FRM一级百题巅峰班课件：期权与风险模型.pdf

文档介绍：: .
䠁 〻 ᮉ 㛢 W W W .G F E D European call
option, American call option, European put option, and American put option, all with
strike price USD 90, are:
A. 100,100,, 90
B. 100,100,90, 90
C. ,100, 90, 90
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D. , , ,
Q-2. Consider an American call option and an American put option, each with 3 months to
maturity, written on a non-dividend-paying stock currently priced at USD 40. The strike
price for both options is USD 35 and the risk-free rate is %. What are the lower and
upper bounds on the difference between the prices of the call and put options?
Scenario Lower Bound (USD) Upper Bound (USD)
A
B
C
D
A. Scenario A
B. Scenario B
C. Scenario C
D. Scenario D
Q-3. Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock
while looking at the over-the-counter price of a 5-year put and call (both European-style)
on that same stock. He has the following data:
z Initial stock price = USD 85
z Strike price = USD 90
z Continuous risk-free rate = 5%
z Underlying stock volatility = unknown
z Call price = USD 10
z Put price = USD 15
What is the continuous implied dividend yield of that stock?
A. %
B. %