"Derivative"exercise:call option

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/02/25 10:03:25　字體：大小

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Questions 1:

For a call option, if the underlying asset’s value is less than the option’s exercise price, the option is said to be:

A 、at the money.

B 、out of the money.

C、 in the money.

Questions 2:

In efficient financial markets, risk-free arbitrage opportunities:

A、 will not exist.

B 、may persist in the long run.

C 、may exist temporarily.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. If the underlying asset’s value is less than the option’s exercise price, the call option is not worth exercising and is said to be out of the money.

A is incorrect. For an at-the-money call option, the value of the underlying asset is equal to the option’s exercise price, and the option buyer would be indifferent between exercising or not exercising the option.

C is incorrect. For an in-the-money call option, the value of the underlying asset is greater than the option’s exercise price, and the option is worth exercising.

【Answer to question 2】C

【analysis】

C is correct. In efficient financial markets, risk-free arbitrage opportunities may exist temporarily, but their continuous exploitation will eliminate these arbitrage opportunities in the long run.

A is incorrect. Financial markets being efficient does not mean that risk-free arbitrage opportunities cannot exist.

B is incorrect. In efficient financial markets, any risk-free arbitrage opportunities will exist only temporarily because their continuous exploitation will result in these arbitrage opportunities being eliminated in the long run.

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