"Derivative"exercise:Derivative Markets and Instruments

下載正保會計網(wǎng)校APP 訂閱最新報考消息

來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2020/09/17 09:22:23　字體：大小

選課中心

多樣班次滿足需求

選課中心

資料專區(qū)

干貨資料助力備考

資料專區(qū)

報考指南

報考條件一鍵了解

報考指南

學(xué)習(xí)是一個不斷積累的過程，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，正保會計網(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，夢想成真！

Questions 1:

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.

Questions 2:

Which of the following is least likely to be an example of a derivative?

A 、An exchange-traded fund

B、 A contract to sell Alphabet Inc.’s shares at a fixed price

C 、A contract to buy Australian dollars at a predetermined exchange rate.

View answer resolution

【Answer to question 1】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.

【Answer to question 2】A

【analysis】

A is correct. Although an exchange-traded fund derives its value from the underlying assets it holds, it does not transform the performance of those assets and so is not a derivative.

B is incorrect. A contract to sell Alphabet Inc.’s shares transforms the performance of the underlying shares of Alphabet Inc and is an example of an option derivative.

C is incorrect. A contract to buy Australian dollars transforms the performance of the underlying currency and is an example of a currency derivative.

成功=時間+方法，自制力是這個等式的保障。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，其成績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”。