2020年CFA考试《CFA一级》考试共240题，分为单选题。小编为您整理Derivative Investments5道练习题，附答案解析，供您备考练习。

1、When valuing a call option using the binomial model, an increase in the probability that theunderlying will go up, most likely implies that the current price of the call option:【单选题】

A.remains unchanged.

B.decreases.

C.increases.

正确答案:A

答案解析:The probability that the underlying will go up is not part of the binomial model for pricing options. Thisprobability is irrelevant, since the options are priced using risk-neutral probabilities. These are derivedby constructing a hedged portfolio in the absence of arbitrage opportunities.
CFA Level I
"Basics of Derivative Pricing and Valuation," Don M. Chance
Section 4.2

1、A futures trader takes a long position of 10 contracts. The initial margin requirement is $10 per contract and the maintenance margin requirement is $7 per contract. She deposits the required initial margin on the trade date. On Day 3, her margin account balance is $40. What is the variation margin on Day 4?【单选题】

A.$30

B.$60

C.$70

正确答案:B

答案解析:“Futures Markets and Contracts,” Don M. Chance
2011 Modular Level I, Vol. 6, pp. 55–59
Study Session 17-62-c
Distinguish between margin in the securities markets and margin in the futures markets, and explain the role of initial margin, maintenance margin, variation margin, and settlement in futures trading.
B is correct because on any day when the balance in the margin account falls below the maintenance margin, the trader must deposit sufficient funds to bring the balance back up to the initial margin requirement. This additional amount is called the “variation margin.” Therefore, $100 – $40 = $60 variation margin.

1、When purchasing a futures contract, the initial margin requirement refers to the:【单选题】

A.minimum account balance required as prices change.

B.performance bond ensuring fulfillment of the obligation.

C.amount needed to finance the purchase of the underlying asset.

正确答案:B

答案解析:“Futures Markets and Contracts,” Don M. Chance
2011 Modular Level I, Vol. 6, pp. 55–56
Study Session 17-62-c
Distinguish between margin in the securities markets and margin in the futures markets, and explain the role of initial margin, maintenance margin, variation margin, and settlement in futures trading.
B is correct because the initial margin required is a good faith deposit or performance bond.

1、In what way is the payoff of a forward rate agreement most likely different from the payoff of an interest rate option? It is:【单选题】

A.paid immediately when the contract expires.

B.based on a notional principal amount.

C.based on a fixed exercise rate.

正确答案:A

答案解析:The payoff of a FRA is paid immediately when the contract expires. If at expiration the option is in the money and exercised, the payoff of the option is not paid immediately at expiration; it is paid at the end of the term of the underlying interest rate.
2014 CFA Level I
"Option Markets and Contracts," by Don M. Chance
Section 4.1.4

1、An analyst does research about European option.An investor purchases a Europeanput option with an exercise price of $ 38.60.If the stock price at expirationis $ 25.34 and the dividend yield is 3.5%, the payoff per share isclosest to:【单选题】

A.$ 11.91

B.$ 13.26

C.$ 14.61

正确答案:B

答案解析:收益为：$ 38.60- $ 25.34 = $ 13.26。在计算期权价值如最大最小边界时，需要考虑未来预期股利的折现；在计算期权收益时，则只用考虑行权价和实际价格的差。题目中，是看跌期权，股票价格低于行权价时的支付是股票价格减去行权价。