距离FRM考试还有

FRM真题练习,备考中必不可少!

发布时间:2021-06-25

来源:融跃教育

2020年新版FRM备考资料下载
  • 考纲对比
  • 学习计划
  • 思维导图
  • 复习资料
  • 历年真题
  • 词典及公式

FRM真题是历年FRM考试的题目,是FRM考试的重难点地方,因此建议考生在考前能够进行至少三套真题的练习,并对真题的知识点进行总结,帮助自己进行提升!

Acommittee of risk management practitioner discusses the difference between pricing deep out-of-the-money call options on FBX stock and pricing deep out-of-the-money call options on the EUR/JPY foreign exchange rate using the Black-Scholes-Merton (BSM) model. The practitioners price these options based on two distinct probability distributions of underlying asset prices at the option expiration date:》》》戳:免费领取FRM各科视频讲义+历年真题+21年原版书(PDF版)

●Alognormal probability distribution

●An implied risk-neutral probability distribution obtained from the volatility smile for options of the same maturity Using the lognormal instead of the implied risk-neutral probability distribution

will tend to:

A) Price the option on FBX relatively high and price the option on EUR/JPY relatively low.

B) Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

C) Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

D) Price the option on FBX relatively high and price the option on EUR/JPY relatively high.

答案:A 》》》报名繁琐?找融跃教育FRM考试免费代报名服务

解析:The implied distribution of the underlying equity prices derived using the general volatility smile of equity options has a heavier left tail and a less heavy right tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively high.【资料下载】点击下载FRM二级思维导图PDF版

The implied distribution of underling foreign currency prices derived using the general volatility smile of foreign currency options has heavier tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively low.

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