"Derivative"exercise:Derivative Markets and Instruments

来源: 正保会计网校编辑：小鞠橘桔 2020/09/17 09:22:23　字体：大小

学习是一个不断积累的过程，每天学习一点，每天进步一点！为了帮助大家更高效地备考2021年CFA考试，正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试，梦想成真！

Questions 1:

When valuing a call option using the binomial model, an increase in the probability that the underlying will go up most likely implies that the current price of the call option:

A、 increases.

B、 remains unchanged.

C、 decreases.

Questions 2:

Which of the following is least likely to be an example of a derivative?

A 、An exchange-traded fund

B、 A contract to sell Alphabet Inc.’s shares at a fixed price

C 、A contract to buy Australian dollars at a predetermined exchange rate.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. The probability that the underlying will go up is not part of the binomial model for pricing options. This probability is irrelevant because the options are priced using risk-neutral probabilities. These are derived by constructing a hedged portfolio in the absence of arbitrage opportunities.

A is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.

C is incorrect. The probability that the underlying will go up is not part of the binomial model for pricing options and hence does not influence the value of the call option.

【Answer to question 2】A

【analysis】

A is correct. Although an exchange-traded fund derives its value from the underlying assets it holds, it does not transform the performance of those assets and so is not a derivative.

B is incorrect. A contract to sell Alphabet Inc.’s shares transforms the performance of the underlying shares of Alphabet Inc and is an example of an option derivative.

C is incorrect. A contract to buy Australian dollars transforms the performance of the underlying currency and is an example of a currency derivative.

成功=时间+方法，自制力是这个等式的保障。世上无天才，高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩，其成绩背后无比寂寞的勤奋。小编相信，每天都在勤奋练习，即使是一点点的进步，大家一定可以成为人人称赞的“牛人”。

上一篇："Derivative"exercise:Basics of Derivativ...

下一篇："Derivative"exercise:Derivative products