题目内容

A non-dividend paying stock is currently trading at USD 25. You are looking to find a no-arbitrage price for a 1-year American call using a two-step binomial tree model for which the stock can go up or down by 25%. The risk free rate is 10% and you believe that there is an equal chance of the stock price going up or down. What is the risk-neutral probability of the stock price going down in a single step?

A. 22.6%
B. 39.8%
C. 50.0%
D. 68.3%

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A risk manager for Bank XYZ, Mark is considering writing a 6 month American put option on a non- dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD52.In order to find the no-arbitrage price of the option Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark's view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The annual risk-free rate is 12% with continuous compounding. The no-arbitrage price of the option is closest to:

A. USD2.00
B. USD 2.93
C. USD 5.22
D. USD 5.86

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A 1-year American put option with an exercise price of ＄40 will be worth ＄10.00 at maturity with a probability of 0.25 and ＄0.00 with a probability of 0.75. The current stock price is ＄36.The discount rate is 5%. The optimal strategy is to:

A. Exercise the option because the payoff from exercise exceeds the present value of the expected future payoff.
B. Not exercise the option because the payoff from exercise is less than the discounted present value of the future payoff.
C. Exercise the option because it is currently at-the-money.
D. Not exercise the option because it is out-of-the-money.

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In what way is the payoff of a forward rate agreement most likely different from the payoff of an interest rate option? It is:

A. paid immediately when the contract expires.
B. based on a notional principal amount.
C. based on a fixed exercise rate.

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以下程序有语法性错误，有关错误原因的正确说法是()void main(){int G=5,k;void prt_char();… …k=prt_char(G);… …}

A. 语句void prt_char();有错，它是函数调用语句，不能用void说明
B. 变量名不能使用大写字母
C. 函数说明和函数调用语句不一致
D. 函数名不能使用下划线

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A. 22.6% B. 39.8% C. 50.0% D. 68.3%

A 1-year American put option with an exercise price of ＄40 will be worth ＄10.00 at maturity with a probability of 0.25 and ＄0.00 with a probability of 0.75. The current stock price is ＄36.The discount rate is 5%. The optimal strategy is to:

In what way is the payoff of a forward rate agreement most likely different from the payoff of an interest rate option? It is:

以下程序有语法性错误，有关错误原因的正确说法是()void main(){int G=5,k;void prt_char();… …k=prt_char(G);… …}

A. 22.6%
B. 39.8%
C. 50.0%
D. 68.3%