小编导读：您还会为FRM考试感到烦恼吗？高顿网校精品题库，包含历年真题，模拟试题等题型，题题结合考试大纲贴近考试考点。坚持每天做题练习，一定可以提升备考效果，为赢取属于自己的美好明天加油吧！马上开始练习>>
　　A cash-or-nothing call (also known as a digital call) pays a fixed amount to the buyer if the asset finishes above the strike price. Assume that at the end of a l-year investment horizon, the stock is equal to $50, the fixed payment amount is equal to $45, and N(d1) and N(d2) from the Black-Scholes-Merton model are equal to 0.9767 and 0.9732, respectively. The value of this cash-or-nothing call when the risk-free rate equals 3% is closest to:
　　A. $5.
　　B. $42.
　　C. $44.
　　D. $47
　　Answer:B
　　Since the Black-Scholes-Merton formula denotes N(d2) as the probability ofthe asset price being
　　above tte strike price， the value of a cash-or-nothing call is equal to:
　　QN(d2 )e-rt= $45e-o_o3 x 0.9732 = $42.50