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"Derivative"exercise:Derivative products
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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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