1．Tom is the manager of the derivatives department of GS investment company．He is holding an interview and needs the interviewer to describe some characteristics of derivatives．Jerry and Mike make the following descriptions as candidates．Jerry states that derivatives are only used by companies to manage risks from the unexpected changes of interest rate，foreign exchange，and commodity price，etc．Mike holds that：from the nature of their payoff and the relationship between derivatives and underlying assets，derivatives can be classified into linear derivatives and nonlinear derivatives．Which of the statement（s）above is／are most likely correct？
1．Tom 是 GS 投资公司衍生品部门的经理。他正在进行面试，需要面试者描述一些衍生品的特征。Jerry 和 Mike 作为候选人做出了以下描述。Jerry 表示衍生品仅被公司用来管理利率、外汇和商品价格等意外变动带来的风险。Mike 认为：从其收益性质及衍生品与标的资产的关系来看，衍生品可以分为线性衍生品和非线性衍生品。上述哪项陈述最可能是正确的？
A．Only Jerry A．仅 Jerry
B．Only Mike B．仅 Mike
C．Both Jerry and Mike
C．杰瑞和迈克都
D．Neither of themD．他们都不是
2．Derivatives are contracts whose values depend on the values of one or more financial variables，we use derivatives to hedge risk，to make some profit，which of the following is least correct considering the characteristics of derivatives？
2．衍生品是其价值依赖于一个或多个金融变量价值的合约，我们使用衍生品来对冲风险，获取一定利润，以下哪项关于衍生品特性描述最不正确？
A．Forward is an over－the－counter contract with many regulations，the risk of this derivative is less than that of futures in the case that the underlying asset，the maturity of time，and the other characteristics are the same．
A．远期合约是一种场外交易合约，受多种法规约束，在标的资产、到期时间及其他特性相同的情况下，该衍生品的风险低于期货合约
B．The advantage of OTC markets is that the contracts traded do not have to be the standard contracts defined by exchanges，and market participants can trade any contracts they like．
B．场外交易市场的优势在于交易的合约不必是交易所定义的标准合约，市场参与者可以交易任何他们喜欢的合约。
C．In the absence of credit risk and under similar contract terms，the payoff of futures contracts and forward contracts is similar，but futures contracts are traded on exchanges．
C．在没有信用风险且合约条款相似的情况下，期货合约和远期合约的收益相似，但期货合约是在交易所交易的。
D．Derivatives markets attract many kinds of traders，the leverage that speculators can obtain means that it is very easy for traders to take significant risks．
D．衍生品市场吸引了多种类型的交易者，投机者能够获得的杠杆意味着交易者很容易承担重大风险。

3．In futures trading，clearinghouses play an important role．Which of the functions should the clearing houses fulfill in the settlement process of futures？
3．在期货交易中，清算所扮演着重要角色。清算所在期货结算过程中应履行哪些职能？
A．In case of physical settlement，the clearinghouse guarantees that the longs will receive the specified merchandise．
A．在实物交割的情况下，清算所保证多头将收到指定的商品。
B．The clearinghouse receives delivery notices from the longs and assigns the notices to the shorts．
B．清算所接收多头的交割通知，并将通知分配给空头。
C．Each day，members who have lost money pay their loss amount to the clearinghouse，while members who have gained will not receive their gain amount from the clearinghouse．
C．每天，亏损的会员向清算所支付亏损金额，而盈利的会员不会从清算所收到盈利金额。
D．In futures trading，the clearinghouse adopts a net settlement method，consolidating long and short positions to determine the net exposure of a clearing member and settling only the net amount．
D．在期货交易中，清算所采用净结算方式，将多头和空头头寸合并，确定清算会员的净风险敞口，并仅结算净额

4．William Wang，FRM，entered into the long position of two wheat futures contracts matured on June．Each contract is 15,000 pounds of wheat．The current futures price is 150 cents per pound．The initial margin was about $\mathrm{\$}5,000$$\mathrm{\$}5,000$$5,000\$ 5,000 for each contract and the maintenance margin was $\mathrm{\$}3,500$$\mathrm{\$}3,500$$3,500\$ 3,500 for each contract．Based on the information above，what price changes will lead to the margin call and under what circumstances can $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 be withdrawn from the margin account by investors？
4．William Wang，FRM，买入了两份 6 月到期的小麦期货合约多头仓位。每份合约为 15,000 磅小麦。当前期货价格为每磅 150 美分。每份合约的初始保证金约为 $\mathrm{\$}5,000$$\mathrm{\$}5,000$$5,000\$ 5,000 ，维持保证金为每份合约 $\mathrm{\$}3,500$$\mathrm{\$}3,500$$3,500\$ 3,500 。根据以上信息，价格变动到什么程度会导致追加保证金？在什么情况下投资者可以从保证金账户中提取 $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 ？
A．When the futures price is below 140 cents／pound，investors will receive margin call；when the futures price rises to 156.67 cents／pound，investors can withdraw $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 margin．
A．当期货价格低于每磅 140 美分时，投资者将收到追加保证金通知；当期货价格上涨至每磅 156.67 美分时，投资者可以提取 $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 保证金。
B．When the futures price is above 160 cents／pound，investors will receive margin call；when the futures price declines to 143.33 cents／pound，investors can withdraw $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 margin．
B．当期货价格高于每磅 160 美分时，投资者将收到追加保证金通知；当期货价格下跌至每磅 143.33 美分时，投资者可以提取 $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 保证金。
C．When the futures price is below 130 cents／pound，investors will receive margin call；when the futures price rises to 163.33 cents／pound，investors can withdraw $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 margin．
C．当期货价格低于每磅 130 美分时，投资者将收到追加保证金通知；当期货价格上涨至每磅 163.33 美分时，投资者可以提取 $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 保证金。
D．When the futures price is above 170 cents／pound，investors will receive margin call；when the futures price declines to 136.67 cents／pound，investors can withdraw $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 margin．
D．当期货价格高于 170 美分／磅时，投资者将收到追加保证金通知；当期货价格下降到 136.67 美分／磅时，投资者可以提取 $\mathrm{\$}2000$$\mathrm{\$}2000$$2000\$ 2000 保证金。

5．Tom is currently in a long position in a futures contract．The current futures contract price is $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35 ．He expects asset prices to rise rapidly in the future and reach the resistance level of $\mathrm{\$}45$$\mathrm{\$}45$$45\$ 45 and then may fall．Which order could automatically help Tom get the most profit？
5．汤姆目前持有一份期货合约的多头头寸。当前期货合约价格为 $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35 。他预计资产价格将迅速上涨，达到阻力位 $\mathrm{\$}45$$\mathrm{\$}45$$45\$ 45 ，然后可能下跌。哪种订单可以自动帮助汤姆获得最大利润？
A．Sell market orderA．卖出市价单
B．Sell market－if－touched order at $\mathrm{\$}45$$\mathrm{\$}45$$45\$ 45
B．在 $\mathrm{\$}45$$\mathrm{\$}45$$45\$ 45 的卖出市价触发单

C．Stop－loss sell order at $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35
C．止损卖出订单，价格为 $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35
D．Stop－Limit sell order which stop price is $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35 and limit price is $\mathrm{\$}30$$\mathrm{\$}30$$30\$ 30
D．止损限价卖出订单，止损价格为 $\mathrm{\$}35$$\mathrm{\$}35$$35\$ 35 ，限价为 $\mathrm{\$}30$$\mathrm{\$}30$$30\$ 30

6．Jack，as the derivatives investment manager of GS investment company，is introducing the relevant characteristics of futures contracts to customers．
6．Jack，作为 GS 投资公司的衍生品投资经理，正在向客户介绍期货合约的相关特性。
Statement 1：When one member is taking a new long position and another member becomes a short position in the contract，the open interest increases by two．
陈述 1：当一名会员建立新的多头头寸，另一名会员建立该合约的空头头寸时，未平仓合约数量增加两个
Statement 2：As the delivery period approaches，the futures price converges to the spot price，and the market in which the futures price increases as the time to maturity increases is called the inverted market．
陈述 2：随着交割期临近，期货价格趋近于现货价格，而期货价格随着到期时间的增加而上升的市场称为倒挂市场。
Which of the statement（s）above is／are most likely correct？
上述哪项陈述最有可能是正确的？
A．Only statement 1A．仅陈述 1
B．Only statement 2B．仅陈述 2
C．Both statements 1 and 2
C．陈述 1 和 2 均正确
D．Neither of themD．两者都不正确

7．A corn grower is concerned that the price he can get from the field in mid－October will be less than he has forecasted．To protect himself from price declines，the farmer has decided to hedge．The best available futures contract he can find is for August delivery．Which of the following is the appropriate direction of his position and the source of basis risk that may impact the farmer？
7．一位玉米种植者担心他在十月中旬从田间获得的价格会低于他预期的价格。为了防止价格下跌，农民决定进行套期保值。他能找到的最合适的期货合约是八月交割的。以下哪项是他应采取的合约方向以及可能影响农民的基差风险来源？
A．Short futures；Stack and roll
A．卖出期货；堆积和平仓
B．Short futures；Cross hedging
B．卖出期货；交叉套期保值
C．Long futures；Cross hedging
C．买入期货；交叉套期保值
D．Long futures；Stack and roll
D．买入期货；堆叠展期

8．A machine maker expects to buy 2,000 tons of aluminum sheets in 2 months and decides to hedge the risk of rising prices using 2 －month aluminum futures．Each aluminum futures contract contains 5 tons of aluminum．The 2－month volatility of the aluminum futures price per ton is $6\mathrm{\%}$$6\mathrm{\%}$6%6 \% ，and the 2 －month volatility of the price per ton of aluminum sheets is $5.4\mathrm{\%}$$5.4\mathrm{\%}$5.4%5.4 \% ．The correlation between the aluminum futures and the aluminum sheets is 0.95 ．To minimize the variance of its position，what aluminum futures position should the machine maker take？
8．一家机械制造商预计在两个月后购买 2000 吨铝板，并决定使用两个月期的铝期货来对冲价格上涨的风险。每份铝期货合约包含 5 吨铝。铝期货每吨价格的两个月波动率为 $6\mathrm{\%}$$6\mathrm{\%}$6%6 \% ，铝板每吨价格的两个月波动率为 $5.4\mathrm{\%}$$5.4\mathrm{\%}$5.4%5.4 \% 。铝期货与铝板价格的相关系数为 0.95。为了最小化其头寸的方差，该机械制造商应采取什么样的铝期货头寸？
A．Long 422 futures contracts．
A．多头持有 422 份期货合约。
B．Short 422 futures contracts．
B．空头持有 422 份期货合约。
C．Long 342 futures contracts．
C．多头持有 342 份期货合约。
D．Short 342 futures contracts．
D．空头持有 342 份期货合约

9．Darcy，a portfolio manager manages a $\mathrm{\$}10$$\mathrm{\$}10$$10\$ 10 million portfolio that has a beta of 0.3 relative to the S\＆P 500．The S\＆P 500 futures are trading at 1,050 and the multiplier is 250 ．The impact of the subprime mortgage crisis caused significant volatility in the stock market，posing substantial risks to his portfolio．He would like to use the S\＆P 500 futures to hedge exposure to market risk over the next few months．Suppose that at the maturity of the futures contract，the S\＆P 500 futures is trading at 1,000 and the portfolio has experienced a $1\mathrm{\%}$$1\mathrm{\%}$1%1 \% decline in value．Identify correct one from following choices．
9．Darcy，一位投资组合经理，管理着一个价值 $\mathrm{\$}10$$\mathrm{\$}10$$10\$ 10 百万的投资组合，该投资组合相对于标普 500 的贝塔系数为 0.3。标普 500 期货的交易价格为 1050，乘数为 250。次贷危机的影响导致股市出现显著波动，给他的投资组合带来了重大风险。他希望利用标普 500 期货在未来几个月对市场风险进行对冲。假设在期货合约到期时，标普 500 期货的交易价格为 1000，且投资组合价值下降了 $1\mathrm{\%}$$1\mathrm{\%}$1%1 \% 。请从以下选项中选择正确的答案。
A．The appropriate hedge for the portfolio is a short position in 38 contracts．
A．该投资组合的适当对冲是做空 38 份合约。
B．The net impact of the market decline on the appropriately hedged portfolio is a loss of $\mathrm{\$}37,500$$\mathrm{\$}37,500$$37,500\$ 37,500 ．
B．适当对冲后的投资组合因市场下跌的净影响是损失 $\mathrm{\$}37,500$$\mathrm{\$}37,500$$37,500\$ 37,500 。
C．The appropriate hedge for the portfolio is a short position in 11 contracts．
C．该投资组合的适当对冲是做空 11 份合约。
D．The net impact of the market decline on the appropriately hedged portfolio is 0 ．
D．市场下跌对适当对冲的投资组合的净影响为 0。

10．A portfolio is worth USD 200 million that has a beta relative to the S\＆P 500 index of 0.75 ．The S\＆P 500 index is currently trading at 5,000 ．The 3 －month S\＆P 500 futures with a contract size of 250 USD $\times$$\times$xx\times futures price is trading at 4,500 ．Using the 3 －month S\＆P 500 futures contract，which of the following transactions would increase the portfolio＇s beta to 0.9 ？
10．一个投资组合价值 2 亿美元，其相对于标普 500 指数的贝塔系数为 0.75。标普 500 指数当前交易价格为 5000 点。3 个月期的标普 500 期货合约，合约规模为 250 美元，期货价格为 4500 点。使用 3 个月期的标普 500 期货合约，以下哪种交易将使投资组合的贝塔系数增加到 0.9？
A．Long 27 futures contracts．
A．买入 27 份期货合约。
B．Short 27 futures contracts．
B．卖出 27 份期货合约。
C．Long 24 futures contracts．
C．买入 24 份期货合约。

D．Short 24 futures contracts．
D．卖出 24 份期货合约。

11．On January 10，a company decides to hedge the purchase of 15,000 bushels of corn on October 10．The following table gives futures prices（cents per bushel）of three selected contracts on four different dates．Each corn contract is on 5,000 bushels．What is the net（after hedging）price paid for the corn as a function of the spot price on October 10？
11．1 月 10 日，一家公司决定对 10 月 10 日购买的 15,000 蒲式耳玉米进行套期保值。下表给出了三个选定合约在四个不同日期的期货价格（每蒲式耳美分）。每份玉米合约为 5,000 蒲式耳。作为 10 月 10 日现货价格的函数，套期保值后的玉米净价是多少？

A． 45,750 USDA． 45,750 美元
B． 48,000 USDB． 48,000 美元
C．2，250 USDC．2,250 美元
D． 50,250 USDD． 50,250 美元

12．Stock A is expected to pay a $\mathrm{\$}1$$\mathrm{\$}1$$1\$ 1 dividend after 2 month and a $\mathrm{\$}2$$\mathrm{\$}2$$2\$ 2 dividend after 5 months．The stock price is now priced at $\mathrm{\$}30$$\mathrm{\$}30$$30\$ 30 ，the continuous compounded risk－free rate for all maturities is $8\mathrm{\%}$$8\mathrm{\%}$8%8 \% ．An investor has just entered into a short position in a 6－month forward contract of the stock．Based on the information above，what is the reasonable price of this stock forward contract？
12．股票 A 预计在 2 个月后支付 $\mathrm{\$}1$$\mathrm{\$}1$$1\$ 1 股息，在 5 个月后支付 $\mathrm{\$}2$$\mathrm{\$}2$$2\$ 2 股息。该股票当前价格为 $\mathrm{\$}30$$\mathrm{\$}30$$30\$ 30 ，所有期限的连续复利无风险利率为 $8\mathrm{\%}$$8\mathrm{\%}$8%8 \% 。一位投资者刚刚建立了该股票 6 个月期远期合约的空头头寸。基于以上信息，该股票远期合约的合理价格是多少？
A．USD 28.19A．28.19 美元
B．USD 29.34B．29.34 美元
C．USD 29.98C．29.98 美元
D．USD 30.41D．30.41 美元

13．A 6－month futures contract on an equity index is currently priced at 1,276 ．The underlying index stocks are valued at 1,250 and pay dividends at a continuously compounded rate of $1.70\mathrm{\%}$$1.70\mathrm{\%}$1.70%1.70 \% ．The current continuously compounded risk－free rate is $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% ．The potential arbitrage is closest to：
13．一份 6 个月期限的股票指数期货合约当前价格为 1276。标的指数股票的价值为 1250，且以连续复利率 $1.70\mathrm{\%}$$1.70\mathrm{\%}$1.70%1.70 \% 支付股息。当前连续复利无风险利率为 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% 。潜在的套利最接近于：
A．5．20．A．5.20。
B．8．32．B．8.32。
C． 16.58 ．C．16.58。
D． 26.00 ．D． 26.00 。
14．Eric Meyers is a trader in the arbitrage unit of a multinational bank．He finds that an asset is trading at USD 1,000 ，the price of a 1－year forward contract on that asset is USD 1，010，and the price of a 2－year forward contract is USD 1,025 ．Assume that there are no cash flows from the asset for 2 years．If the term structure of interest rates is flat at $1\mathrm{\%}$$1\mathrm{\%}$1%1 \% per year，which of the following is an appropriate arbitrage strategy？（Assume annual compounding）A ．Short 2－year forward and long 1－year forward．
14．Eric Meyers 是一家跨国银行套利部门的交易员。他发现一项资产的现价为 1,000 美元，该资产的一年期远期合约价格为 1,010 美元，两年期远期合约价格为 1,025 美元。假设该资产在两年内没有现金流。如果利率期限结构保持年利率为 $1\mathrm{\%}$$1\mathrm{\%}$1%1 \% 的平坦状态，以下哪种套利策略是合适的？（假设年复利）A．卖空两年期远期合约并买入一年期远期合约。
B．Short 1－year forward and long 2－year forward．
B．卖空一年期远期合约并买入两年期远期合约。
C．Short 2－year forward and long the underlying asset funded by borrowing for 2 years．
C．卖空两年期远期合约并买入基础资产，资金通过借款两年获得。
D．Long 2 year forward and short sell the underlying asset for 2 years．
D．买入 2 年期远期合约并卖空标的资产 2 年。

15．Six months ago a company entered in a one－year forward contract to buy the stock．At the time，the one－year forward price was USD 88．The stock price is now USD 95 and the stock will pay a dividend of USD 3 at the end of forward contract．The continuously compounded risk free rate is $4\mathrm{\%}$$4\mathrm{\%}$4%4 \% per year for all maturities，and there are no storage costs．Which of the following is closest to the value of the forward contract？
15．六个月前，一家公司签订了一份为期一年的远期合约，买入该股票。当时，一年期远期价格为 88 美元。股票现价为 95 美元，且在远期合约到期时将支付 3 美元的股息。连续复利无风险利率为 $4\mathrm{\%}$$4\mathrm{\%}$4%4 \% （年利率），适用于所有期限，且无存储成本。以下哪项最接近该远期合约的价值？

A．$-\mathrm{\$}5.80$$-\mathrm{\$}5.80$-$5.80-\$ 5.80A． $-\mathrm{\$}5.80$$-\mathrm{\$}5.80$-$5.80-\$ 5.80
B．$\mathrm{\$}5.80$$\mathrm{\$}5.80$$5.80\$ 5.80B． $\mathrm{\$}5.80$$\mathrm{\$}5.80$$5.80\$ 5.80
C．$-\mathrm{\$}8.74$$-\mathrm{\$}8.74$-$8.74-\$ 8.74
D．$\mathrm{\$}8.74$$\mathrm{\$}8.74$$8.74\$ 8.74

16．Jack and Rose are traders in the derivatives Department of GS investment company．They are discussing the difference between forward and futures．Which of the following statements is least likely correct？
16．Jack 和 Rose 是 GS 投资公司衍生品部门的交易员。他们正在讨论远期合约和期货合约的区别。以下哪项陈述最不可能正确？
A．As the forward contract is an OTC derivative，the trading process is more flexible，so there are a series of delivery dates．
A．由于远期合约是场外交易的衍生品，交易过程更灵活，因此存在一系列交割日期
B．The short position of futures contracts has the right to choose the delivery time．
B．期货合约的空头方有权选择交割时间。
C．If the income yield is greater than the interest rate，the short position of futures contracts will deliver later．
C．如果收益率大于利率，期货合约的空头方将选择较晚交割。
D．If the futures price is positively correlated with the interest rate，the futures price is larger than the forward price．
D．如果期货价格与利率正相关，期货价格将高于远期价格。

17．Zetaberg，FRM，is currently researching the foreign asset－liability positions of regional financial institutions in the United States and the related foreign exchange risks they generate．Zetaberg is particularly focused on the currency risk exposures of three banks in the Western region：Western Mountain Bank，First Interstate Bank，and Glacier Bank．These three banks all have exposure to the euro，with the following details：
17．Zetaberg，FRM，目前正在研究美国地区金融机构的外币资产负债状况及其产生的相关外汇风险。Zetaberg 特别关注西部地区三家银行的货币风险敞口：Western Mountain Bank、First Interstate Bank 和 Glacier Bank。这三家银行均有欧元敞口，具体情况如下：
Western Mountain Bank has receivables from European clients totaling 1，350，000 euros and payables amounting to $1,690,000$$1,690,000$1,690,0001,690,000 euros．These receivables and payables will be settled in six months．
Western Mountain Bank 拥有来自欧洲客户的应收账款，总计 1,350,000 欧元，应付账款金额为 $1,690,000$$1,690,000$1,690,0001,690,000 欧元。这些应收账款和应付账款将在六个月内结算。
First Interstate Bank holds mortgages totaling $60,000,000$$60,000,000$60,000,00060,000,000 euros for clients in Europe and has issued long－term euro bonds worth 57，350，000 euros．
First Interstate Bank 持有欧洲客户的抵押贷款，总额为 $60,000,000$$60,000,000$60,000,00060,000,000 欧元，并发行了价值 57,350,000 欧元的长期欧元债券。
Glacier Bank provides financial advisory services to clients in Europe，priced in dollars．Currently，the quoted price for this business is $\mathrm{\$}5,000,000$$\mathrm{\$}5,000,000$$5,000,000\$ 5,000,000 per year．
Glacier Bank 为欧洲客户提供以美元计价的财务咨询服务。目前，该业务的报价为每年 $\mathrm{\$}5,000,000$$\mathrm{\$}5,000,000$$5,000,000\$ 5,000,000 。
Regarding the foreign exchange risks faced by these three banks，the incorrect statement is：
关于这三家银行面临的外汇风险，错误的陈述是：
A．For Western Mountain Bank，its main foreign exchange risk is transaction risk，as its primary euro exposure comes from receivables and payables．
A．对于 Western Mountain Bank 来说，其主要的外汇风险是交易风险，因为其主要的欧元敞口来自应收账款和应付账款。
B．First Interstate Bank＇s main foreign exchange risk falls under translation risk，as its primary euro exposure relates to long－term assets and liabilities priced in euros．
B．First Interstate Bank 的主要外汇风险属于折算风险，因为其主要的欧元敞口涉及以欧元计价的长期资产和负债。
C．Glacier Bank＇s main foreign exchange risk falls under economic risk because although its business in Europe is quoted in dollars，fluctuations in exchange rates could affect the competitiveness of this business in Europe and potentially impact future cash flows．
C．Glacier Bank 的主要外汇风险属于经济风险，尽管其在欧洲的业务以美元报价，汇率波动仍可能影响该业务在欧洲的竞争力，并可能影响未来的现金流。
D．The foreign exchange risks faced by these three banks can all be hedged using forward foreign exchange contracts．
D．这三家银行面临的外汇风险都可以通过远期外汇合约进行对冲

18．Suppose there are one－year exchange currency forward and futures contract with the same quoting price at 1．3000 GBPUSD．Suppose that during the year，the futures price experiences a decrease to 1.2000 GBPUSD and then rises to 1.4000 GBPUSD at end of the year．The interest rate during the year is constant．Considering the mark－to－market effect of the futures contract，what is the favorable choice for a trader who wants to buy 1 million British pounds after one year and eliminate the currency risk？
18．假设有一份一年期的外汇远期合约和期货合约，报价均为 1.3000 GBPUSD。假设在这一年中，期货价格先下降到 1.2000 GBPUSD，然后在年末上涨到 1.4000 GBPUSD。该年利率保持不变。考虑期货合约的每日结算（盯市）效应，对于想在一年后买入 100 万英镑并消除汇率风险的交易者来说，哪种选择更有利？
A．Entering into the long position of the GBPUSD forward contract．
A．进入 GBPUSD 远期合约的多头头寸。
B．Entering into the long position of the GBPUSD futures contract．
B．进入 GBPUSD 期货合约的多头头寸。
C．Entering into the short position of the GBPUSD forward contract．
C．进入 GBPUSD 远期合约的空头头寸。
D．Entering into the short position of the GBPUSD futures contract．
D．建立英镑美元期货合约的空头头寸。

19．A Canadian－based tire company will receive $\mathrm{\$}2,500,000$$\mathrm{\$}2,500,000$$2,500,000\$ 2,500,000 payment from its American－based distributor in two months．The Canadian firm hedges the exchange rate risk using a forward contract and the exchange rate of USDCAD is priced at 1．20．If the US dollar depreciates over the next two months and the expected future spot exchange rate of USDCAD would be 1.08 ，how much more or less will the Canadian－based tire firm receive in Canadian dollars by hedging，versus an unhedged position？
19．一家加拿大轮胎公司将在两个月后收到其美国分销商的 $\mathrm{\$}2,500,000$$\mathrm{\$}2,500,000$$2,500,000\$ 2,500,000 付款。该加拿大公司使用远期合约对冲汇率风险，USDCAD 汇率定价为 1.20。如果美元在接下来的两个月内贬值，预计未来的 USDCAD 即期汇率将为 1.08，那么通过对冲，该加拿大轮胎公司将比未对冲的情况下多收到还是少收到多少加元？
A． 300,000 CAD more
A．多收 300,000 加元

B． 300,000 CAD lessB．少收 300,000 加元
C． 277,778 USD more
C． 多 277,778 美元
D． 277,778 USD less
D． 少 277,778 美元
20．Consider a U．K．based company that exports goods to the EU．The U．K．company expects to receive payment on a shipment of goods in two month．Because the payment will be in euros，the U．K．company wants to hedge against a decline in the value of the euro against the pound over the next two month．The U．K．risk－free rate is $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% and the EU risk－free rate is $4\mathrm{\%}$$4\mathrm{\%}$4%4 \% ．No change is expected in these rates over the next two month．The current spot rate is EURGBP0．9230．To hedge the currency risk，and by Covered interest parity，the U．K．company should take a short position in a Euro contract at a forward price of（Assume annual compounding）：
20．考虑一家总部位于英国的公司，该公司向欧盟出口商品。英国公司预计将在两个月内收到一批货物的付款。由于付款将以欧元结算，英国公司希望对冲未来两个月欧元兑英镑汇率下跌的风险。英国的无风险利率为 $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% ，欧盟的无风险利率为 $4\mathrm{\%}$$4\mathrm{\%}$4%4 \% 。预计未来两个月这些利率不会发生变化。当前即期汇率为 EURGBP0.9230。为了对冲货币风险，并根据有覆盖利率平价，英国公司应以远期价格做空欧元合约，价格为（假设年复利）：
A． 0.9205 ．A．0.9205。
B． 0.9215 ．B． 0.9215 。
C． 0.9244 ．C． 0.9244 。
D． 0.9141 ．D． 0.9141 。
21．Thetaberg is a foreign exchange trader．His recent focus is on the GBPUSD currency pair．To analyze exchange rate changes，Thetaberg has obtained the following information：Due to geopolitical factors，it is expected that commodity prices in the UK will rise，thereby driving inflation up；the Bank of England is highly likely to raise interest rates to control inflation．Therefore，to hedge against exchange rate risk，Thetaberg decides to establish positions through forward foreign exchange contracts．Currently，the spot exchange rate for GBPUSD is 1.2793 ，and the quote for a 3 －month forward foreign exchange contract is ask -65 bps ，bid -81 bps ．Based on the above information，please determine which of the following strategies is most accurate：
21．Thetaberg 是一名外汇交易员。他最近关注的是英镑兑美元（GBPUSD）货币对。为了分析汇率变动，Thetaberg 获得了以下信息：由于地缘政治因素，预计英国商品价格将上涨，从而推动通胀上升；英格兰银行很可能会提高利率以控制通胀。因此，为了对冲汇率风险，Thetaberg 决定通过远期外汇合约建立头寸。目前，GBPUSD 的现汇汇率为 1.2793，3 个月远期外汇合约的报价为卖价-65 个基点，买价-81 个基点。基于以上信息，请判断以下哪种策略最准确：
A．Short GBPUSD forward，quotation is 1.2712
A．卖出英镑兑美元远期合约，报价为 1.2712
B．Short GBPUSD forward，quotation is 1.2728
B．卖出英镑兑美元远期合约，报价为 1.2728
C．Long GBPUSD forward，quotation is 1.2712
C．买入英镑兑美元远期合约，报价为 1.2712
D．Long GBPUSD forward，quotation is 1.2728
D．买入英镑兑美元远期合约，报价为 1.2728

22．Based on the covered interest rate parity，if the risk－free rate for currency XXX is higher than that for currency YYY，XXX is weaker in the forward market than in the spot market．A currency trader notices that the interest rates in currencies USD and EUR are $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% and $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% per annum（respectively）and the spot exchange rate is EURUSD 1．2500．Based on the covered interest rate parity，how many percent will the euro appreciate or depreciate in one year？
22．基于有覆盖利率平价，如果货币 XXX 的无风险利率高于货币 YYY 的无风险利率，则 XXX 在远期市场上的汇率比现货市场更弱。一位货币交易员注意到美元和欧元的年利率分别为 $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% 和 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% ，现货汇率为 EURUSD 1.2500。基于有覆盖利率平价，欧元在一年内将升值还是贬值多少百分比？
A．appreciate $2\mathrm{\%}$$2\mathrm{\%}$2%2 \%A．升值 $2\mathrm{\%}$$2\mathrm{\%}$2%2 \%
B．appreciate $5\mathrm{\%}$$5\mathrm{\%}$5%5 \%B．升值 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \%
C．depreciate $5\mathrm{\%}$$5\mathrm{\%}$5%5 \%C．贬值 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \%
D．depreciate $2\mathrm{\%}$$2\mathrm{\%}$2%2 \%D．折旧 $2\mathrm{\%}$$2\mathrm{\%}$2%2 \%

23．Which sequence of the commodities $\mathrm{X},\mathrm{Y}$$\mathrm{X},\mathrm{Y}$X,Y\mathrm{X}, \mathrm{Y} ，and Z correctly identifies appropriate examples in terms of production，demand，and relative storage costs to other commodities？
23．哪一组商品序列 $\mathrm{X},\mathrm{Y}$$\mathrm{X},\mathrm{Y}$X,Y\mathrm{X}, \mathrm{Y} 和 Z 正确地根据生产、需求以及相对于其他商品的储存成本，识别了合适的示例？

24．As a risk analyst of Golden Investment Company，Sam is checking the supply and demand of various commodities and is worried about the volatility of the medium－term gold futures price．Currently，gold is trading
24．作为金色投资公司的风险分析师，Sam 正在检查各种商品的供需情况，并且对中期黄金期货价格的波动性感到担忧。目前，黄金的交易价格为
at a spot price of $\mathrm{\$}1,807.39/\mathrm{oz}$$\mathrm{\$}1,807.39/\mathrm{oz}$$1,807.39//oz\$ 1,807.39 / \mathrm{oz} ．If the lease rate based on continuous compounding is $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% and the risk－free rate is $3.5\mathrm{\%}$$3.5\mathrm{\%}$3.5%3.5 \% ，what is the 6 －month forward price after？Assuming that after six months the lease rate rises above the continuously compounded interest rate，which of the following statements is correct about the shape of the gold forward curve after six months？
现货价格为 $\mathrm{\$}1,807.39/\mathrm{oz}$$\mathrm{\$}1,807.39/\mathrm{oz}$$1,807.39//oz\$ 1,807.39 / \mathrm{oz} 。如果基于连续复利的租赁利率为 $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% ，无风险利率为 $3.5\mathrm{\%}$$3.5\mathrm{\%}$3.5%3.5 \% ，那么六个月后的远期价格是多少？假设六个月后租赁利率超过了连续复利利率，以下关于六个月后黄金远期曲线形状的说法哪项是正确的？

Forward price远期价格
A．$\mathrm{\$}178.38$$\mathrm{\$}178.38$$178.38\$ 178.38A． $\mathrm{\$}178.38$$\mathrm{\$}178.38$$178.38\$ 178.38
The forward curve will be upward－sloping．
远期曲线将呈上升趋势
B．$\mathrm{\$}1,816.45$$\mathrm{\$}1,816.45$$1,816.45\$ 1,816.45
The forward curve will be humped．
远期曲线将呈现驼峰形。
C．$\mathrm{\$}1,811.91$$\mathrm{\$}1,811.91$$1,811.91\$ 1,811.91
The forward curve will be downward－sloping．
远期曲线将呈现向下倾斜
D．$\mathrm{\$}1,802.88$$\mathrm{\$}1,802.88$$1,802.88\$ 1,802.88
The forward curve will be flat．
远期曲线将保持平坦。

25．Tom and Jerry are discussing the relationship between expected future spot price of an asset at time $\mathrm{T}\left\{E\left(S_T\right)\right\}$$\mathrm{T}\left\{E\left(S_T\right)\right\}$T{E(S_(T))}\mathrm{T}\left\{E\left(S_{T}\right)\right\} and futures price $\{F(T)\}$$\{F(T)\}${F(T)}\{F(T)\} ．Tom holds that if the systematic risk of the underlying asset is positive，the expected future spot price of the asset will less than futures price．Jerry added that when considering factors affecting forward contracts，they are all influenced by three factors：storage costs，financing costs，and the return on the underlying asset．Which of the statement（s）above is／are most likely correct？
25．Tom 和 Jerry 正在讨论时间点 $\mathrm{T}\left\{E\left(S_T\right)\right\}$$\mathrm{T}\left\{E\left(S_T\right)\right\}$T{E(S_(T))}\mathrm{T}\left\{E\left(S_{T}\right)\right\} 资产的预期未来现货价格与期货价格 $\{F(T)\}$$\{F(T)\}${F(T)}\{F(T)\} 之间的关系。Tom 认为，如果标的资产的系统性风险为正，资产的预期未来现货价格将低于期货价格。Jerry 补充说，在考虑影响远期合约的因素时，所有因素都受三个因素影响：储存成本、融资成本和标的资产的收益。上述哪项陈述最可能是正确的？
A．Only JerryA．仅 Jerry
B．Only TomB．只有汤姆
C．Both Jerry and Tom
C．杰瑞和汤姆都有
D．Neither of themD．他们都没有

26．Which of the following statements is correct when comparing the differences between an interest rate swap and a currency swap？
26．在比较利率互换和货币互换的区别时，以下哪项陈述是正确的？
A．At maturity，the counterparties to interest rate swaps and the counterparties to currency swaps both exchange the principal of the swap．
A．在到期时，利率互换的交易对手和货币互换的交易对手都会交换互换本金。
B．At maturity，the counterparties to interest rate swaps do not exchange the principal，but the counterparties to currency swaps exchange the value difference in principal determined by prevailing exchange rates．
B．在到期时，利率互换的交易对手不交换本金，但货币互换的交易对手会根据现行汇率交换本金的价值差额。
C．At maturity，the counterparties to interest rate swaps do not exchange the principal，and counterparties to currency swaps do exchange the principal．
C．在到期时，利率互换的交易对手不交换本金，而货币互换的交易对手会交换本金。
D．Counterparties to interest rate swaps are exposed to more counterparty credit risk due to the magnifying effect of currency，interest rate，and settlement risk embedded within the transaction．
D．利率互换的交易对手因交易中包含的货币风险、利率风险和结算风险的放大效应，面临更高的交易对手信用风险

27．A portfolio management firm manages the fixed－rate corporate bond portfolio owned by a defined－benefit pension fund．The duration of the bond portfolio is five years；the duration of the pension fund＇s liabilities is seven years．Assume that the fund sponsor strongly believes that rates will decline over the next six months and is concerned about the duration mismatch between portfolio assets and pension liabilities．Which of the following strategies would be the best way to eliminate the duration mismatch？
27．一家投资组合管理公司管理着一个由确定福利养老金基金持有的固定利率公司债券投资组合。该债券投资组合的久期为五年；养老金基金负债的久期为七年。假设基金发起人坚信未来六个月利率将下降，并且担心投资组合资产与养老金负债之间的久期不匹配。以下哪种策略是消除久期不匹配的最佳方法？
A．Enter into a swap transaction in which the firm pays fixed and receives floating．
A．进行一笔掉期交易，公司支付固定利率，接收浮动利率。
B．Enter into a swap transaction in which the firm receives fixed and pays floating．
B．进行一笔掉期交易，公司接收固定利率，支付浮动利率。
C．Issue a bond which expiring in six months．
C．发行一只六个月后到期的债券
D．Sell SOFR futures contracts．
D．卖出 SOFR 期货合约。

28．The following table shows the borrowing rates of each company．
28．下表显示了各公司的借款利率。

According to the comparative advantage argument，which company should A choose as its swap counterparty？
根据比较优势理论，A 公司应选择哪家公司作为其掉期交易对手？
A． XA．X

B． Y
C． Z
D． F

29．Apple would raise money in the market at a fixed interest rate and Citigroup would raise money in the market at a floating interest rate．The loan rates for Apple and Citigroup in fixed markets and floating markets are as follows．They are prepared to use swaps to reduce the financing costs of both parties．Which of the following statements regarding this swap between Apple and Citigroup is most likely correct？
29．苹果公司将在市场上以固定利率筹集资金，花旗集团将在市场上以浮动利率筹集资金。苹果和花旗在固定利率市场和浮动利率市场的贷款利率如下。他们准备使用互换来降低双方的融资成本。关于苹果和花旗之间这笔互换，以下哪项陈述最有可能是正确的？

A．Citigroup corporation has a comparative advantage in floating rate markets．
A．花旗集团在浮动利率市场具有比较优势。
B．Apple has the absolute advantage in both fixed and floating rate markets．
B．苹果公司在固定利率和浮动利率市场均具有绝对优势
C．Citigroup should enter an interest rate swap with Apple as fixed－rate－payer to minimize the funding cost．
C．花旗集团应与苹果公司签订利率互换协议，作为固定利率支付方，以最小化融资成本。
D．There is no benefit between Apple and Citigroup in this swap．
D．苹果公司与花旗集团之间的这笔互换没有任何好处。

30．Savers Bancorp entered into a swap agreement over a 2 －year period on August 9，2008，with which it received a $4.00\mathrm{\%}$$4.00\mathrm{\%}$4.00%4.00 \% fixed rate and paid SOFR plus $1.20\mathrm{\%}$$1.20\mathrm{\%}$1.20%1.20 \% on a notional amount of USD 6.5 million．Payments were to be made every 6 months．The table below displays the actual 6－month SOFR rates over the 2－year period．
30．Savers Bancorp 于 2008 年 8 月 9 日签订了一份为期 2 年的互换协议，根据该协议，其收到一个 $4.00\mathrm{\%}$$4.00\mathrm{\%}$4.00%4.00 \% 的固定利率，并支付 SOFR 加 $1.20\mathrm{\%}$$1.20\mathrm{\%}$1.20%1.20 \% ，名义金额为 650 万美元。支付每 6 个月进行一次。下表显示了这 2 年期间实际的 6 个月 SOFR 利率。

Assuming no default，how much did Savers Bancorp net receive on August 9，2010？
假设没有违约，Savers Bancorp 在 2010 年 8 月 9 日净收到多少？
A．$\mathrm{\$}72,150$$\mathrm{\$}72,150$$72,150\$ 72,150
B．$\mathrm{\$}78,325$$\mathrm{\$}78,325$$78,325\$ 78,325
C．$\mathrm{\$}117,325$$\mathrm{\$}117,325$$117,325\$ 117,325
D．$\mathrm{\$}156,650$$\mathrm{\$}156,650$$156,650\$ 156,650

31．Six－months ago，Bank ABC entered a two－year swap with USD 3 million principal to receive a floating rate based on 6－month SOFR and pay a fixed rate of $7\mathrm{\%}$$7\mathrm{\%}$7%7 \% semiannually．The swap has a remaining life of 18 months， with payment dates in 6,12 and 18 months．Today，the same swap rate for a new 18 －months swap in the market is $6.4\mathrm{\%}$$6.4\mathrm{\%}$6.4%6.4 \% ．Assuming the semiannually compounded risk－free rate is $2.6\mathrm{\%}$$2.6\mathrm{\%}$2.6%2.6 \% for all maturities．The value of the swap to Bank ABC is closest to：
31．六个月前，ABC 银行签订了一笔本金为 300 万美元的两年期互换，接收基于 6 个月 SOFR 的浮动利率，支付固定利率为 $7\mathrm{\%}$$7\mathrm{\%}$7%7 \% ，每半年支付一次。该互换剩余期限为 18 个月，支付日期分别在 6 个月、12 个月和 18 个月。今天，市场上同期限 18 个月的新互换固定利率为 $6.4\mathrm{\%}$$6.4\mathrm{\%}$6.4%6.4 \% 。假设所有期限的半年复利无风险利率为 $2.6\mathrm{\%}$$2.6\mathrm{\%}$2.6%2.6 \% 。该互换对 ABC 银行的价值最接近：
A．$\mathrm{\$}24,462$$\mathrm{\$}24,462$$24,462\$ 24,462
B．$-\mathrm{\$}24,462$$-\mathrm{\$}24,462$-$24,462-\$ 24,462
C．$\mathrm{\$}26,313$$\mathrm{\$}26,313$$26,313\$ 26,313
D．$-\mathrm{\$}26,313$$-\mathrm{\$}26,313$-$26,313-\$ 26,313

32．One year ago，Tom enterprise engaged in a two－year swap involving a principal amount of USD 5 million．In this arrangement，Tom was set to pay a floating rate tied to the 3 －month SOFR and receive a fixed rate of $4.5\mathrm{\%}$$4.5\mathrm{\%}$4.5%4.5 \% every 3 months．With one year remaining in the swap＇s duration，payment dates were scheduled at $3,6,9$$3,6,9$3,6,93,6,9 ，and 12 months．Presently，a market traded swap rate for a new 12 －month swap is $5.2\mathrm{\%}$$5.2\mathrm{\%}$5.2%5.2 \% ，while the quarterly compounded risk－free rate stands at $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% across all maturities．Given this information，what is the value of the swap for Tom？
32．一年前，Tom 企业参与了一笔为期两年的掉期交易，名义本金为 500 万美元。在该安排中，Tom 将支付与 3 个月 SOFR 挂钩的浮动利率，并每 3 个月收到固定利率 $4.5\mathrm{\%}$$4.5\mathrm{\%}$4.5%4.5 \% 。在掉期剩余一年期限内，支付日期安排在 $3,6,9$$3,6,9$3,6,93,6,9 和 12 个月。目前，市场交易的新 12 个月掉期利率为 $5.2\mathrm{\%}$$5.2\mathrm{\%}$5.2%5.2 \% ，而所有期限的季度复利无风险利率为 $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% 。根据这些信息，Tom 的掉期价值是多少？
A．$-\mathrm{\$}137,414$$-\mathrm{\$}137,414$-$137,414-\$ 137,414A． $-\mathrm{\$}137,414$$-\mathrm{\$}137,414$-$137,414-\$ 137,414
B．$\mathrm{\$}137,414$$\mathrm{\$}137,414$$137,414\$ 137,414B． $\mathrm{\$}137,414$$\mathrm{\$}137,414$$137,414\$ 137,414
C．$-\mathrm{\$}34,353$$-\mathrm{\$}34,353$-$34,353-\$ 34,353C． $-\mathrm{\$}34,353$$-\mathrm{\$}34,353$-$34,353-\$ 34,353
D．$\mathrm{\$}34,353$$\mathrm{\$}34,353$$34,353\$ 34,353

33．A financial institution has entered into a plain vanilla currency swap with one of its customers．The period left on the swap is two years with the institution paying $4.5\mathrm{\%}$$4.5\mathrm{\%}$4.5%4.5 \% on USD 120 million and receiving $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% on JPY 15,000 million annually．The current exchange rate is 125 USDJPY，and the flat term structure in both countries generates a $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% rate in the United States and a $0.5\mathrm{\%}$$0.5\mathrm{\%}$0.5%0.5 \% rate in Japan．The current value of this swap to the institution is closest to（continuously compounded）：
33．一家金融机构与其一位客户签订了一份普通的货币掉期合约。该掉期合约剩余期限为两年，机构每年支付 $4.5\mathrm{\%}$$4.5\mathrm{\%}$4.5%4.5 \% 美元 1.2 亿，接收 $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% 日元 150 亿。当前汇率为 125 美元兑日元，两国的平坦期限结构分别产生了美国的 $3\mathrm{\%}$$3\mathrm{\%}$3%3 \% 利率和日本的 $0.5\mathrm{\%}$$0.5\mathrm{\%}$0.5%0.5 \% 利率。该掉期合约对机构的当前价值最接近（连续复利）：
A．$\mathrm{\$}0.84$$\mathrm{\$}0.84$$0.84\$ 0.84 millionA． $\mathrm{\$}0.84$$\mathrm{\$}0.84$$0.84\$ 0.84 百万
B．$\mathrm{\$}0.23$$\mathrm{\$}0.23$$0.23\$ 0.23 millionB． $\mathrm{\$}0.23$$\mathrm{\$}0.23$$0.23\$ 0.23 百万
C．$-\mathrm{\$}0.84$$-\mathrm{\$}0.84$-$0.84-\$ 0.84 millionC． $-\mathrm{\$}0.84$$-\mathrm{\$}0.84$-$0.84-\$ 0.84 百万
D．$-\mathrm{\$}0.23$$-\mathrm{\$}0.23$-$0.23-\$ 0.23 millionD． $-\mathrm{\$}0.23$$-\mathrm{\$}0.23$-$0.23-\$ 0.23 百万

34．On December 15，2014，a firm entered into a 2－year fixed－for－fixed currency swap receiving USD and paying EUR semiannually．The USD leg has a notional value of USD $10,000,000$$10,000,000$10,000,00010,000,000 and an annual coupon of $1.5\mathrm{\%}$$1.5\mathrm{\%}$1.5%1.5 \% ．The EUR leg has a value of EUR $8,080,808$$8,080,808$8,080,8088,080,808 and an annual coupon of $0.5\mathrm{\%}$$0.5\mathrm{\%}$0.5%0.5 \% ．Given the following discount and forward rates，what is the present value in USD of the swap on December 15，2015？
34．2014 年 12 月 15 日，一家公司签订了一份为期 2 年的固定对固定货币互换，半年度收取美元支付欧元。美元部分的名义本金为 USD $10,000,000$$10,000,000$10,000,00010,000,000 ，年利率为 $1.5\mathrm{\%}$$1.5\mathrm{\%}$1.5%1.5 \% 。欧元部分的名义本金为 EUR $8,080,808$$8,080,808$8,080,8088,080,808 ，年利率为 $0.5\mathrm{\%}$$0.5\mathrm{\%}$0.5%0.5 \% 。给定以下贴现率和远期汇率，2015 年 12 月 15 日该互换的美元现值是多少？

A．$-\mathrm{\$}39,121$$-\mathrm{\$}39,121$-$39,121-\$ 39,121
B．$-\mathrm{\$}10,893$$-\mathrm{\$}10,893$-$10,893-\$ 10,893B． $-\mathrm{\$}10,893$$-\mathrm{\$}10,893$-$10,893-\$ 10,893
C．$\mathrm{\$}10,893$$\mathrm{\$}10,893$$10,893\$ 10,893C． $\mathrm{\$}10,893$$\mathrm{\$}10,893$$10,893\$ 10,893
D．$\mathrm{\$}39,121$$\mathrm{\$}39,121$$39,121\$ 39,121D． $\mathrm{\$}39,121$$\mathrm{\$}39,121$$39,121\$ 39,121

35．Derivatives have become increasingly important in finance．They are used to transfer risks or the other purposes．which of the statement of derivatives are most correct？
35．衍生品在金融中变得越来越重要。它们被用来转移风险或其他目的。以下关于衍生品的说法哪一项最正确？
A．There are two types of option，A call option gives the holder the right to buy the underlying asset by a certain date for a certain price while the shorter of this option can reject the requirement to exercise of the holder．
A．期权有两种类型，买权赋予持有人在某一日期以某一价格购买标的资产的权利，而该期权的卖方可以拒绝履行持有人的行权要求。
B．Traders use derivatives to hedge risk by constructing naked positions．
B．交易者通过构建裸仓头寸来使用衍生品对冲风险。
C．Derivatives are very versatile instruments，they can be used for hedging，for speculation，and for arbitrage．
C．衍生品是非常多功能的工具，可以用于对冲、投机和套利。
D．A forward or futures contract involves an obligation to buy or sell an asset at a certain time in the future for a certain price，while option have the same function．
D．远期或期货合约涉及在未来某一时间以某一价格买入或卖出资产的义务，而期权也具有相同的功能

36．There are important differences between options and forwards／futures，with forwards and futures，a trader is obligated to buy or sell the underlying asset at a certain price．In the U．S．，tens of millions of options are traded daily on exchanges such as the CBOE，NASDAQ，the New York Stock Exchange，and the International Securities Exchange．Which of the above statement is（are）least likely correct？
36．期权与远期／期货存在重要差异，远期和期货交易者有义务以某一价格买入或卖出标的资产。在美国，每天有数千万份期权在 CBOE、NASDAQ、纽约证券交易所和国际证券交易所等交易所交易。上述哪项陈述最不可能正确？
A．An American call（or put）option gives the buyer the right to buy（or sell）an asset at a certain price at any time before and during the specified date．
A．美式看涨（或看跌）期权赋予买方在指定日期之前及当天任何时间以某一价格买入（或卖出）资产的权利。
B．Options can be in the money，at the money，out of the money，this is referred to as their moneyness，a call option is out of the money when the asset price is greater than the strike price．
B．期权可以处于价内、平价或价外状态，这称为其“价内性”，当资产价格高于执行价格时，看涨期权处于价外状态。
C．Cash dividends usually don＇t affect the terms of a stock option while stock splits do lead to strike price adjustment．
C．现金股息通常不会影响股票期权的条款，而股票拆分确实会导致执行价格调整
D．Like the exchange－traded options market，the OTC options market is substantial，the main advantage of the OTC market is that financial institutions can tailor options to meet the specific needs of their clients．
D．与交易所交易期权市场类似，场外期权市场也相当庞大，场外市场的主要优势在于金融机构可以定制期权以满足客户的具体需求

37．An investor believes that the price of a stock，currently trading at USD 112，will increase by $10\mathrm{\%}$$10\mathrm{\%}$10%10 \% over the next 3 months．Three－month European call and put options with a strike price of USD 110 are trading at USD 4 and USD 2 respectively．The investor has USD 560，000 to invest and is looking for a return greater than the expected increase in the stock price and the maximum potential loss is the initial principal．Which of the following best realizes the investor＇s strategy（ignoring taxes，transactions cost and the effect of discounting）if the stock ends up
37．一位投资者认为，目前价格为 112 美元的股票将在未来 3 个月内上涨 $10\mathrm{\%}$$10\mathrm{\%}$10%10 \% 。行权价为 110 美元的三个月期欧式看涨期权和看跌期权的价格分别为 4 美元和 2 美元。该投资者有 56 万美元可供投资，期望获得的回报超过股票价格的预期涨幅，且最大潜在损失为初始本金。如果股票最终价格为以下哪种情况，以下哪种策略最能实现投资者的目标（忽略税费、交易成本和贴现影响）？
at USD 122 per share at option expiration？
期权到期时每股 122 美元？
A．Buy 280,000 put options resulting in a net loss of USD 560，000
A．买入 280,000 份看跌期权，导致净亏损 560,000 美元
B．Buy 140,000 call options resulting in a net gain of USD $1,120,000$$1,120,000$1,120,0001,120,000
B．买入 140,000 份看涨期权，净收益为 USD $1,120,000$$1,120,000$1,120,0001,120,000
C．Buy 5,000 shares resulting in a net gain of USD 50,000
C．买入 5,000 股股票，净收益为 USD 50,000
D．Sell 560,000 put options resulting in a net gain of USD $1,112,000$$1,112,000$1,112,0001,112,000
D．卖出 560,000 份看跌期权，净收益为 USD $1,112,000$$1,112,000$1,112,0001,112,000

38．Jack is the major shareholder of XYZ company，but he expects that the company＇s shares will fall in the future． On the premise of not selling shares，what strategy should he synthesize to avoid risks？
38．Jack 是 XYZ 公司的主要股东，但他预计公司股票未来会下跌。在不卖出股票的前提下，他应综合采取什么策略来规避风险？
A．Buy put options；Protective put strategy
A．买入看跌期权；保护性看跌策略
B．Sell call options；Covered call strategy
B．卖出看涨期权；备兑看涨策略
C．Buy risk free bonds；Principal protected notes
C．买入无风险债券；本金保护票据
D．Buy call options；Fiduciary call strategy
D．买入看涨期权；受托看涨策略

39．Jack is a junior analyst in GS Investment Fund．His team is discussing the six factors that affect the price of options．Jack states that the value of call option rises，when the underlying asset price increases．Rose states that the value of put option decreases，when the present value of the dividend of the underlying stock increases．Which of the statement（s）above is／are most likely correct？
39．Jack 是高盛投资基金的一名初级分析师。他的团队正在讨论影响期权价格的六个因素。Jack 说，当标的资产价格上涨时，看涨期权的价值会上升。Rose 说，当标的股票的股息现值增加时，看跌期权的价值会下降。上述哪项陈述最有可能是正确的？
A．Only JackA．只有 Jack
B．Only RoseB．只有 Rose
C．Both Jack and Rose
C．Jack 和 Rose 都正确
D．Neither of themD．两者都不是

40．An 1－year American put option with an exercise price of $\mathrm{\$}40$$\mathrm{\$}40$$40\$ 40 will be worth $\mathrm{\$}16.00$$\mathrm{\$}16.00$$16.00\$ 16.00 at maturity with a probability of 0.25 and $\mathrm{\$}0.00$$\mathrm{\$}0.00$$0.00\$ 0.00 with a probability of 0.75 ．The current stock price is $\mathrm{\$}36$$\mathrm{\$}36$$36\$ 36 ．The continuous discount rate is $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% ．The optimal strategy is to：
40．一份期限为 1 年的美国看跌期权，行权价为 $\mathrm{\$}40$$\mathrm{\$}40$$40\$ 40 ，到期时以 0.25 的概率价值为 $\mathrm{\$}16.00$$\mathrm{\$}16.00$$16.00\$ 16.00 ，以 0.75 的概率价值为 $\mathrm{\$}0.00$$\mathrm{\$}0.00$$0.00\$ 0.00 。当前股票价格为 $\mathrm{\$}36$$\mathrm{\$}36$$36\$ 36 。连续贴现率为 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% 。最优策略是：
A．Exercise the option because the option is in－the－money．
A．行使期权，因为期权处于价内。
B．Not exercise the option because the option is out－of－the money．
B．不行使期权，因为期权处于价外。
C．Exercise the option now because the payoff from exercise exceeds the present value of the expected future payoff．
C．现在行使期权，因为行使的收益超过了预期未来收益的现值。
D．No difference between exercising the option now or at maturity，because the payoff from exercise is equal to the discounted present value of the future payoff．
D．现在行使期权或到期时行使没有区别，因为行使的收益等于未来收益的贴现现值。

41．There are three statements about the upper／lower bounds of the options on a non－dividends stock as below， Which of the following statements is／are correct？
41．关于无股息股票期权的上下界，有以下三条陈述，以下哪条陈述是正确的？
I．Call option has the same upper and lower bounds between American and European styles．But put option in American style has higher level at upper and lower bounds than the one in European style．
I．看涨期权的上下界在美式和欧式之间相同。但美式看跌期权的上下界水平高于欧式看跌期权
II．The lower bound for an American put option is the maximun value between K－S amd 0，because an American put can be exercised at any time，so the promised cash flow receiving should not be discounted．
II．美式看跌期权的下限是 K－S 和 0 之间的最大值，因为美式看跌期权可以随时行使，所以应收的承诺现金流不应折现。
III．The upper bound of a American call option is the strike price，while the one of a American put option is underlying stock price．
III．美式看涨期权的上限是行权价，而美式看跌期权的上限是标的股票价格。
How many statements above is accurate？
以上有多少个陈述是准确的？
A．I onlyA．仅 I
B．I and IIB．I 和 II
C．I and IIIC．I 和 III
D．noneD．无

42．On the OTC market there are two options available on Microsoft stock：a European put with premium of USD 2.25 and an American call option with premium of USD 0．46．Both options have strike price of USD 24 and an expiration date 3 months from now．Microsoft＇s stock price is currently at USD 22 and no dividend is due during the next 6 months．Assuming that there is no arbitrage opportunity，which of the following choices is closest to the level of the continuous compounding risk－free rate：
42．在场外交易市场上，有两种微软股票期权可供选择：一份欧式看跌期权，期权费为 2.25 美元；一份美式看涨期权，期权费为 0.46 美元。两种期权的执行价格均为 24 美元，且到期日为 3 个月后。微软股票当前价格为 22 美元，未来 6 个月内无股息支付。假设不存在套利机会，以下哪个选项最接近连续复利无风险利率的水平：
A． $0.25\mathrm{\%}$$0.25\mathrm{\%}$0.25%0.25 \%

B． $1.76\mathrm{\%}$$1.76\mathrm{\%}$1.76%1.76 \%
C． $3.52\mathrm{\%}$$3.52\mathrm{\%}$3.52%3.52 \%
D．Insufficient information to determine．
D．信息不足，无法确定

43．Suppose the current stock price is USD 18．The price of a European call option with strike price USD 20 that will mature in three months is USD 3．The price of a European put with the same strike price and time to maturity is USD 4，while the three－month risk free rate is $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% per year（annually compounded）．Assume the stock on which the options are written provides no dividends．What kind of actions should an arbitrageur take to capture an arbitrage opportunity？
43．假设当前股票价格为 18 美元。一份执行价格为 20 美元、三个月后到期的欧式看涨期权价格为 3 美元。同一执行价格和到期时间的欧式看跌期权价格为 4 美元，而三个月的无风险利率为 $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% （年复利）。假设期权标的股票不支付股息。套利者应采取何种操作以捕捉套利机会？
A．Long the call，short the risk－free bond，long the put，and short the stock．
A．买入看涨期权，卖出无风险债券，买入看跌期权，卖出股票。
B．Short the call，long the risk－free bond，short the put，and long the stock．
B．卖出看涨期权，买入无风险债券，卖出看跌期权，买入股票。
C．Short the call，short the risk－free bond，long the put，and long the stock．
C．卖出看涨期权，卖出无风险债券，买入看跌期权，买入股票
D．Long the call，long the risk－free bond，short the put，and short the stock．
D．买入看涨期权，买入无风险债券，卖出看跌期权，卖出股票。

44．According to an in－house research report，it is expected that USDJPY will trade near 97 at the end of March． Frankie Shiller，the investment director of a house fund，decides to use an option strategy to capture this opportunity．The current level of the USDJPY exchange rate is 97 on February 28．Accordingly，which of the following strategies would be the most appropriate for the largest profit while the potential loss is limited？
44．根据一份内部研究报告，预计美元兑日元将在三月底附近交易于 97。某基金的投资总监 Frankie Shiller 决定使用期权策略来捕捉这一机会。2 月 28 日美元兑日元的当前汇率为 97。因此，以下哪种策略在潜在亏损有限的情况下，最适合获得最大利润？
A．Long a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date．
A．买入美元兑日元的看涨期权和买入美元兑日元的看跌期权，行权价均为 97，且到期日相同。
B．Long a call option on USDJPY with strike price of USDJPY 97 and short a call option on USDJPY with strike price of USDJPY 99 and the same expiration date．
B．买入行权价为 97 的美元兑日元看涨期权，同时卖出行权价为 99 的美元兑日元看涨期权，且到期日相同
C．Short a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date．
C．卖出一个行权价为 97 的美元兑日元看涨期权，同时买入一个行权价为 97 的美元兑日元看跌期权，二者具有相同的到期日。
D．Long a call option with strike price of USDJPY 96，long a call option with strike price of USDJPY 98，and sell two call options with strike price of USDJPY 97，all of them with the same expiration date．
D．买入一个行权价为 96 的看涨期权，买入一个行权价为 98 的看涨期权，同时卖出两个行权价为 97 的看涨期权，所有期权具有相同的到期日。

45．Jack bought a call option expiring on December 2021 on XYZ stock with an exercise price of $\mathrm{\$}10$$\mathrm{\$}10$$10\$ 10 for a $\mathrm{\$}2$$\mathrm{\$}2$$2\$ 2 premium，and the other is a put option on December 2021 on XYZ stock with an exercise price of $\mathrm{\$}8$$\mathrm{\$}8$$8\$ 8 and for a\＄1 premium．Please identify this option strategy and calculate breakeven point（s）．
45．Jack 购买了一个 2021 年 12 月到期的 XYZ 股票看涨期权，行权价为 $\mathrm{\$}10$$\mathrm{\$}10$$10\$ 10 ，支付了 $\mathrm{\$}2$$\mathrm{\$}2$$2\$ 2 的期权费；另一个是 2021 年 12 月到期的 XYZ 股票看跌期权，行权价为 $\mathrm{\$}8$$\mathrm{\$}8$$8\$ 8 ，支付了 1 美元的期权费。请识别该期权策略并计算盈亏平衡点。
A．Long strangle，breakeven points are $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13 and $\mathrm{\$}5$$\mathrm{\$}5$$5\$ 5
A．多头宽跨式组合，盈亏平衡点为 $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13 和 $\mathrm{\$}5$$\mathrm{\$}5$$5\$ 5
B．Short calendar spread，breakeven points is $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13
B．短期日历价差，盈亏平衡点为 $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13
C．Short straddle，breakeven points are $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13 and $\mathrm{\$}5$$\mathrm{\$}5$$5\$ 5
C．短跨式期权，盈亏平衡点为 $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13 和 $\mathrm{\$}5$$\mathrm{\$}5$$5\$ 5
D．Long bull spread，breakeven points is $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13
D．多头牛市价差，盈亏平衡点为 $\mathrm{\$}13$$\mathrm{\$}13$$13\$ 13

46．You are an institutional portfolio manager．One of your clients is very interested in the flexibility of options but expresses great concern about the high cost of some of them．In general，which of the following options would be the most costly to purchase？
46．你是一名机构投资组合经理。你的一个客户对期权的灵活性非常感兴趣，但对其中一些期权的高成本表示极大担忧。一般来说，以下哪种期权的购买成本最高？
A．Barrier optionsA．障碍期权
B．Standard American options
B．标准美式期权
C．Lookback optionsC．回顾期权
D．Asian optionsD．亚式期权

47．Asian options provide a payoff dependent on an arithmetic average of the underlying asset price during the life of the option．The average price is usually calculated using periodic observations．Suppose K is the strike price， ${\mathrm{S}}_{\mathrm{T}}$${\mathrm{S}}_{\mathrm{T}}$S_(T)\mathrm{S}_{\mathrm{T}} is the final asset price，and ${\mathrm{S}}_{\mathrm{ave}}$${\mathrm{S}}_{\mathrm{ave}}$S_(ave)\mathrm{S}_{\mathrm{ave}} is the average asset price．What are the payoffs of a long position in an average price call and a short position in an average price put respectively？
47．亚式期权的收益取决于期权存续期间标的资产价格的算术平均值。平均价格通常通过定期观察计算。假设 K 为执行价格， ${\mathrm{S}}_{\mathrm{T}}$${\mathrm{S}}_{\mathrm{T}}$S_(T)\mathrm{S}_{\mathrm{T}} 为期末资产价格， ${\mathrm{S}}_{\mathrm{ave}}$${\mathrm{S}}_{\mathrm{ave}}$S_(ave)\mathrm{S}_{\mathrm{ave}} 为平均资产价格。平均价格看涨期权的多头头寸和平均价格看跌期权的空头头寸的收益分别是什么？
A． $\mathrm{Max}(\mathrm{K}-{\mathrm{S}}_{\text{ave}},0);\mathrm{Min}(\mathrm{K}-{\mathrm{S}}_{\text{ave}},0)$$\mathrm{Max}\left(\mathrm{K}-{\mathrm{S}}_{\text{ave }},0\right);\mathrm{Min}\left(\mathrm{K}-{\mathrm{S}}_{\text{ave }},0\right)$Max(K-S_("ave "),0);Min(K-S_("ave "),0)\operatorname{Max}\left(\mathrm{K}-\mathrm{S}_{\text {ave }}, 0\right) ; \operatorname{Min}\left(\mathrm{K}-\mathrm{S}_{\text {ave }}, 0\right)
B． $\mathrm{Max}({\mathrm{S}}_{\text{ave}}-\mathrm{K},0);\mathrm{Min}({\mathrm{S}}_{\text{ave}}-\mathrm{K},0)$$\mathrm{Max}\left({\mathrm{S}}_{\text{ave }}-\mathrm{K},0\right);\mathrm{Min}\left({\mathrm{S}}_{\text{ave }}-\mathrm{K},0\right)$Max(S_("ave ")-K,0);Min(S_("ave ")-K,0)\operatorname{Max}\left(\mathrm{S}_{\text {ave }}-\mathrm{K}, 0\right) ; \operatorname{Min}\left(\mathrm{S}_{\text {ave }}-\mathrm{K}, 0\right)
C． $\mathrm{Max}({\mathrm{S}}_{\text{ave}}-\mathrm{K},\mathrm{K}-{\mathrm{S}}_{\text{ave}});\mathrm{Min}({\mathrm{S}}_{\text{ave}}-\mathrm{K},\mathrm{K}-{\mathrm{S}}_{\text{ave}})$$\mathrm{Max}\left({\mathrm{S}}_{\text{ave }}-\mathrm{K},\mathrm{K}-{\mathrm{S}}_{\text{ave }}\right);\mathrm{Min}\left({\mathrm{S}}_{\text{ave }}-\mathrm{K},\mathrm{K}-{\mathrm{S}}_{\text{ave }}\right)$Max(S_("ave ")-K,K-S_("ave "));Min(S_("ave ")-K,K-S_("ave "))\operatorname{Max}\left(\mathrm{S}_{\text {ave }}-\mathrm{K}, \mathrm{K}-\mathrm{S}_{\text {ave }}\right) ; \operatorname{Min}\left(\mathrm{S}_{\text {ave }}-\mathrm{K}, \mathrm{K}-\mathrm{S}_{\text {ave }}\right)
D． $\mathrm{Min}(S_{\text{ave}}-K,K-S_{\text{ave}});\mathrm{Max}(S_{\text{ave}}-K,K-S_{\text{ave}})$$\mathrm{Min}\left(S_{\text{ave }}-K,K-S_{\text{ave }}\right);\mathrm{Max}\left(S_{\text{ave }}-K,K-S_{\text{ave }}\right)$Min(S_("ave ")-K,K-S_("ave "));Max(S_("ave ")-K,K-S_("ave "))\operatorname{Min}\left(S_{\text {ave }}-K, K-S_{\text {ave }}\right) ; \operatorname{Max}\left(S_{\text {ave }}-K, K-S_{\text {ave }}\right)

48．Barrier options have payoffs that depend on whether the asset price reaches a particular barrier．Options that cease to exist when a barrier is reached are sometimes referred to as knockout options，whereas options that come into existence when a barrier is reached are referred to as knock－in options．Which of the following statements about barrier options is most incorrect？
48．障碍期权的收益取决于资产价格是否达到特定的障碍价。当达到障碍价时失效的期权有时被称为敲出期权，而当达到障碍价时才生效的期权被称为敲入期权。以下关于障碍期权的说法中，哪一项最不正确？
A．Barrier options can be attractive to market participants because they are less expensive than regular options．
A．障碍期权对市场参与者具有吸引力，因为它们比普通期权更便宜。
B．As with binary options and gap options，the payoff of barrier options is discontinuous．
B．与二元期权和缺口期权一样，障碍期权的收益是不连续的
C．Like regular options，barrier options prices increase as volatility increases．
C．像普通期权一样，障碍期权的价格随着波动率的增加而增加。
D．A down－and－out call with a strike price of USD 32 and a barrier at USD 27 will provide the same payoff as a regular call with a strike price of USD 32 as long as the stock price does not fall below USD 27.
D．只要股价不跌破 27 美元，行权价为 32 美元、障碍价为 27 美元的下跌敲出看涨期权，其收益与行权价为 32 美元的普通看涨期权相同。

49．A stock is currently trading at USD 45，and its annual price volatility is $30\mathrm{\%}$$30\mathrm{\%}$30%30 \% ．The risk－free rate is $1.5\mathrm{\%}$$1.5\mathrm{\%}$1.5%1.5 \% per year．A risk manager is developing a 1－step binomial tree for a 2－year horizon．What is the risk－neutral probability that the stock will move down？
49．某股票当前交易价格为 45 美元，年价格波动率为 $30\mathrm{\%}$$30\mathrm{\%}$30%30 \% 。无风险利率为每年 $1.5\mathrm{\%}$$1.5\mathrm{\%}$1.5%1.5 \% 。风险管理人员正在为 2 年期设计一个一步二叉树模型。股票下跌的风险中性概率是多少？
A． $30\mathrm{\%}$$30\mathrm{\%}$30%30 \%A． $30\mathrm{\%}$$30\mathrm{\%}$30%30 \%
B． $43\mathrm{\%}$$43\mathrm{\%}$43%43 \%
C． $57\mathrm{\%}$$57\mathrm{\%}$57%57 \%
D． $70\mathrm{\%}$$70\mathrm{\%}$70%70 \%

50．An analyst is pricing a 2－year European put option on a non－dividend－paying stock using a binomial tree with two steps of one year each．The stock price is currently USD 38，and the strike price of the put is USD 40．What is the value of the put closest to，assuming that the annual risk－free rate will remain constant at $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% over the next two years and the annual stock volatility is $15\mathrm{\%}$$15\mathrm{\%}$15%15 \% ？
50．一位分析师正在使用两步二叉树模型定价一只为期 2 年的欧式看跌期权，该期权标的为一只不支付股息的股票。股票当前价格为 38 美元，看跌期权的执行价格为 40 美元。假设未来两年年化无风险利率将保持恒定为 $2\mathrm{\%}$$2\mathrm{\%}$2%2 \% ，年化股票波动率为 $15\mathrm{\%}$$15\mathrm{\%}$15%15 \% ，该看跌期权的价值最接近多少？
A．3．04 USDA．3.04 美元
B．3．48 USDB．3.48 美元
C．3．62 USDC．3.62 美元
D．3．81 USDD．3.81 美元

51．Considering ALIBABA corporation which the stock price of no－dividend paying is currently trading at USD 30 ，and its annual price volatility is $30\mathrm{\%}$$30\mathrm{\%}$30%30 \% ．The continuously compounding risk－tree interest rate is $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% per year．A financial risk manager is considering a two－step binomial tree for a 2－year horizon．What is the price of the American put option with the strike price of USD 33？
51．考虑阿里巴巴公司，目前无股息支付的股票价格为 30 美元，年价格波动率为 $30\mathrm{\%}$$30\mathrm{\%}$30%30 \% 。连续复利的无风险利率为每年 $5\mathrm{\%}$$5\mathrm{\%}$5%5 \% 。一位金融风险经理正在考虑一个两步二叉树模型，时间跨度为 2 年。行权价为 33 美元的美式看跌期权价格是多少？
A．$\mathrm{\$}5.7042$$\mathrm{\$}5.7042$$5.7042\$ 5.7042
B．$\mathrm{\$}4.9537$$\mathrm{\$}4.9537$$4.9537\$ 4.9537
C．$\mathrm{\$}2.5706$$\mathrm{\$}2.5706$$2.5706\$ 2.5706
D．$\mathrm{\$}4.6698$$\mathrm{\$}4.6698$$4.6698\$ 4.6698

52．Which of the following is not an assumption of the Black－Scholes－Merton options pricing model？
52．以下哪项不是布莱克－斯科尔斯－默顿期权定价模型的假设？
A．The underlying stock price follows lognormal distribution and the rate of return of the stock follows normal distribution．
A．标的股票价格服从对数正态分布，股票的收益率服从正态分布。
B．The interest rate changes randomly over time．
B．利率随时间随机变化
C．The variance of the return of the underlying is constant．
C．标的资产收益的方差是恒定的。
D．Markets are perfect，i．e．short sales are allowed，there are no transaction costs or taxes，and markets operate continuously．
D．市场是完美的，即允许卖空，没有交易成本或税费，且市场连续运作。

53．Sam，an options trader，was asked by his boss，Kalmar，to find unreasonably priced options in the market． Kalmar requires that the binomial tree model and the BSM model must be used for pricing separately to ensure that the estimated results are accurate．Therefore，Sam made the following two statements based on his knowledge of the binomial tree model and BSM model：
53．期权交易员 Sam 被他的老板 Kalmar 要求在市场中寻找定价不合理的期权。Kalmar 要求必须分别使用二叉树模型和 BSM 模型进行定价，以确保估计结果的准确性。因此，Sam 基于他对二叉树模型和 BSM 模型的了解，做出了以下两项陈述：

Statement 1：The binomial tree can price European options and American options，while BSM model can only price European options．
陈述 1：二叉树模型可以定价欧式期权和美式期权，而 BSM 模型只能定价欧式期权

Statement 2：If all factors remain unchanged，when the number of steps of the binomial tree approaches infinity during the contract period，the price estimated by the binomial tree model approaches the price estimated by the BSM model．
陈述 2：如果所有因素保持不变，当二叉树模型的步数在合约期间趋近于无穷大时，二叉树模型估计的价格将趋近于 BSM 模型估计的价格。

According to the information，which of the above statement（s）is（are）correct？
根据以上信息，以下哪项陈述是正确的？
A．Statement 1A．陈述 1
B．Statement 2B．陈述 2
C．Both statementsC．两个陈述均正确
D．Neither statementD．两个陈述均不正确

54．Jack is an options trader at XYZ Hedge Fund．LILAI Inc．is a pharmaceutical company specializing in the development of weight－loss drugs．Jack anticipates a significant increase in the company＇s stock price if its latest weight－loss drug product development is successful．Therefore，Jack decides to invest in European call options of LILAI Inc．He attempts to price the call option expiring in three months using the Black－Scholes－Merton（BSM） model．Given that the current stock price of LILAI Inc．is $\mathrm{\$}715$$\mathrm{\$}715$$715\$ 715 ，the volatility of its stock returns is calculated to be $25\mathrm{\%}$$25\mathrm{\%}$25%25 \% ，the strike price of the call option is $\mathrm{\$}750$$\mathrm{\$}750$$750\$ 750 ，and the annualized risk－free rate is $5.12\mathrm{\%}$$5.12\mathrm{\%}$5.12%5.12 \% ．Additionally，LILAI Inc．will pay a dividend of $\mathrm{\$}15$$\mathrm{\$}15$$15\$ 15 per share in one month．Please calculate the price of the call option for LILAI Inc． $\mathrm{N}(\mathrm{d}1):0.413938;\mathrm{N}(\mathrm{d}2):0.366015$$\mathrm{N}(\mathrm{d}1):0.413938;\mathrm{N}(\mathrm{d}2):0.366015$N(d1):quad0.413938;N(d2):quad0.366015\mathrm{N}(\mathrm{d} 1): \quad 0.413938 ; \mathrm{N}(\mathrm{d} 2): \quad 0.366015
54．Jack 是 XYZ 对冲基金的一名期权交易员。LILAI 公司是一家专注于减肥药物开发的制药公司。Jack 预计如果该公司最新的减肥药物产品开发成功，其股价将大幅上涨。因此，Jack 决定投资 LILAI 公司的欧式看涨期权。他尝试使用 Black-Scholes-Merton（BSM）模型来定价三个月后到期的看涨期权。已知 LILAI 公司的当前股价为 $\mathrm{\$}715$$\mathrm{\$}715$$715\$ 715 ，其股票收益的波动率计算为 $25\mathrm{\%}$$25\mathrm{\%}$25%25 \% ，看涨期权的执行价格为 $\mathrm{\$}750$$\mathrm{\$}750$$750\$ 750 ，年化无风险利率为 $5.12\mathrm{\%}$$5.12\mathrm{\%}$5.12%5.12 \% 。此外，LILAI 公司将在一个月后每股支付 $\mathrm{\$}15$$\mathrm{\$}15$$15\$ 15 的股息。请计算 LILAI 公司的看涨期权价格 $\mathrm{N}(\mathrm{d}1):0.413938;\mathrm{N}(\mathrm{d}2):0.366015$$\mathrm{N}(\mathrm{d}1):0.413938;\mathrm{N}(\mathrm{d}2):0.366015$N(d1):quad0.413938;N(d2):quad0.366015\mathrm{N}(\mathrm{d} 1): \quad 0.413938 ; \mathrm{N}(\mathrm{d} 2): \quad 0.366015
A． 24.9458A．24.9458
B． 50.4070
C． 18.7631
D． 59.1604
Answer：C答案：C