FRM一级模拟题(2)

FRM一级模拟题（2）

1、Which one of the foll owing four trading strategies coul d limit the investor's upside potential while reducing her d ownsid e risk compared to a naked long position in the stock?

A. A long position in a put combined with a long position in a stock

B. A short position in a put combined with a short position in a stock

C.Buying a call option on a stock with a certain strike price and selling a call option on the same stock with a

higher strike price and the same expiration date

D.Buying a call and a put with the same strike price and expiration date

2、Which one of the foll owing four statements is correct about the early exercise of American options? (1). It is never optimal to exercise an American call option on a non-divid end-paying stock before the expiration date.

(2). It can be optimal to exercise an American put option on a non-dividend-paying stock early.

(3). It can be optimal to exercise an American call option on a non-dividend-paying stock early.

(4). It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.

A. 1 and 2

B. 1 and 4

C. 2 and 3

D. 3 and 4

3、Mr. Black has been asked by a client to write a large option on the S&P 500 ind ex. The option has an exercise price and maturities that are not availabl e for options traded on exchanges. He therefore has to hedge the position dynamically. Which of the foll owing statements about the risk of his position is not correct?

A.By selling short index futures short, he can make his portfolio delta neutral.

B.There is a short position in an S&P 500 futures contract that will make his portfolio insensitive to both

small and large moves in the S&P 500.

C. A long position in a traded option on the S&P 500 will help hedge the volatility risk of the option he has

written.

D.To make his hedged portfolio gamma neutral, he needs to take positions in options as well as futures.

4、The current price of stock ABC is $42 and the call option with a strike at $44 is trading at $3. Expiration is in

one year. The corresponding put is priced at $2. Which of the foll owing trading strategies will result in arbitrage profits? Assume that the annual risk-free rate is 10%, and that there is a risk-free bond paying the risk-free rate that can be shorted costl essly. There are no transaction costs.

A.Long position in both the call option and the stock, and short position in the put option and risk-free bond

B.Long position in both the call option and the put option, and short position in the stock and risk-free bond

C.Long position in both the call option and risk-free bond, and short position in the stock and the put option

D.Long position in both the put option and the risk-free bond, and short position in the stock and the put

option

5、The foll owing table gives the prices of two out of three U.S. Treasury notes for settlement on August 30, 2008. All three notes will mature exactly one year later on August 30, 2009.

Coupon Price

2$98.40

4?

6$101.30

Approximately, what woul d the price of the 41/2 U.S. Treasury note?

A.$99.20

B.$99.40

C.$99.80

D.$100.20

6、The observed zero yiel d curve is given by the foll owing data:

1-year spot rate = 3.65%

2-year spot rate = 3.99%

3-year spot rate = 4.11%

Using the data for the spot curve, the forward rate on a one-year contract maturing in two years is closest to:

A. 3.20%

B. 3.79%

C. 4.33%

D. 4.15%

7、The spot price of gold is US200/oz and the price of a one-year gold futures contract is US205/oz. Assuming that the annual risk-free rate remains 5% and there are no arbitrage opportunities, which of the foll owing situations would cause backwardation