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Questions 1:
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.
Questions 2:
When valuing a call option using the binomial model, an increase in the probability that the underlying will go up most likely implies that the current price of the call option:
A、 increases.
B 、remains unchanged.
C、 decreases.
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,
B is correct. The probability that the underlying will go up is not part of the binomial model for pricing options. This probability is irrelevant because the options are priced using risk-neutral probabilities. These are derived by constructing a hedged portfolio in the absence of arbitrage opportunities.
A is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.
C is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.
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