"Derivative"exercise:Derivative Markets and Instruments

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來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2020/09/17 09:22:23　字體：大小

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Questions 1:

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.

Questions 2:

Which of the following is least likely to be an example of a derivative?

A 、An exchange-traded fund

B、 A contract to sell Alphabet Inc.’s shares at a fixed price

C 、A contract to buy Australian dollars at a predetermined exchange rate.

View answer resolution

【Answer to question 1】B

【analysis】

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.

【Answer to question 2】A

【analysis】

A is correct. Although an exchange-traded fund derives its value from the underlying assets it holds, it does not transform the performance of those assets and so is not a derivative.

B is incorrect. A contract to sell Alphabet Inc.’s shares transforms the performance of the underlying shares of Alphabet Inc and is an example of an option derivative.

C is incorrect. A contract to buy Australian dollars transforms the performance of the underlying currency and is an example of a currency derivative.

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