2010年5月FRM1级第四部分定价与风险模型模拟试题20100404强静共35题.pdf

2010 FRM Part1- Valuation and Risk Models Sample Exam by 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 0.665 ) 5. B 0.656 ) 5. C 0.565 ) 6. D 0.556 ) 6. 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 1 ) . 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 variabl