新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"Derivative"exercise:Exercise of a European put option
學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網校每日為大家上新CFA習題供大家練習。讓網校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
A swap that involves the exchange of a fixed payment for a floating payment is most likely equivalent to a series of:
A 、off-market forward contracts.
B 、forward contracts that all have an initial positive value.
C、 forward contracts that all have an initial value equal to the fixed payment
Questions 2:
Exercise of a European put option is most likely justified if:
A、 the option is out of the money.
B 、the exercise price exceeds the value of the underlying.
C、 the exercise value is negative.
View answer resolution
【Answer to question 1】A
【analysis】
A is correct. Because the cost of carrying an asset over different time periods will vary, the values of the implicit forward contracts embedded in the swap will not be equal: some may be positive, and some may be negative. Off-market forward contracts satisfy this condition because they can be set at any value.
B is incorrect. Because the initial market value of the swap is zero by definition, it cannot be replicated by a series of forward contracts with an initial positive value.
C is incorrect. Because the cost of carrying an asset over different time periods will vary, the prices of the implicit forward contracts embedded in the swap cannot all be equal.
【Answer to question 2】B
【analysis】
B is correct. If the exercise price exceeds the value of the underlying at expiration, the option has positive exercise value and may be exercised.
A is incorrect. An out-of-the-money option should not be exercised and will expire worthless.
C is incorrect. An option that generates a negative cash flow when exercised should not be exercised.
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。
學員討論（0）
推薦閱讀
新用戶掃碼下載
京公網安備 11010802044457號
