Which of the following descriptions of how option payoffs are determined is most accurate()
A. The long position in an interest rate call option receives cash at expiration equal to Max[0, (reference rate-strike rate) ] × notional principal amount.
B. The payoff on a stock index option is the difference between the index level at expiration and the exercise price.
C. Payoffs on futures options can be determined without knowing the spot price of the underlying commodity.
参考答案：C
解析：
When the holder exercises a futures option, he receives an underlying futures position. The cash payoff is the value the holder gains when that position is marked to market. Thus, the payoff is the difference between the exercise price and the futures contract price. Although it certainly influences the futures price, the spot price of the underlying commodity does not enter into the calculation of the payoff on the option. The long position in an interest rate call option receives cash if the reference rate is greater than the strike rate, but does not receive it at expiration. The term of the reference rate ( for example, 90-day LIBOR) determines the length of time after expiration when the cash changes hands. Options that pay at expiration pay the present value of the amount described. Determining the payoff on a stock index option requires the index level, the exercise price, and the contract multiplier. The strike price is another name for the exercise price.