MC Question 1

A borrower should take long position in Eurodollar futures to hedge the interest rate risk. A. True

B. False

MC Question 2

A synthetic borrowing with fixed interest rate can be created by taking short position in long- term ZCB and a long position in short-term ZCB.

A. True B. False

MC Question 3

The yield to maturity of the ZCB is the same as the par coupon rate of the Treasury Bond. A. True

B. False

MC Question 4

A swap requires investor to pay everything at the initiation of the swap. A. True

B. False

MC Question 5

Out-of-the-money call has strike price lower than out-of-the-money put, for two options with the same underlying asset.

A. True B. False

MC Question 6

If you do not want to early-exercise the American put option, you should hold the option until expiration.

A. True B. False

MC Question 7

When the underlying asset becomes more volatile, the cost of early exercising increases. A. True

B. False

MC Question 8

The 1-year standard deviation of a stock with uncorrelated monthly returns is the half of the 2-year standard deviation of the same stock.

A. True B. False

MC Question 9

As strike price increases, the delta of a call option increases. A. True

B. False