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北美精算师SOA真题ExamC2005年度5月份那场考试（第二课）

来源：高顿网校 2014-08-08

　　北美精算师SOA真题ExamC2005年度5月份那场考试（第二课），废话不多说赶紧鼠标点击进来仔细学习。
　　5. (5 points) You are given the following information with respect to Stock XYZ:

　　? price: 50

　　? variance: 4%

　　? dividend rate: 0%

　　The risk-free rate compounded continuously is 6%.

　　You are also given the following selected values from the Standard Normal Cumulative

　　Distribution Function:

　　Z N(Z) Z N(Z) Z N(Z)

　　.01 0.5040 .11 0.5438 .21 0.5832

　　.02 0.5080 .12 0.5478 .22 0.5871

　　.03 0.5120 .13 0.5517 .23 0.5910

　　.04 0.5160 .14 0.5557 .24 0.5948

　　.05 0.5199 .15 0.5596 .25 0.5987

　　.06 0.5239 .16 0.5636 .26 0.6026

　　.07 0.5279 .17 0.5675 .27 0.6064

　　.08 0.5319 .18 0.5714 .28 0.6103

　　.09 0.5359 .19 0.5753 .29 0.6141

　　.10 0.5398 .20 0.5793 .30 0.6179

　　(a) List the assumptions required for put-call parity.

　　(b) Use the Black-Scholes formula to calculate the price of a one-year European call

　　option on Stock XYZ with a strike price of 52.

　　(c) Calculate the price of a one-year European put option on Stock XYZ with a strike

　　price of 52.

　　Show all work.

　　Course 6: Spring 2005 - 6 - GO ON TO NEXT PAGE

　　Morning Session

　　6. (6 points) You are given the following with respect to a portfolio of bonds:

　　Bond

　　Annual

　　Coupon Par

　　Market

　　Value

　　Option

　　Features

　　Years to

　　Maturity

　　A 4.50% 100 100 none 2

　　B 6.00% 100

　　callable in one

　　year at 101 2

　　You are given the following with respect to a binomial lattice:

　　? rL : 4%

　　? σ : 15%

　　? time interval between nodes: 1 year

　　(a) Calculate the one-year spot rate.

　　(b) Calculate the two-year spot rate.

　　(c) Calculate the one-year implied forward rate.

　　(d) Calculate the value of the option in Bond B.

　　Show all work.

　　7. (4 points) Outline the risks faced by a U.S. investor in purchasing a 10-year privatelyplaced

　　U.S. corporate callable bond.

　　Course 6: Spring 2005 - 7 - GO ON TO NEXT PAGE

　　Morning Session

　　COURSE 6

　　MORNING SESSION

　　SECTION B – MULTIPLE CHOICE

　　Course 6: Spring 2005 - 8 - GO ON TO NEXT PAGE

　　Morning Session

　　1-5. Each of questions 1 through 5 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　1. X. Yield-to-maturity return method I. Requires an explicit reinvestment

　　rate assumption

　　Y. Total return method II. Is commonly used for pricing and

　　trading

　　III. Ignores the capital gain or loss from

　　security sales

　　2. X. Effective duration matching I. Very expensive to implement

　　Y. Cash flow matching II. Only works for small changes in

　　interest rates

　　III. Accounts for options embedded in

　　the assets and liabilities

　　Course 6: Spring 2005 - 9 - GO ON TO NEXT PAGE

　　Morning Session
　　年轻时，我的生命有如一朵花——当春天的轻风来到她的门前乞求时，从她的丰盛中飘落一两片花瓣，她你从未感到这是损失。——高顿网校考试励志

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