FRM二级考题详解2016

2016-8-24 11:02| 发布者: brooke| 查看: 277| 评论: 0

摘要: 　　真题详解：FRM二级考题;分享老师精心带来的FRM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 prem ...

　　真题详解：FRM二级考题;分享老师精心带来的FRM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?

　　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.

　　A.2.0%

　　B.2.5%

　　C.4.0%

　　D.4.5%

　　高顿财经FRM解答：

　　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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