"Derivative"exercise:Derivative Markets and Instruments
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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.
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.
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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