2019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、Compared with a futures contract, a forward contract is most likely to be more:【单选题】

A.publicized.

B.customized.

C.liquid.

正确答案:B

答案解析:The terms of a forward contract are customized to meet the needs of both parties. A futures contract is not customized. Instead, the exchange establishes the terms.
2014 CFA Level I
"Futures Markets and Contracts," by Don M. Chance
Sections 1.2–1.3

1、An investor purchases 100 shares of common stock at €50 each and simultaneously sells calloptions on 100 shares of the stock with a strike price of €55 at a premium of €1 per option. At theexpiration date of the options, the share price is €58. The investor's profit is closest to:【单选题】

A.€900.

B.€600.

C.€400.

正确答案:B

答案解析:Because the share price is greater than the strike price (X), the investor collects the premiumplus the difference between the strike price and purchase price: In this case, 100 × (€55-€50+€1)=€600.
CFA Level I
"Risk Management Applications of Option Strategies," Don M. Chance
Section 2.2.1

1、An analyst does research about an forward rate agreement (FRA).FRA 3 × 12means the maturity is:【单选题】

A.3 month and is based on a 6-month underlying rate.

B.3 month and is based on a 9-month underlying rate.

C.9 month and is based on a 3-month underlying rate.

正确答案:B

答案解析:FRA 3 × 12是指远期利率合约的期限是3个月，针对的是9个月（12个月-3个月）的贷款利率。

1、An American call has a strike price of $60 and expires in 1.5 years.The currentprice of the underlying is $58.5 and the risk-free rate is 3.5%.The minimumvalue of this call is:【单选题】

A.$0

B.$0.53

C.$1.52

正确答案:C

答案解析: