"Derivative"exercise:Option pricing model

下載正保會(huì)計(jì)網(wǎng)校APP 訂閱最新報(bào)考消息

來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/11/25 09:53:44　字體：大小

學(xué)習(xí)是一個(gè)不斷積累的過程，每天學(xué)習(xí)一點(diǎn)，每天進(jìn)步一點(diǎn)！為了幫助大家更高效地備考2021年CFA考試，正保會(huì)計(jì)網(wǎng)校每日為大家上新CFA習(xí)題供大家練習(xí)。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢(mèng)想成真！

Questions 1:

According to put–call parity, if a fiduciary call expires in the money, the payoff is most likely equal to the:

A 、difference between the market value of the asset and the face value of the risk-free bond.

B 、market value of the asset.

C、 face value of the risk-free bond.

Questions 2:

When valuing a call option using the binomial model, an increase in the probability that the underlying will go up most likely implies that the current price of the call option:

A、 increases.

B 、remains unchanged.

C、 decreases.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. A fiduciary call, defined as a long position in a call and in a risk-free bond, generates a payoff that is equal to the market value of the asset if it expires in the money.

A is incorrect. The difference between the market value of the asset and the face value of the risk-free bond is the payoff of the long call if exercised. This ignores the fact that the face value of the bond needs to be added to the payoff.

C is incorrect. The face value of the risk-free bond is the payoff of the fiduciary call if the call expires out of the money,

【Answer to question 2】B

【analysis】

B is correct. The probability that the underlying will go up is not part of the binomial model for pricing options. This probability is irrelevant because the options are priced using risk-neutral probabilities. These are derived by constructing a hedged portfolio in the absence of arbitrage opportunities.

A is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.

C is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.

成功=時(shí)間+方法，自制力是這個(gè)等式的保障。世上無天才，高手都是來自刻苦的練習(xí)。而人們經(jīng)常只看到“牛人”閃耀的成績(jī)，其成績(jī)背后無比寂寞的勤奮。小編相信，每天都在勤奮練習(xí)，即使是一點(diǎn)點(diǎn)的進(jìn)步，大家一定可以成為人人稱贊的“牛人”。更多CFA考試資訊，點(diǎn)擊了解>

上一篇："Derivative"exercise:Option derivatives

下一篇："Derivative"exercise:Increase the value ...