以下则是，精算师考试专业指导——SOA试题练习2，请收藏好哦。
　　5. (5 points) You are given the following information with respect to Stock XYZ:
　　price: 50
　　variance: 4%
　　dividend rate: 0%
　　The risk-free rate compounded continuously is 6%.
　　You are also given the following selected values from the Standard Normal Cumulative
　　Distribution Function:
　　Z N(Z) Z N(Z) Z N(Z)
　　.01 0.5040 .11 0.5438 .21 0.5832
　　.02 0.5080 .12 0.5478 .22 0.5871
　　.03 0.5120 .13 0.5517 .23 0.5910
　　.04 0.5160 .14 0.5557 .24 0.5948
　　.05 0.5199 .15 0.5596 .25 0.5987
　　.06 0.5239 .16 0.5636 .26 0.6026
　　.07 0.5279 .17 0.5675 .27 0.6064
　　.08 0.5319 .18 0.5714 .28 0.6103
　　.09 0.5359 .19 0.5753 .29 0.6141
　　.10 0.5398 .20 0.5793 .30 0.6179
　　(a) List the assumptions required for put-call parity.
　　(b) Use the Black-Scholes formula to calculate the price of a one-year European call
　　option on Stock XYZ with a strike price of 52.
　　(c) Calculate the price of a one-year European put option on Stock XYZ with a strike
　　price of 52.
　　Show all work.
　　Course 6: Spring 2005 - 6 - GO ON TO NEXT PAGE
　　Morning Session
 
　　6. (6 points) You are given the following with respect to a portfolio of bonds:
　　Bond
　　Annual
　　Coupon Par
　　Market
　　Value
　　Option
　　Features
　　Years to
　　Maturity
　　A 4.50% 100 100 none 2
　　B 6.00% 100
　　callable in one
　　year at 101 2
　　You are given the following with respect to a binomial lattice:
　　rL : 4%
　　σ : 15%
　　time interval between nodes: 1 year
　　(a) Calculate the one-year spot rate.
　　(b) Calculate the two-year spot rate.
　　(c) Calculate the one-year implied forward rate.
　　(d) Calculate the value of the option in Bond B.
　　Show all work.
 
　　7. (4 points) Outline the risks faced by a U.S. investor in purchasing a 10-year privatelyplaced
　　U.S. corporate callable bond.
　　Course 6: Spring 2005 - 7 - GO ON TO NEXT PAGE
　　Morning Session
　　COURSE 6
　　MORNING SESSION
　　SECTION B – MULTIPLE CHOICE
　　Course 6: Spring 2005 - 8 - GO ON TO NEXT PAGE
　　Morning Session
　　高顿网校之名人思想：喂，你可曾听说才思也许能在青春年少时获得，智慧也许会在腐朽前成熟。 —— 爱默生