CFA一级练习题精选及答案0531-15

1、CFA级练习题精选及答案 0531-151、All else being equal, a decrease in volatility of the underlying is most likely toresult in a(n): 【单选题】A. increase in call price and a decrease in put price.B. decrease in call price and a decrease in put price.C. increase in call price and a increase in put price.正确答案 :B答案解析 :

2、所针对的标的资产波动性增加会同时增加看涨期权和看跌期权的价值，此时标的资产的价格高于看涨期权行 权价或者低于看跌期权行权价的可能性都增加，而所针对的标的资产的波动性若降低，则结论正好相反。2、An analyst does research about commodity.For an investorwith a long -termtime horizon,the return from rolling forwardthe maturity of the derivativepositionis most likely described5as :【单选题】A. convenience

3、yield.B. price return.C. collateral yield.正确答案 :A答案 解 析 :展期 收益 ( rollyield ) 也 被 称 为 便 利 收 益convenience yield )，是由于商品期货合约到期后进行展期 所获得的收益，当市场价格处于下降过程中时，多头投资者的展期收益为正；而当市场价格处于上升过程中时，多头投 资者的展期收益为负。3、An analyst does research about options.A series of interest rate call options expiringon different dates b

4、ut having the same exercise rate is best characterized as【单选题】A. zero-cost collar.B. interest rate cap.C. interest rate floor.正确答案 :B答案解析 :一系列有相同执行价和不同到期日的利率看跌期权构成的是利率底( interest ratefloor) ，而一系列利率看涨期 权可被看作利率顶( interest rate cap )。4、A European stock index call option has a strike price of $1,160 and

5、 a time to expiration of 0.25 years. Given a risk -free rate of 4 percent, if the underlying index is trading at $1,200 and has a multiplier of 1, then the lower bound for the option price is closest to: 【单选题】A. $28.29.B. $40.00.C. $51.32.正确答案 :C答案解 析: “ Option Markets and Contracts ” , Don M.Chance

6、2010 Modular Level I, Vol. 6, pp. 103 -107Study Session17-70-iCalculate and interpret the lowest prices of European and American calls and puts based on the rules for minimum values and lower bounds.The lower bound on a European call is either zero or the underlying asset 'prsice minus the present value of the exercise price, whichever is greater.5、An analyst does research about option value.In general, with respect to two call optionson the same underlying, the option with higher value is most likely to