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发表时间:2015-07-10 来源: 告诉小伙伴:
【编者按】真题详解:FRM二级考试真题; 天天分享老师精心带来的CFA历年真题以及考试答案的详细解析,帮助学员在学习中快速的提升考试成绩,加强练习。

       1. A security sells for $40. A 3-month call with a strike of $42 has a premium of $2.49. The risk-free rate is 3 percent. What is the value of the put according to put-call parity?





       2. Which of the following statements regarding the Black-Scholes-Merton option-pricing model is TRUE?

       A.As the number of periods in the binomial options-pricing model is increased toward infinity, it converges to the Black-Scholes-Merton option-pricing model.

       B.The Black-Scholes-Merton option-pricing model is the discrete time equivalent of the binomial option-pricing model.

       C.The Black-Scholes-Merton model is superior to the binomial option-pricing model in its ability to price options on assets with periodic cash flows.

  D.As the periods in the binomial option-pricing model are lengthened, it converges to the Black-Scholes-Merton option-pricing model.

       3. If we use four of the inputs into the Black-Scholes-Merton option-pricing model and solve for the asset price volatility that will make the model price equal to the

market price of the option, we have found the:

       A.implied volatility.

       B.historical volatility. volatility.

       D.option volatility.

       4. A stock that is currently trading at $50 and can either move to $55 or $45 over the next 6-month period. The continuously compounded risk-free rate is 2.25 percent.

What is the risk-neutral probability of an up movement?





       5. Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a B credit.






       1. Correct answer:B

       p = c + X – S = 2.49 + 42 e –0.03 × 0.25 – 40 = $4.18

       2. Correct answer: A

       As the option period is divided into more/shorter periods in the binomial option-pricing model, we approach the limiting case of continuous time and the binomial model results converge to those of the continuous-time Black-Scholes-Merton option pricing model.

       3. Correct answer:A

       The question describes the process for finding the expected volatility implied by the market price of the option.

       4. Correct answer:C:

       The risk-neutral probability, p, can be calculated as .  In this case, r = 0.0225, u = 1.1, d = 0.9, which makes p equal to [e[0.0225*(6/12)] - 0.9] / [1.1 - 0.9] = .5566

       5. Correct answer: d

       Scenario one: B can go into default the first year, with probability of 0.02.

       Scenario two: B could go to A then D, with probability of 0.03 × 0.00 = 0.

       Scenario three: B could go to B then D, with probability of 0.90 × 0.02 = 0.018.  Scenario four: B could go to C then D, with probability of 0.05 × 0.14 = 0.007.  The total is 0.045.


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