8006試験無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition 認定」
It is January and an Australian importer needs to pay USD 1,120,000 at the end of August to a US creditor. If a AUD/USD futures contract is trading on the exchange at a futures price of 0.6750 (ie, 1 AUD = 0.6750 USD), and the contract size is USD 100,000, what would represent an appropriate hedge?
正解：D
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Which of the following statements are true:
(I). A deep in-the-money call option has a value very close to that of a forward contract with a forward price equal to the exercise price
(II). If the volatility of a stock goes down to zero, the value of a call option on the stock will tend to be close to that of a forward contract so long as the option is in the money.
(III). All other things remaining the same, the issue of stock warrants exercisable at a future date will cause a decline in the current stock price
(IV). Implied volatilities are calculated from market prices of options and are forward looking
(I). A deep in-the-money call option has a value very close to that of a forward contract with a forward price equal to the exercise price
(II). If the volatility of a stock goes down to zero, the value of a call option on the stock will tend to be close to that of a forward contract so long as the option is in the money.
(III). All other things remaining the same, the issue of stock warrants exercisable at a future date will cause a decline in the current stock price
(IV). Implied volatilities are calculated from market prices of options and are forward looking
正解：B
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解説: (GoShiken メンバーにのみ表示されます)