備考CFA考試，一定要多刷題，多練習(xí)。2021年CFA考試《CFA一級(jí)》考試共240題，以下是幫考網(wǎng)為您準(zhǔn)備的練習(xí)題，附答案解析，供您備考練習(xí)。

1、All else being equal, a decrease in volatility of the underlying is most likely toresult in a(n):【單選題】

A.increase in call price ａｎｄ&emsp；a decrease in put price.

B.decrease in call price ａｎｄ&emsp；a decrease in put price.

C.increase in call price ａｎｄ&emsp；a increase in put price.

正確答案:B

答案解析:所針對(duì)的標(biāo)的資產(chǎn)波動(dòng)性增加會(huì)同時(shí)增加看漲期權(quán)和看跌期權(quán)的價(jià)值，此時(shí)標(biāo)的資產(chǎn)的價(jià)格高于看漲期權(quán)行權(quán)價(jià)或者低于看跌期權(quán)行權(quán)價(jià)的可能性都增加，而所針對(duì)的標(biāo)的資產(chǎn)的波動(dòng)性若降低，則結(jié)論正好相反。

2、An analyst does research about commodity.Fｏｒan investｏｒwith a long-termtime horizon, the return from rolling forward the maturity of the derivative positionis most likely described as :【單選題】

A.convenience yield.

B.price return.

C.collateral yield.

正確答案:A

答案解析:展期收益(roll yield)也被稱為便利收益(convenience yield)，是由于商品期貨合約到期后進(jìn)行展期所獲得的收益，當(dāng)市場(chǎng)價(jià)格處于下降過程中時(shí)，多頭投資者的展期收益為正；而當(dāng)市場(chǎng)價(jià)格處于上升過程中時(shí)，多頭投資者的展期收益為負(fù)。

3、An analyst does research about options.A series of interest rate call options expiringon different dates but having the same exercise rate is best characterized as【單選題】

A.zero-cost collar.

B.interest rate cap.

C.interest rate floor.

正確答案:B

答案解析:一系列有相同執(zhí)行價(jià)和不同到期日的利率看跌期權(quán)構(gòu)成的是利率底(interest ratefloor)，而一系列利率看漲期權(quán)可被看作利率頂(interest rate cap)。

4、A European stock index call option has a strike price of $1,160 ａｎｄ&emsp；a time to expiration of 0.25 years. Given a risk-free rate of 4 percent, if the underlying index is trading at $1,200 ａｎｄ&emsp；has a multiplier of 1, then the lower bound fｏｒthe option price is closest to:【單選題】

A.$28.29.

B.$40.00.

C.$51.32.

正確答案:C

答案解析:“Option Markets ａｎｄ&emsp；Contracts”, Don M. Chance2010 Modular Level I, Vol. 6, pp. 103-107Study Session 17-70-iCalculate ａｎｄ&emsp；interpret the lowest prices of European ａｎｄ&emsp；American calls ａｎｄ&emsp；puts based on the rules fｏｒminimum values ａｎｄ&emsp；lower bounds.The lower bound on a European call is either zero ｏｒthe underlying asset’s price minus the present value of the exercise price, whichever is greater.

5、An analyst does research about option value.In general, with respect to two call optionson the same underlying, the option with higher value is most likely to have a:【單選題】

A.

B.

C.

正確答案:B

答案解析:到期時(shí)間越長，看漲期權(quán)價(jià)值越高，因?yàn)槲磥碣Y產(chǎn)價(jià)格波動(dòng)的不確定性越大。行權(quán)價(jià)越高，看漲期權(quán)價(jià)值越低，因?yàn)闃?biāo)的資產(chǎn)價(jià)格超過行權(quán)價(jià)的可能性變小。

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