2025年CFA二级衍生品投资卷.docxVIP

2025年CFA二级衍生品投资卷

考试时间：______分钟总分：______分姓名：______

Part1:MultipleChoiceQuestions

1.WhichofthefollowingisNOTakeyassumptionoftheBlack-Scholes-Mertonmodel?

a)Theunderlyingassetpricefollowsalognormaldistribution.

b)Therearenotransactioncostsortaxes.

c)Therisk-freerateisconstantandknown.

d)Theoptioncanonlybeexercisedatexpiration(i.e.,itisaEuropeanoption).

e)Theunderlyingassetpaysacontinuousdividendyield.

2.Aninvestorbuysacalloptionwithastrikepriceof$50andapremiumof$2.Theunderlyingassetpriceatexpirationis$60.Whatistheinvestorsprofit?

a)$8

b)$2

c)$0

d)-$2

e)-$8

3.Acompanyusesfuturescontractstohedgeitsexposuretorisingrawmaterialcosts.WhichofthefollowingstatementsisTRUE?

a)Ifthefuturespriceincreases,thecompanyshedgingeffectivenessdecreases.

b)Thecompanymusttakeashortpositioninfuturescontractsifitiscurrentlyholdingalongpositionintheunderlyingasset.

c)Basisriskisthemainriskassociatedwithfutureshedging.

d)Thecompanywillalwaysmakeaprofitfromfutureshedging.

e)Theinitialmarginrequirementistypicallyhigherthanthevariationmarginrequirement.

4.Whichofthefollowingoptionsstrategiesinvolvesbuyingacalloptionandaputoptionwiththesamestrikepriceandexpirationdate?

a)Bullspread

b)Bearspread

c)Straddle

d)Strangle

e)Ironcondor

5.TheGreekletterdeltameasures:

a)Therateofchangeoftheoptionpricewithrespecttotheunderlyingassetprice.

b)Therateofchangeoftheoptiondeltawithrespecttotheunderlyingassetprice.

c)Therateofchangeoftheoptionpricewithrespecttotherisk-freerate.

d)Therateofchangeoftheoptionpricewithrespecttothetimetoexpiration.

e)Thesensitivityoftheoptionpricetochangesinvolatility.

6.Whichofthefollowing