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1.[单选题] 纠错收藏提问移除

Compared with exchange-traded derivatives, over-the-counter derivatives would most likely be described as:

A
standardized.
B
less transparent.
C
more transparent.

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2.[单选题] 纠错收藏提问移除

Exchange-traded derivatives are:

A
largely unregulated.
B
traded through an informal network.
C
guaranteed by a clearinghouse against default.

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3.[单选题] 纠错收藏提问移除

Which of the following derivatives is least likely to have a value of zero at initiation of the contract?

A
Futures
B
Options
C
Forwards

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4.[单选题] 纠错收藏提问移除

The law of one price is best described as:

A
the true fundamental value of an asset.
B
earning a risk-free profit without committing any capital.
C
two assets that will produce the same cash flows in the future must sell for equivalent prices.

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5.[单选题] 纠错收藏提问移除

Arbitrage opportunities exist when:

A
two identical assets or derivatives sell for different prices.
B
combinations of the underlying asset and a derivative earn the riskfree rate.
C
arbitrageurs simultaneously buy takeover targets and sell takeover acquirers.

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6.[单选题] 纠错收藏提问移除

An arbitrage opportunity is least likely to be exploited when:

A
one position is illiquid.
B
the price differential between assets is large.
C
the investor can execute a transaction in large volumes.

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7.[单选题] 纠错收藏提问移除

An arbitrageur will most likely execute a trade when:

A
transaction costs are low.
B
costs of short-selling are high.
C
prices are consistent with the law of one price.

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8.[单选题] 纠错收藏提问移除

An arbitrage transaction generates a net inflow of funds:

A
throughout the holding period.
B
at the end of the holding period.
C
at the start of the holding period.

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9.[单选题] 纠错收藏提问移除

The price of a forward contract:

A
is the amount paid at initiation.
B
is the amount paid at expiration.
C
fluctuates over the term of the contract.

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10.[单选题] 纠错收藏提问移除

Assume an asset pays no dividends or interest, and also assume that the asset does not yield any non-financial benefits or incur any carrying cost. At initiation, the price of a forward contract on that asset is:

A
lower than the value of the contract.
B
equal to the value of the contract.
C
greater than the value of the contract.

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11.[单选题] 纠错收藏提问移除

With respect to a forward contract, as market conditions change:

A
only the price fluctuates.
B
only the value fluctuates.
C
both the price and the value fluctuate.

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12.[单选题] 纠错收藏提问移除

The value of a forward contract at expiration is:

A
positive to the long party if the spot price is higher than the forward price.
B
negative to the short party if the forward price is higher than the spot price.
C
positive to the short party if the spot price is higher than the forward price.

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13.[单选题] 纠错收藏提问移除

At the initiation of a forward contract on an asset that neither receives benefits nor incurs carrying costs during the term of the contract, the forward price is equal to the:

A
spot price.
B
future value of the spot price.
C
present value of the spot price.

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14.[单选题] 纠错收藏提问移除

Stocks BWQ and ZER are each currently priced at $100 per share. Over the next year, stock BWQ is expected to generate significant benefits whereas stock ZER is not expected to generate any benefits. There are no carrying costs associated with holding either stock over the next year. Compared with ZER, the one-year forward price of BWQ is most likely:

A
lower.
B
the same.
C
higher.

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15.[单选题] 纠错收藏提问移除

When interest rates are constant, futures prices are most likely:

A
less than forward prices.
B
equal to forward prices.
C
greater than forward prices.

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16.[单选题] 纠错收藏提问移除

To the holder of a long position, it is more desirable to own a forward contract than a futures contract when interest rates and futures prices are:

A
negatively correlated.
B
uncorrelated.
C
positively correlated.

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17.[单选题] 纠错收藏提问移除

The value of a European call option at expiration is the greater of zero or the:

A
value of the underlying.
B
value of the underlying minus the exercise price.
C
exercise price minus the value of the underlying.

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18.[单选题] 纠错收藏提问移除

Based on put-call parity, a trader who combines a long asset, a long put, and a short call will create a synthetic:

A
long bond.
B
fiduciary call.
C
protective put.

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19.[单选题] 纠错收藏提问移除

Which of the following is least likely to be required by the binomial option pricing model?

A
Spot price
B
Two possible prices one period later
C
Actual probabilities of the up and down moves

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20.[单选题] 纠错收藏提问移除

A custom agreement to purchase a specific T-bond next Thursday for $1,000 is:

A
an option.
B
a futures contract.
C
a forward commitment.

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21.[单选题] 纠错收藏提问移除

A call option is:

A
the right to sell at a specific price.
B
the right to buy at a specific price.
C
an obligation to buy at a certain price.

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22.[单选题] 纠错收藏提问移除

Arbitrage prevents:

A
market efficiency.
B
earning returns higher than the risk-free rate of return.
C
two assets with identical payoffs from selling at different prices.

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23.[单选题] 纠错收藏提问移除

The price of a forward or futures contract:

A
is typically zero at initiation.
B
is equal to the spot price at expiration.
C
remains the same over the term of the contract.

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24.[单选题] 纠错收藏提问移除

For a forward contract on an asset that has no costs or benefits from holding it to have zero value at initiation, the arbitrage-free forward price must equal:

A
the expected future spot price.
B
the future value of the current spot price.
C
the present value of the expected future spot price.

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25.[单选题] 纠错收藏提问移除

The put-call-forward parity relationship least likely includes

A
a risk-free bond.
B
call and put options.
C
the underlying asset.

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答题卡

Compared with exchange-traded derivatives, over-the-counter derivatives would most likely be described as:

Exchange-traded derivatives are:

Which of the following derivatives is least likely to have a value of zero at initiation of the contract?

The law of one price is best described as:

Arbitrage opportunities exist when:

An arbitrage opportunity is least likely to be exploited when:

An arbitrageur will most likely execute a trade when:

An arbitrage transaction generates a net inflow of funds:

The price of a forward contract:

Assume an asset pays no dividends or interest, and also assume that the asset does not yield any non-financial benefits or incur any carrying cost. At initiation, the price of a forward contract on that asset is:

With respect to a forward contract, as market conditions change:

The value of a forward contract at expiration is:

At the initiation of a forward contract on an asset that neither receives benefits nor incurs carrying costs during the term of the contract, the forward price is equal to the:

When interest rates are constant, futures prices are most likely:

To the holder of a long position, it is more desirable to own a forward contract than a futures contract when interest rates and futures prices are:

The value of a European call option at expiration is the greater of zero or the:

Based on put-call parity, a trader who combines a long asset, a long put, and a short call will create a synthetic:

Which of the following is least likely to be required by the binomial option pricing model?

A custom agreement to purchase a specific T-bond next Thursday for $1,000 is:

A call option is:

Arbitrage prevents:

The price of a forward or futures contract:

For a forward contract on an asset that has no costs or benefits from holding it to have zero value at initiation, the arbitrage-free forward price must equal:

The put-call-forward parity relationship least likely includes

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