlikeastockpayingadividendyieldof2%.C.ThefuturespriceoftheS&P500istreatedlikeastockpayingadividendyieldof3%.D.ThefuturespriceoftheS&P500istreatedlikeanon-dividend-payingstock.4.WhichofthefollowingisNOTtrue?A.Black’smodelcanbeusedtovalueanAmerican-styleoptiononfuturesB.Black’smodelcanbeusedtovalueaEuropean-styleoptiononfuturesC.Black’smodelcanbeusedtovalueaEuropean-styleoptiononspotD.Black’smodeliswidelyusedbypractitioners5.Whichofthefollowingistruewhenthefuturespriceexceedsthespotprice?A.CallsonfuturesshouldneverbeexercisedearlyB.PutonfuturesshouldneverbeexercisedearlyC.AcallonfuturesisalwaysworthatleastasmuchasthecorrespondingcallonspotD.Acallonspotisalwaysworthatleastasmuchasthecorrespondingcallonfutures6.Whichofthefollowingdescribesafutures-styleoption?A.AnoptiononafuturesB.AnoptiononspotwithdailysettlementC.AfuturesonanoptionpayoffD.Noneoftheabove7.Afuturespriceiscurrently40cents.Itisexpectedtomoveupto44centsordownto34centsinthenextsixmonths.Therisk-freeinterestrateis6%.Whatistheprobabilityofanupmovementinarisk-neutralworld?A.0.4B.0.5C.0.72D.0.68.Afuturespriceiscurrently40cents.Itisexpectedtomoveupto44centsordownto34centsinthenextsixmonths.Therisk-freeinterestra...
