2010年5月FRM1级_定价与风险模型模拟试题.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