Question
The standard deviation of the change in value of a position in a stock per day is $100,000. What is the 16-day 99% VaR? A.
The standard deviation of the change in value of a position in a stock per day is $100,000. What is the 16-day 99% VaR?
| A. | $932,000 | |
| B. | $99,000 | |
| C. | $400,000 | |
| D. | $1,600,000 |
Which of the following is true? When the risk-free rate increases,
| A. | the values of both calls and puts increase. | |
| B. | the value of a call option increases, whereas the value of a put option decreases. | |
| C. | the values of both calls and puts decrease. | |
| D. | the values of American calls and puts increase, but the relationship between the risk-free rate and the prices of European options is uncertain. |
Consider an exchanged-traded call option contract to buy 1,000 shares with a strike price of $30 and maturity in 3 months. What is the new exercise price when there is a 5% cash dividend?
| A. | $31.5 | |
| B. | $30 | |
| C. | $50 | |
| D. | $28.57 |
Suppose that a European call option to buy a share for $50 costs $3 and is held until maturity. Under what circumstances will the holder of the option make a profit?
| A. | If the stock price at maturity is greater than $50 | |
| B. | If the stock price at maturity is greater than $47 | |
| C. | If the stock price at maturity is less than $50 | |
| D. | If the stock price at maturity is greater than $53 |
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Small Brewery Finance
Authors: Maria Pearman
1st Edition
1938469526, 978-1938469527
