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Abinomial interest-rate tree indicates a 1-year spot rate of 4% and the price of the bond if rates decline is 95.25 and 93.75 if rates increase. The risk-neutral probability of an interest rate increase is 0.55. You hold a call option on the bond that expires in one year and has an exercise price of 93.00. The option value is closest to:

A) 1.17.

B) 0.97.

C) 1.44.

D) 1.37.

答案:D  》》》报名繁琐?找融跃教育FRM考试免费代报名服务

解析:The call has a payoff of 95.25 –93 = 2.25 if rates decline and a payoff of 93.75– 93 = 0.75 if rates increase. The expected discounted value of the payoffs is [0.55(0.75) + 0.45(2.25)]/1.04 = 1.37.

Suppose the market expects that the current 1-year rate for zero-coupon bonds with a face value of $1 will remain at 5%, but the 1-year rate in one year will be 3%. What is the 2-year spot rate for zero-coupon bonds?

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A) 3.995%

B) 4.088%

C) 4.005%

D) 4.115%

答案:A【资料下载】[融跃财经]FRM一级ya题-pdf版

解析:The 2-year spot rate is computed as follows: z2=sqrt(1.05×1.03)-1=3.995%

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