# 公司金融题库 IV

1) The act where an owner of an option buys or sells the underlying asset, as is his right, is called ________ the option.

A) strikingB) exercisingC) openingD) splittingE) strangling

2) The fixed price in an option contract at which the owner can buy or sell the underlying asset is called the option's:

A) opening price.B) intrinsic value.C) strike price.D) market price.E) time value.

3) The difference between an American option and a European option is that the American option:

A) has a fixed exercise price while the European exercise price can vary within a small range.B) is a right to buy while a European option is an obligation to buy.C) has an expiration date while the European option does not.D) is written on 100 shares of the underlying security while the European option covers 1,000 shares.E) can be exercised at any time up to the expiration date while the European option can only be exercised on the expiration date.

4) A ________ is a derivative security that gives the owner the right, but not the obligation, to buy an asset at a fixed price for a specified period of time.

A) futures contractB) call optionC) put optionD) swapE) forward contract

5) Jillian owns a call option on WAN stock with a strike price of $20 a share. Currently, WAN is selling for $24.50 a share. Jillian would like to profit on this option but is not permitted to exercise the option for another two weeks. She believes the stock will decline in value before the two weeks is up. What should she do?

A) Sell her option todayB) Place an order to exercise her option on its expiration dateC) Purchase an additional call option on WAN today with a strike price of $20D) Place an order to exercise her option as soon as she is permitted to do soE) Convert her American option into a European option

6) On the expiration day, the maximum price of a put option on a stock is the greater of the:

A) stock price minus the exercise price, or 0.B) the exercise price or 0.C) exercise price minus the stock price, or 0.D) stock price or 0.E) exercise price or the stock price.

7) Eric has an option position on Langdon stock that results in a zero dollar payoff when the stock price is equal to or greater than the option strike price. What did he do to obtain this position?

A) Purchased a call optionB) Purchased a put optionC) Wrote a call optionD) Wrote a put optionE) No option position would have this result.

8) The relationship between the prices of the underlying stock, a call option, a put option, and a riskless asset is referred to as the ________ relationship.

A) put-call parityB) covered callC) protective putD) straddleE) strangle

9) Which combination is referred to as a protective put? Assume all sales and purchases refer to ABC stock and its option contract.

A) Buying 100 shares of stock and writing one put option contractB) Selling a put option contract and buying an offsetting call option contractC) Buying 300 shares of stock and selling three call option contractsD) Buying a put option contract and buying 100 shares of stockE) Buying a put option contract and selling a call option contract with the same strike price and expiration date

10) The lower bound on a call's value is defined as the:

A) greater of the strike price or zero.B) greater of the stock price minus the exercise price or zero.C) lesser of the strike price or the stock price.D) lesser of the strike price or zero.E) lesser of the stock price minus the exercise price or zero.

11) You wrote ten put option contracts on JIG stock with a strike price of $40 and an option price of $.40. What is your total profit on this investment if the price of JIG is $41.05 on the option expiration date?

A) $6,450B) $5,650C) $400D) −$5,650E) −$6,450

12) What is the value of one August 25 call option contract? KNJ (KNJ) Underlying stock price: 30.86 Call Put Expiration Strike Last Last Aug 25 6.15 .05 Nov 25 6.60 .10 Aug 35 .10 4.60 Nov 35 .70 5.10

A) $4.60B) $.10C) $615D) $10E) $6.15

13) Executive stock options generally have all the following characteristics except:

A) aligning executive goals with shareholder goals.B) linking executive compensation to performance.C) providing tax efficiency.D) increasing executive base salaries.E) putting executive pay at risk.

14) Which one of these is not a reason why executives place less value on employee stock options than their face value would indicate?

A) The option's value depends on the stock price exceeding the exercise price.B) Options must generally be held for a period of time.C) Options may create a highly undiversified portfolio for the executive.D) Options always create taxable income for the executive when granted.E) Options could be out of the money.

15) Which one of these statements is true?

A) If virtually all projects have embedded options, then ignoring these options does not affect the value of the projects.B) Every business will benefit if it exercises its expansion option.C) The option to abandon a project lowers the project's value.D) Start-up businesses do not have any options until they have succeeded for one year.E) Every business idea has at least two possible outcomes.

16) Under risk neutrality, the expected return on an asset will equal:

A) the market risk premium.B) the market rate of return.C) zero.D) the risk-free rate of interest.E) the asset beta times the market risk premium.

17) If an infinite number of intervals is applied to the binomial option pricing model, then the value of a call is equal to:

A) the risk-free rate of return.B) zero.C) the exercise price.D) the Black-Scholes model's call value.E) the stock price.

18) Assume a firm in the extraction industry has major assets consisting solely of cash, equipment, and a closed facility but yet the firm appears to have extraordinary value. This value is least apt to be attributable to the:

A) low exercise price held by the shareholders.B) option to open the facility when prices rise dramatically.C) option to keep the facility closed for an extended period of time.D) current operating cash flow.E) potential sale of the firm.

19) Assume you are being granted at-the-money stock options today when the stock is trading at $32 a share. These options mature in one year, the continuously compounded risk-free rate is 4.2 percent, and the volatility of the stock's returns is 22 percent. What is the value of d2 as it is used in the Black-Scholes model?

A) .0927B) .0752C) .0809D) .0847E) .0936

20) I. M. Not. Greedy has been granted options on 50,000 shares. The stock is currently trading at $17 a share and the options are at the money. The volatility of the stock returns averages 16 percent. The options mature in 2 years and the risk-free rate is 3.45 percent. N(d1) is .662055 and N(d2) is .576052. Given this information, what is the value of a call option on one share of this stock?

A) $2.11B) $1.70C) $1.89D) $2.28E) $2.21

21) A stock has a market price of $25 and a standard deviation of returns of 24 percent. The $25 call option matures in 4 months and the risk-free rate is 2.89 percent. N(d1) is .555198 and N(d2) is .500096. What is the value of the call option per share of stock?

A) $1.71B) $1.86C) $1.50D) $1.62E) $2.16

22) What are the values of u, the up state multiplier, and d, the down state multiplier, if there are monthly intervals and the standard deviation is .38?

A) 1.1159; .8961B) .0317; 1.0327C) .0317; .9683D) .2193; .7807E) 1.1159; −.1159

23) A CEO is being granted 1,000,000 at-the-money options. The current stock price is $45, the continuously compounded risk-free rate is 5 percent, and the variance on the stock's return is .04. The options expire in 5 years. What is the value of the options contract? If the CEO had negotiated a larger salary and only 10,000 options, what would be the value of that options contract?

答案:D d1 = [(R + .5σ2)(t)]/(σ2t).5 d1 = {[.05 + .5(.04)](5)}/[.04(5)].5 d1 = .78262 d2 = d1 − (σ2t).5 d2 = .78262 − [.04(5)].5 d2 = .33541 N(d1) = .50 + .28308 N(d1) = .78308 N(d2) = .50 + .13134 N(d2) = .63134 e−Rt = e−.05(5) e−Rt = .77880 C = SN(d1) − Ee−RtN(d2) C = $45(.78308) − $45e−.05(5)(.63134) C = $13.112379 For 1,000,000 options: Value = 1,000,000($13.11238) Value = $13,112,379 For 10,000 options: Value = 10,000($13.11238) Value = $131,123.79

24) A warrant bestows on its owner the:

A) obligation to sell securities directly to the issuer at a fixed price for a stated period of time.B) right to purchase securities directly from the issuer at a fixed price for a stated period of time.C) obligation to purchase securities directly from the issuer at a fixed price for a stated period of time.D) right to sell securities directly to the issuer at a fixed price for a stated period of time.E) right to sell securities directly to the issuer at the prior day's closing price for a stated period of time.

25) The lower limit of a warrant's value is defined as:

A) zero.B) MIN(0, Exercise price − Stock price).C) MAX(0, Stock price − Exercise price).D) MAX(0, Exercise price − Stock price).E) MIN(0, Stock price − Exercise price).

26) Bright View Windows issued warrants with an exercise price of $17. Bright View's common stock currently sells for $16 per share. The warrants are:

A) in the money.B) out of the money.C) valuable.D) not very valuable.E) both in the money and valuable.

27) Which one of the following occurs whenever a warrant is exercised?

A) The issuer receives the greater of the exercise price or the stock priceB) The number of shares outstanding increasesC) Currently outstanding shares are exchanged between individual shareholdersD) A new warrant is issued to replace the exercised warrantE) The issuer pays the lower of the exercise price or the stock price

28) Concerning warrants and call options, which one of the following statements generally is correct?

A) The issue procedures for both are quite similar.B) When a call option is exercised, the firm must issue new stock.C) When a warrant is exercised, existing stock changes hands.D) Exercise of a call option does not affect share value but warrant exercise does.E) The issuance of a call option generally decreases share value.

29) The gain from exercising a warrant is ________ the gain from exercising a comparable call option.

A) less thanB) generally greater thanC) always greater thanD) equal toE) either equal to or greater than

30) The gain on a call is computed as:

A) [Firm's value net of debt + Exercise price(Nw)]/(N + Nw).B) [Firm's value net of debt + Exercise price(Nw)]/N.C) Firm's value net of debt/N − Exercise price.D) Firm's value net of debt/(N + Nw) − Exercise price.E) (Firm's value net of debt − Exercise price)/N.

31) The gain on a warrant compared to the gain on a similar call is expressed as:

A) (N + Nw)/N.B) N/(N + Nw).C) Nw/(N + Nw).D) Nw/N.E) 1 + (Nw/N).

32) A convertible preferred stock is similar to a convertible bond except that:

A) the conversion ratio is fixed.B) the conversion price is fixed.C) the time to maturity is infinite.D) preferred stock converts to common stock while bonds convert to preferred stock.E) preferred stock converts to bonds while bonds convert to common stock.

33) Concerning convertible bonds, which one of these statements is false?

A) The value of a convertible bond can be greater than its straight bond value.B) The value of a convertible bond may be greater than its conversion value.C) A convertible bond can be separated into two distinct securities.D) The coupon rate on a nonconvertible bond will generally exceed the coupon rate on an otherwise identical convertible bond.E) An increase in the conversion price lowers the conversion ratio.

34) A firm has experienced a significant decrease in its share value. In retrospect, which one of the following securities would generally have provided the most benefit to the firm assuming the securities had been issued prior to the change in share value?

A) Bonds with attached warrantsB) Convertible preferred stockC) Straight bondsD) Convertible bondsE) Common stock

35) Assume a firm issues convertible bonds at a time when the risk of the firm is difficult to properly assess. If the firm is subsequently determined to have low risk, then the:

A) straight bond component of the convertible bond will have high value.B) bond should be immediately converted.C) conversion value will always exceed the straight bond value.D) call option of the convertible bond will have high value.E) the firm will eliminate the conversion option.

36) Transfer or expropriation of wealth from bondholders to stockholders is less likely to occur when:

A) subordinated straight debt is issued because the senior bondholders provide protection for the subordinated bondholders.B) convertible debt is issued because the equity component will reduce agency costs.C) convertible debt is issued because the holders can more readily sue when a high- risk project is undertaken.D) subordinated debt is issued because monitoring is much easier when subordinated straight debt is issued.E) straight debt is issued because there is a clearer distinction between creditors and shareholders.

37) From the bondholder's point of view, the optimum time to convert a convertible bond is when the bond's conversion value is:

A) less than the call price, but greater than the face value.B) greater than the call price, but less than the straight debt's value.C) equal to the face value.D) less than the straight debt's value, but greater than the call price.E) greater than the both the call value and straight bond value on the call date.

38) A firm has 600 shares of stock and 100 warrants outstanding. Assume the warrants are all exercised. The market value of the firm's assets is $25,000 and the market value of its debt is $8,000. Each warrant grants its owner the right to buy one new share at $27.50. What is the gain on one warrant?

A) $.87B) $.79C) $.25D) $.38E) $.71

39) The holders of Xenron Corporation's bonds with a face value of $1,000 can exchange each of those bonds for 35 shares of stock. The stock is selling for $22 a share. What is the conversion price?

A) $22.00B) $28.57C) $35.00D) $1.30E) $1.27

40) Assume a bond had a conversion price of $40 and a conversion ratio of 25. What would be the conversion ratio and conversion price if the bond issuer declared a stock split of 4-for-1?

A) 2.50; $400B) 100; $10C) 25; $40D) 6.25; $160E) 100; $25

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