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CFA一级 Derivatives 经典习题

编辑:Lin/时间:2016-12-23/浏览:1,258 views

Derivatives 经典十题 

【题1】Two parties agree to a forward contract on a non-dividend paying stock at a price of $103.00. At contract expiration the stock trades at $105.00. Which counterparty suffer from default risk?
A. The long position onlyB. The short position only

C. Both long and short position

【题2】An investor purchases a put option on AAA shares that has a strike price of €50 and expires in three months. One month later, AAA shares are trading at €54. At that time, the put most likely has:

A. Positive intrinsic value but no time value.

B. Positive time value but no intrinsic value.

C. Positive time value and positive intrinsic value.

【题3】An investor is long an in-the-money American call option on a dividend paying stock. Would this option most likely ever be exercised early?

A. No.

B. Yes, if its time value is high enough.

C. Yes, if it pays a high enough dividend.

【题4】An investor held 100 stocks, which he purchased for 26 dollars. Estimating that the price of the stocks would not rise significantly in the near future, he wrote call options for 100 stocks. The information of the call options is listed as follows:


The current price of the stocks is 24 dollars. The maximum profit the investor can expect is closest to:

A. 100 dollars.

B. 700 dollars.

C. 7 dollars.

【题5】Which of the following statements best describes changes in the value of a long forward position during its life?

A. As interest rates go down, the value of the position goes up.

B. As the price of the underlying goes up, the value of the position goes up.

C. As the time to maturity goes down, the value of the position goes up.

【题6】Which of the following derivatives is least likely to be classified as a contingent claim?

A.  A call option contract

B.  A futures contract

C.  A credit default swap

【题7】A high convenience yield is most likely associated with holding:

A. bonds.

B. commodities.

C. equities.

【题8】According to put-call-forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between:

A. forward price and spot price discounted at the risk-free rate.

B. exercise price and forward price discounted at the risk-free rate.

C. spot price and exercise price discounted at the risk-free rate.

【题9】An investor purchases 100 shares of common stock at €50 each and simultaneously sells call options on 100 shares of the stock with a strike price of €55 at a premium of €1 per option. At the expiration date of the options, the share price is €58. The investor’s profit is closest to:

A. €900.

B. €600.

C. €400.

【题10】Which of the following is least likely to be an example of a derivative?

A. A contract to buy Australian dollars at a predetermined exchange rate

B. An exchange-traded fund

C. A contract to sell Alphabet Inc.’s shares at a fixed price

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