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2021年CFA考试《CFA一级》练习题
帮考网校 2021-05-14 10:23
2021年CFA考试《CFA一级》练习题

备考CFA考试,一定要多刷题,多练习。2021年CFA考试《CFA一级》考试共240题,以下是帮考网为您准备的练习题,附答案解析,供您备考练习。

1、All else being equal, a decrease in volatility of the underlying is most likely toresult in a(n):【单选题】

A.increase in call price and a decrease in put price.

B.decrease in call price and a decrease in put price.

C.increase in call price and a increase in put price.

正确答案:B

答案解析:所针对的标的资产波动性增加会同时增加看涨期权和看跌期权的价值,此时标的资产的价格高于看涨期权行权价或者低于看跌期权行权价的可能性都增加,而所针对的标的资产的波动性若降低,则结论正好相反。

2、An analyst does research about commodity.For an investor with a long-termtime horizon, the return from rolling forward the maturity of the derivative positionis most likely described as :【单选题】

A.convenience yield.

B.price return.

C.collateral yield.

正确答案:A

答案解析:展期收益(roll yield)也被称为便利收益(convenience yield),是由于商品期货合约到期后进行展期所获得的收益,当市场价格处于下降过程中时,多头投资者的展期收益为正;而当市场价格处于上升过程中时,多头投资者的展期收益为负。

3、An analyst does research about options.A series of interest rate call options expiringon different dates but having the same exercise rate is best characterized as【单选题】

A.zero-cost collar.

B.interest rate cap.

C.interest rate floor.

正确答案:B

答案解析:一系列有相同执行价和不同到期日的利率看跌期权构成的是利率底(interest ratefloor),而一系列利率看涨期权可被看作利率顶(interest rate cap)。

4、A European stock index call option has a strike price of $1,160 and a time to expiration of 0.25 years. Given a risk-free rate of 4 percent, if the underlying index is trading at $1,200 and has a multiplier of 1, then the lower bound for the option price is closest to:【单选题】

A.$28.29.

B.$40.00.

C.$51.32.

正确答案:C

答案解析:“Option Markets and Contracts”, Don M. Chance2010 Modular Level I, Vol. 6, pp. 103-107Study Session 17-70-iCalculate and interpret the lowest prices of European and American calls and puts based on the rules for minimum values and lower bounds.The lower bound on a European call is either zero or the underlying asset’s price minus the present value of the exercise price, whichever is greater.

5、An analyst does research about option value.In general, with respect to two call optionson the same underlying, the option with higher value is most likely to have a:【单选题】

A.

B.

C.

正确答案:B

答案解析:到期时间越长,看涨期权价值越高,因为未来资产价格波动的不确定性越大。行权价越高,看涨期权价值越低,因为标的资产价格超过行权价的可能性变小。

希望以上练习题对您的复习有所帮助,帮考网祝您考试成功!

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