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题目 A knock-in barrier option is harder to hedge when it is: 选项 A.in the money B.out of the money C.at the barrier and near maturity D.at the inception of the trade 答案 C 解析 Owing to [...]

题目 Assume that the current price of a stock is $100. A call option on that stock with an exercise price of $97 costs $7. A call option on the stock with the same expiration and an exercise price [...]

题目 The price of a dividend-paying stock is $44.00 while the risk-free rate is 3.0%. Consider a European call option and a European put option with identical strike prices, K = $40.00, and [...]

题目 Your bank is an active player in the commodity market. The view of the economist of the bank is that inflation is expected to rise moderately in the near term and market volatility is expected [...]

题目 If the conditional prepayment rate (CPR) for a pool of mortgages is assumed to be 5% on an annual basis and the weighted average maturity of the underlying mortgages is 15 years, which of the [...]

题目 With respect to currency swaps, EACH of the following is TRUE except: 选项 A.Unlike a vanilla interest rate swap, principal is exchanged at the beginning of a currency or cross-currency swap [...]

题目 In its annual report, Acehouse Property-Casualty presents a summary of selected key ratios (but where we've hidden four of the [...]

题目 Below is an extract (selected rows) from a mortality table:「huixue_img/importSubject/1564169526436827136.png」Which is nearest to the probability of a man aged 80 years old dying in the [...]

题目 Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75% on 10 million US dollars for 3.75% on 15 million Canadian dollars. The spot rate is 1.52 (1.52 [...]

题目 Catastrophe (CAT) bonds are a popular derivative instrument for hedging catastrophic risk. A CAT bond pays a higher-than-normal interest rate and is often issued by a subsidiary of an [...]