q-10

10. The relationship between the prices of the undertlying stock, a call option, a put option, and a riskless asset is referred to as: a. put-call parity. b. a balanced call. c. a protective call. d. a balanced put. e. a protective put. 11. The effect on an option's value of a small change in the value of the underlying asset is called the option a. theta. b. vega. crho. d. delta. e. gamma. 12. The sensitivity of an option's value to a change in the standard deviation of the return on the underlying asset is measured by the option: vega. a. theta. c. rho. d. delta. e. gamma. 13. Which one of the following acts like an insurance policy should the price of a stock you own suddenly decrease in value? a sale of a European call option b. sale of an American put option c. purchase of a protective put d. purchase of a protective call e. either the sale or purchase of a put 14. A protective put strategy can be replicated by which one of the following? a. riskless investment and stock purchase b. stock purchase and call option c. call option and riskless investment d. riskless investment e. call option, stock purchase, and riskless investment 15. You can realize the same value as that derived from stock ownership if you: a. sell a put option and invest at the risk-free rate of return. b. buy a call option and write a put option on a stock and also lend out funds at the risk-free rate. c. sell a put and buy a call on a stock as well as invest at the risk-free rate of return. d. lend out funds at the risk-free rate of return and sell a put option on the stock. e. borrow funds at the risk-free rate of return and invest the proceeds in equivalent amounts of put and call options. option pricing formula, N(d,) is the probability that a standardized, 16. In the Black-Scholes normally distributed random variable is: a. less than or equal to N(da). b. less than one. c. equal to one. d. equal to di. e. less than or equal to di