2010年5月FRM1级_定价与风险模型模拟试题(9页).docVIP

2010 FRM Part1- Valuation and Risk Models Sample Examby DMC Qiang Jing FRM 1. 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) 0.5656. D) 0.5566. 2. A stock currently trades at $50. At the end of three months, the stock will either be $55 or $45. The continuously compounded risk-free rate of interest is 5 percent per year. The value of a 3-month European call option with a strike price of $50 is closest to: A) $2.78. B) $2.89. C) $2.55. D) $2.25. 3. A stock that currently trades at $40 can either move up or down by 5 percent each year. The continuously compounded risk-free rate is 4 percent. An over-the-counter European call option with 2 years until expiration is set up so that the strike price is determined by the formula $40 + [(years to expiration + 1) × 0.5] in periods when the stock price increases. In periods when the stock price declines, the strike price is $40. What is the value of this 2-year specialized OTC call option? A) $3.12. B) $2.74. C) $3.27. D) $2.56. 4. The difference between a Monte Carlo simulation and a historical simulation is that a historical simulation uses randomly selected variables from past distributions, while a Monte Carlo simulation: A) uses randomly selected variables from future distributions. B) uses variables based on roulette odds. C) uses a computer to generate random variables. D) projects variables based on a priori principles. 5. When comparing a fat-tailed distribution to an otherwise similar normal distribution, the fat-tailed distribution often has: A) a lower probability mass at around one standard deviation. B) a different mean and standard deviation. C) an equal probability mass close to the mean. D) a lower probability mass at more than three standard deviations. 6. Many analyst