题目内容

What does the shape of the volatility smile reveal about call options on a currency? ( )

A. Options close-to-the-money have the lowest implied volatility
B. Options deep-in-the-money have a relatively high implied volatility
C. Options deep-out-of-the-money have a relatively high implied volatility
D. All of the above

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The gain from a project is equally likely to have any value between -$0.15 million and +$0.85 million. What is the 99% expected shortfall? ( )

A. $0.145 million
B. $0.14 million
C. $0.13 million
D. $0.10 million

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Which of the following is true of the historical simulation method for calculating VaR? ( )

A. It fits historical data on the behavior of variables to a normal distribution
B. It fits historical data on the behavior of variables to a lognormal distribution
C. It assumes that what will happen in the future is a random sample from what has happened in the past
D. It uses Monte Carlo simulation to create random future scenarios

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In a floor with semiannual reset dates, the floor rate is 3.5% per annum and the notional principal is $1 million. Suppose that the LIBOR rate is 3% per annum for a particular 6-month period. What is the approximate payoff at the end of the 6 months? ( )

A. $10,000
B. $5,000
C. $2,500
D. $1,250

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In a shout call option the strike price is $30. The holder shouts when the asset price is $40. What is the payoff from the option if the final asset price is $35? ( )

A. $0
B. $5
C. $10
D. $15

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What does the shape of the volatility smile reveal about call options on a currency? ( )

A. Options close-to-the-money have the lowest implied volatility B. Options deep-in-the-money have a relatively high implied volatility C. Options deep-out-of-the-money have a relatively high implied volatility D. All of the above

The gain from a project is equally likely to have any value between -$0.15 million and +$0.85 million. What is the 99% expected shortfall? ( )

Which of the following is true of the historical simulation method for calculating VaR? ( )

In a floor with semiannual reset dates, the floor rate is 3.5% per annum and the notional principal is $1 million. Suppose that the LIBOR rate is 3% per annum for a particular 6-month period. What is the approximate payoff at the end of the 6 months? ( )

In a shout call option the strike price is $30. The holder shouts when the asset price is $40. What is the payoff from the option if the final asset price is $35? ( )

A. Options close-to-the-money have the lowest implied volatility
B. Options deep-in-the-money have a relatively high implied volatility
C. Options deep-out-of-the-money have a relatively high implied volatility
D. All of the above