FRM真题例题解析，送给备考FRM的你！

发布时间：2021-09-13 09:33编辑：融跃教育FRM

FRM真题是历年FRM考试的题目，是FRM考试的重难点地方，因此建议考生在考前能够进行至少三套真题的练习，并对真题的知识点进行总结，帮助自己进行提升！下面是FRM真题例题解析，送给备考FRM的你！

The market price of a European call is $3.00 and its Black-Scholes price is $3.50. The Black-Scholes price of a European put option with the same strike price and time to maturity is $1.00. What should the market price of this put option be?

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B) $2.00

C) $1.00

D) $0.50

答案：D

解析：Based on the put-call parity, cbs +Ke-rT=pbs +S0e-qT and cmkt+Ke-rT=pmkt +S0e-qT

We can know that: cbs- cmkt= pbs- pmkt and cbs=$3.50, cmkt=$3.00, pbs=$1.00. So pmkt=$0.50.

The market price of a European call is $3.00 and its Black-Scholes price is $3.50.The Black-Scholes price of a European put option with the same strike price and time to maturity is $2.00.What should the market price of this option be?

A) $1.50

B) $2.00

C) $1.00

D) $0.50

答案：A 【资料下载】点击下载GARP官方FRM二级练习题

解析：Based on the put-call parity, cbs + Ke-rT = pbs + S0e-qT and cmkt + Ke-rT = pmkt + S0e-qT

We can know that:

cbs - cmkt = pbs - pmkt

And cbs = $3.50, cmkt = $3.00, pbs = $2.00.

So pmkt = $1.50.

ChooseA

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