問題詳情
11.假設市場符合 BS 模型的假設下,若某一價平賣權,標的股票價格目前為 50,距到期日尚有 1年,隱含波動度為 50%,透過 BS 定價公式算出其理論價格為 10。若有另一檔價平賣權,其執行價格為 70,到期日及隱含波動度分別為 1 年及 50%,則此檔賣權透過 BS 定價公式算出其理論價格應為?
(A) 14.0
(B) 14.5
(C) 15.0
(D) 15.5
(A) 14.0
(B) 14.5
(C) 15.0
(D) 15.5
參考答案
答案:A
難度:適中0.5
統計:A(0),B(0),C(0),D(0),E(0)
內容推薦
- 下列文句「 」內皆屬常見詞彙,其中何者屬於外來語? (A)三十五歲那年,出海捕魚成為「討海人」 (B)對於未來幾天天氣會有什麼變化,大家都還是一樣「霧煞煞」 (C)對於虎鯨是否會出現,大家都「毋
- 圖 2 是不同存續期間 (其餘參數相同) 的假設下,標的資產價格與買權 Delta 的關係圖,曲線 A的存續期間是 TA;曲線 B 的存續期間是 TB;曲線 C 的存續期間是 TC,試問下列何者
- 文句中的「虛數」是指不確定的數目,大多用來表示眾多。下列各項「 」中的數字,何者為虛數?(A)「三」思而後行 (B)狡兔「三」窟 (C)「三」顧臣於草廬之中 (D)功蓋「三」分國。
- 下列各組「 」中的字,字義完全相同的選項是: (A)雲集而響應,贏糧而「景」從/至若春和「景」明,波瀾不驚 (B)君子之於天下也,無「適」也,無莫也/是造物者之無盡藏也,而吾與子之所共「適」 (
- 下列「」內的字詞,何者包含「自謙」之意? (A)庶竭「駑鈍」,攘除姦凶(〈出師表〉) (B)弱冠弄柔翰,「卓犖」觀群書(〈詠史詩〉) (C)「陛下」亦宜自課(〈出師表〉) (D)臣本「布衣」,躬耕
- 0有關鉛蓄電池,下列敘述何者正確?(A)充電時,硫酸溶液濃度減少 (B)充電時,兩電極皆產生硫酸鉛 (C)欲對鉛蓄電池充電時,二氧化鉛極板應連接附圖中外電源的甲極 (D)放電時,電子由鉛蓄電池的二
- 「吮□舐痔/□飧不繼/□河塞道」以上缺空的字依序應填入:(A)壅/癰/甕 (B)饔/甕/壅 (C)癰/饔/壅 (D)甕/饔/癰。
- 酒的文化衍生酒的文學,在中國詩文中,常離不開「酒器」。下列文句中,無關「酒器」的選項是:(A)駕一葉之扁舟,舉匏樽以相屬 (B)引觴滿酌,頹然就醉 (C)觥籌交錯,起坐而諠譁者,眾賓懽也 (D)
- 下列作品、作家、時代及體裁,對應完全正確的選項是: (A)〈鶯鶯傳〉/杜光庭/唐代傳奇小說 (B)《三國演義》/羅貫中/宋代話本小說 (C)《聊齋誌異》/蒲松齡/唐代筆記小說 (D)《世說新語》
- 下列文句,缺空處應填入何者?「鳳姐便拉過劉姥姥來,笑道:『讓我打扮你。』說著,把一盤子花□□□□的給他插了一頭。」(A)美輪美奐 (B)別出心裁 (C)秩序井然 (D)橫三豎四。
內容推薦
- 關於牛熊證的設計原理,下列何者錯誤?(A)牛證與熊證是深價內的選擇權,但失去大部分選擇權的特性(B)牛證是類似融資買股票(C)熊證是類似融券放空股票(D)以上皆非
- 某一籃子買權 (Basket Options) 到期時的收益為 Max( S1+S2 - K, 0 ),其中 Si, i=1,2 表示第i 檔股票的到期股價。在其他條件不變下,相關係數與一籃子買
- I can't believe the medicine is so ___________. It did relieve the symptoms of my cold.(A) e
- 依據穆迪 (Moody’s) 信用評等機構的信用評等,何種信用等級的公司債,會被認定為投資級(Investment Grade)?(A)Aa (B)A (C)Baa (D)以上皆是
- We don’t like her because she often ___________ about her collection of luxuries.(A) curses (B)
- Daniel has been working at the computer for almost twenty-four hours. He ___________ needs a good
- 【題組】承第45題,B點之彎矩值為多少?(A) 360 t-m(B) 480 t-m(C) 720 t-m(D) 860 t-m
- Alex speaks English fluently now, and so ___________ his younger brother.(A) can (B) speaks (C) i
- He was awarded the Nobel Prize for his ___________ to promoting world peace.(A) influence (B) de
- It's a common belief that the improvement of the traffic condition would ___________ to pub
- 47•下列何者為剪力流(f)之單位?(A) kg(B) kg/cm(C) kg-cm(D) kg/cm2
- I would rather stay at home studying English ___________ go shopping on such a rainy day.(A) tha
- If David ___________ this coming weekend, please hand him this parcel.(A) will come (B) came (C)
- The designer ___________ traditional materials with new styles to create the latest fashion.(A)
- Mr. Lee is a nice person. He regularly ___________ money to help the poor and the needy.(A) dona
- After being out of work for several months, they finally found ___________ in a factory and earne
- Whenever my car gets dirty, I always have my son ___________ my car.(A) wash (B) washed (C) wash
- We plan to arrive in San Francisco, ___________ we will rent a car and drive to other places.(A)
- ___________ his teacher’s order, the boy went out to play without finishing his homework.(A) In s
- If we don’t do something immediately to help the endangered species, they will go _______ in the
- Despite what his father had said, he ___________ on making his own decision.(A) assisted (B) insi
- The little girl got lost. ___________ what to do next, she started to cry.(A) Not knowing (B) No
- Our class leader ordered that we ___________ silent.(A) kept (B) keeping (C) keep (D) have kept
- 如【圖18】所示之簡支梁,剛度為El,C點位於梁中央處,【題組】C點之垂直撓度為多少?(A) 5WL4/384EI (B) 5WL4/197EI(C) 5WL4/48EI(D) 5WL4/24E
- The school was ___________ very small, but now it is the largest elementary school in Taiwan.(A)