更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

frm二级习题集：Q about A security sells

来源：高顿网校 2015-07-24

　　FRM考试提醒变化较大，建议考生先做一下真题。了解一下考题深度。

　　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?

　　A. $1.89.

　　B. $4.18.

　　C. $3.45.

　　D. $6.03.

　　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.

　　C. market 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?

　　A. 0.6655.

　　B. 0.6565.

　　C. 0.5566.

　　D. 0.5656.

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

　　3.png

　　A. 2.0%

　　B. 2.5%

　　C. 4.0%

　　D. 4.5%

　　ANSWER

　　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.

高顿网校温馨提醒：2015年FRM备考已经开始，为了帮助大家充分备考，体验实战，提供给大家FRM考试考点复习笔记，针对性地训练与模考，对学习过程进行全面总结。点击免费获取>>>

　　FRM考试免费题库【手机题库下载】| 在线直播

　　FRM高清网课免费体验 FRM名师精品班免费试听

　　精彩推荐：

FRM考试，FRM是什么？

2015年FRM考试常见问题解析

FRM考试在线高清视频指导

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线