09年SOA北美精算师考试第二门FM官方样题第一部分(金融数学)（17页）.pdf
已下载：0 次 是否免费： 否 上传时间：2011-04-06
These questions have been written to assist the student in studying for the Exam
FM/2.
They are not intended to cover the entire breadth of the syllabus for Financial
Economics.
1. Which statement about zero-cost purchased collars is FALSE?
A. A zero-width, zero-cost collar can be created by setting both the put and call strike
prices at the forward price.
B. There are an infinite number of zero-cost collars.
C. The put option can be at-the-money.
D. The call option can be at-the-money.
E. The strike price on the put option must be at or below the forward price.
2. You are given the following information:
The current price to buy one share of XYZ stock is 500.
The stock does not pay dividends.
The risk-free interest rate, compounded continuously, is 6%.
A European call option on one share of XYZ stock with a strike price of K that
expires in one year costs 66.59.
A European put option on one share of XYZ stock with a strike price of K that
expires in one year costs 18.64.
Using put-call parity, determine the strike price, K.
A. 449
B. 452
C. 480
D. 559
E. 582
3. Happy Jalapenos, LLC has an exclusive contract to supply jalapeno peppers
to the
organizers of the annual jalapeno eating contest. The contract states that the
FM/2.
They are not intended to cover the entire breadth of the syllabus for Financial
Economics.
1. Which statement about zero-cost purchased collars is FALSE?
A. A zero-width, zero-cost collar can be created by setting both the put and call strike
prices at the forward price.
B. There are an infinite number of zero-cost collars.
C. The put option can be at-the-money.
D. The call option can be at-the-money.
E. The strike price on the put option must be at or below the forward price.
2. You are given the following information:
The current price to buy one share of XYZ stock is 500.
The stock does not pay dividends.
The risk-free interest rate, compounded continuously, is 6%.
A European call option on one share of XYZ stock with a strike price of K that
expires in one year costs 66.59.
A European put option on one share of XYZ stock with a strike price of K that
expires in one year costs 18.64.
Using put-call parity, determine the strike price, K.
A. 449
B. 452
C. 480
D. 559
E. 582
3. Happy Jalapenos, LLC has an exclusive contract to supply jalapeno peppers
to the
organizers of the annual jalapeno eating contest. The contract states that the
立即下载
立即收藏