以下则是北美精算师考试SOA——历年必备真题May2005ExamC（2），请耐心看笔记以及用你的真心去记住。
　　5.(5points)YouaregiventhefollowinginformationwithrespecttoStockXYZ:
　　?price:50
　　?variance:4%
　　?dividendrate:0%
　　Therisk-freeratecompoundedcontinuouslyis6%.
　　YouarealsogiventhefollowingselectedvaluesfromtheStandardNormalCumulative
　　DistributionFunction:
　　ZN(Z)ZN(Z)ZN(Z)
　　.010.5040.110.5438.210.5832
　　.020.5080.120.5478.220.5871
　　.030.5120.130.5517.230.5910
　　.040.5160.140.5557.240.5948
　　.050.5199.150.5596.250.5987
　　.060.5239.160.5636.260.6026
　　.070.5279.170.5675.270.6064
　　.080.5319.180.5714.280.6103
　　.090.5359.190.5753.290.6141
　　.100.5398.200.5793.300.6179
　　(a)Listtheassumptionsrequiredforput-callparity.
　　(b)UsetheBlack-Scholesformulatocalculatethepriceofaone-yearEuropeancall
　　optiononStockXYZwithastrikepriceof52.
　　(c)Calculatethepriceofaone-yearEuropeanputoptiononStockXYZwithastrike
　　priceof52.
　　Showallwork.
　　Course6:Spring2005-6-GOONTONEXTPAGE
　　MorningSession
 
　　6.(6points)Youaregiventhefollowingwithrespecttoaportfolioofbonds:
　　Bond
　　Annual
　　CouponPar
　　Market
　　Value
　　Option
　　Features
　　Yearsto
　　Maturity
　　A4.50%100100none2
　　B6.00%100
　　callableinone
　　yearat1012
　　Youaregiventhefollowingwithrespecttoabinomiallattice:
　　?rL:4%
　　?σ:15%
　　?timeintervalbetweennodes:1year
　　(a)Calculatetheone-yearspotrate.
　　(b)Calculatethetwo-yearspotrate.
　　(c)Calculatetheone-yearimpliedforwardrate.
　　(d)Calculateth*ueoftheoptioninBondB.
　　Showallwork.
 
　　7.(4points)OutlinetherisksfacedbyaU.S.investorinpurchasinga10-yearprivatelyplaced
　　U.S.corporatecallablebond.
　　Course6:Spring2005-7-GOONTONEXTPAGE
　　MorningSession
　　COURSE6
　　MORNINGSESSION
　　SECTIONB–MULTIPLECHOICE
　　Course6:Spring2005-8-GOONTONEXTPAGE
　　MorningSession
　　1-5.Eachofquestions1through5consistsoftwolists.Inthelistattheleftaretwoitems,
　　letteredXandY.Inthelistattherightarethreeitems,numberedI,IIandIII.ONEof
　　thelettereditemsisrelatedinsomewaytoEXACTLYTWOofthenumbereditems.
　　Indicatetherelateditemsusingthefollowinganswercode:
　　LetteredItem
　　IsRelatedtoNumberedItems
　　(A)
　　X
　　IandIIonly
　　(B)
　　X
　　IIandIIIonly
　　(C)
　　Y
　　IandIIonly
　　(D)
　　Y
　　IandIIIonly
　　(E)
　　Thecorrectanswerisnotgivenby(A),(B),(C)or(D).
　　1.X.Yield-to-maturityreturnmethodI.Requiresanexplicitreinvestment
　　rateassumption
　　Y.TotalreturnmethodII.Iscommonlyusedforpricingand
　　trading
　　III.Ignoresthecapitalgainorlossfrom
　　securitysales
　　2.X.EffectivedurationmatchingI.Veryexpensivetoimplement
　　Y.CashflowmatchingII.Onlyworksforsmallchangesin
　　interestrates
　　III.Accountsforoptionsembeddedin
　　theassetsandliabilities
　　Course6:Spring2005-9-GOONTONEXTPAGE
　　MorningSession
　　高顿网校之名人感触：按照自己的意志去做，不要听那些闲言碎语，你就一定会成功。 —— 纳斯雷丹·霍查