Log in Sign up. How can we help? What is your email?

equities chapter 16 at Villanova University - StudyBlue

Upgrade to remove ads. Investor A bought a call option that expires in 6 months.

Investor B wrote a put option with a 9 month maturity. Investor A bought a call option and Investor B bought a put option. Which of the following is a true statement? The actual value of a call option is greater than its intrinsic value prior to expiration B. The intrinsic value of a call option is always greater than its time value prior to expiration C. The intrinsic value of a call option is always positive prior to expiration D.

The intrinsic value of a call option is greater than its actual value prior to expiration.

I and II only C. II and III only D.

I, II and III. I and III only C. A hedge ratio of 0. Which one of the following will increase the value of a put option?

A decrease in the exercise price B. A decrease in time to expiration of the put C. An increase in the volatility of the underlying stock D.

Option Pricing Models (Black-Scholes & Binomial) | Hoadley

An increase in stock price. You find the option prices for three June call options on the same stock.

INVEST chapter 16 Flashcards | Quizlet

What combination of variables is likely to lead to the lowest time value? Short time to expiration and low volatility B.

Long time to expiration and high volatility C. Short time to expiration and high volatility D. Long time to expiration and low volatility. The fact that American put values may not equal the price implied by put call parity is attributable to the possibility of what event?

Changes in the dividend B. Interest rate declines D. What aspect of the time value of money does the factor of e represent in the Black-Scholes option value formula? Compounding at the expiration time frame C. Suppose you purchase a call and write a put on the same stock with the same exercise price and expiration. S0 - Xe-rt B.