備考CFA考試，一定要多刷題，多練習。2021年CFA考試《CFA一級》考試共240題，以下是幫考網為您準備的練習題，附答案解析，供您備考練習。

1、All else being equal, a decrease in volatility of the underlying is most likely toresult in a(n):【單選題】

A.increase in call price ａｎｄ&emsp；a decrease in put price.

B.decrease in call price ａｎｄ&emsp；a decrease in put price.

C.increase in call price ａｎｄ&emsp；a increase in put price.

正確答案:B

答案解析:所針對的標的資產波動性增加會同時增加看漲期權和看跌期權的價值，此時標的資產的價格高于看漲期權行權價或者低于看跌期權行權價的可能性都增加，而所針對的標的資產的波動性若降低，則結論正好相反。

2、An analyst does research about commodity.Fｏｒan investｏｒwith a long-termtime horizon, the return from rolling forward the maturity of the derivative positionis most likely described as :【單選題】

A.convenience yield.

B.price return.

C.collateral yield.

正確答案:A

答案解析:展期收益(roll yield)也被稱為便利收益(convenience yield)，是由于商品期貨合約到期后進行展期所獲得的收益，當市場價格處于下降過程中時，多頭投資者的展期收益為正；而當市場價格處于上升過程中時，多頭投資者的展期收益為負。

3、An analyst does research about options.A series of interest rate call options expiringon different dates but having the same exercise rate is best characterized as【單選題】

A.zero-cost collar.

B.interest rate cap.

C.interest rate floor.

正確答案:B

答案解析:一系列有相同執行價和不同到期日的利率看跌期權構成的是利率底(interest ratefloor)，而一系列利率看漲期權可被看作利率頂(interest rate cap)。

4、A European stock index call option has a strike price of $1,160 ａｎｄ&emsp；a time to expiration of 0.25 years. Given a risk-free rate of 4 percent, if the underlying index is trading at $1,200 ａｎｄ&emsp；has a multiplier of 1, then the lower bound fｏｒthe option price is closest to:【單選題】

A.$28.29.

B.$40.00.

C.$51.32.

正確答案:C

答案解析:“Option Markets ａｎｄ&emsp；Contracts”, Don M. Chance2010 Modular Level I, Vol. 6, pp. 103-107Study Session 17-70-iCalculate ａｎｄ&emsp；interpret the lowest prices of European ａｎｄ&emsp；American calls ａｎｄ&emsp；puts based on the rules fｏｒminimum values ａｎｄ&emsp；lower bounds.The lower bound on a European call is either zero ｏｒthe underlying asset’s price minus the present value of the exercise price, whichever is greater.

5、An analyst does research about option value.In general, with respect to two call optionson the same underlying, the option with higher value is most likely to have a:【單選題】

A.

B.

C.

正確答案:B

答案解析:到期時間越長，看漲期權價值越高，因為未來資產價格波動的不確定性越大。行權價越高，看漲期權價值越低，因為標的資產價格超過行權價的可能性變小。

希望以上練習題對您的復習有所幫助，幫考網祝您考試成功!