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發(fā)布時(shí)間:2021-07-06 09:09編輯:融躍教育FRM
在FRM考試中有大量的計(jì)算題,考生一定要記住相關(guān)的公式,并且會(huì)熟練運(yùn)用!另外,近日有考生咨詢,F(xiàn)RM真題,考生有必要做嗎?
關(guān)于FRM真題,考生一定要做練習(xí),尤其是近幾年的FRM真題!下面是小編列舉的相關(guān)真題,一起了解一下!
According to the market price, deviations for puts and calls from BSM prices indicate:》》》戳:免費(fèi)領(lǐng)取FRM各科視頻講義+歷年真題+21年原版書(PDF版)
A) Implied volatility is the same for both put and call.
B) Moneyness is the same for both put and call.
C) Implied volatility is different for put and call.
D) Moneyness is different for put and call.
答案:A
解析:According to the put-call parity, the implied volatility is the same for both put and call.
Which of the following statements best characterizes the differences between
the Ho-Lee model with drift and the lognormal model with drift?
A) In the Ho-Lee model and the lognormal model the drift terms are multiplicative.
B) In the Ho-Lee model and the lognormal model the drift terms are additive
C) In the Ho-Lee model the drift terms are multiplicative, but in the lognormal model the drift terms are additive
D) In the Ho-Lee model the drift terms are additive, but in the lognormal model the drift terms are multiplicative.
答案:D 【資料下載】點(diǎn)擊下載GARP官方FRM二級練習(xí)題
解析:The Ho-Lee model with drift is very flexible, allowing the drift terms each period to vary. Hence, the cumulative effect is additive. In contrast, the lognormal model with drift allows the drift terms to vary, but the cumulative effect is multiplicative.
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