Quiz Ch 16 – American Put Values and Put-Call Parity
Essentials of Investments
Bodie, Kane, and Marcus
12th Edition
What particular occurrence can result in the deviation between American put values and the implied price from put-call parity?
What particular occurrence can result in the deviation between American put values and the implied price from put-call parity?
When comparing the Black-Scholes call option value at $3.50 to the actual call price of $3.75 for a non-dividend paying stock, should we suspect that the option is __________ or that the volatility used in the model is too __________?
What term describes the standard deviation derived from solving the Black-Scholes formula to match the current market call premium?
How do the probabilities represented by N(d1) and N(d2) change in the Black-Scholes model based on the likelihood of an option being exercised?
What simplified formula does the Black-Scholes model price reduce to for call options assuming profitable exercise?
What is the relationship between the price of a stock put option, the stock price, and the exercise price?
What is the consistent delta range for a call option on a stock?
How does a high dividend payout affect the values of call and put options?
Which elements based on research, improve pricing accuracy in option-pricing models compared to the basic Black-Scholes model?
What is the value of a portfolio where you buy a call and simultaneously sell a put on the same stock, given that prices are at equilibrium?