问题 多项选择题

下列关于B-S-M模型的无红利标的资产欧式期权定价公式的说法,正确的有()。

A.N(d2)表示欧式看涨期权被执行的概率

B.N(d1)表示看涨期权价格对资产价格的导数

C.在风险中性的前提下,投资者的预期收益率μ用无风险利率r替代

D.资产的价格波动率σ用于度量资产所提供收益的不确定性

答案

参考答案:A, B, C, D

解析:从B-S-M模型中可以得出以下几点提示:①从公式可以看出,在风险中性的前提下,投资者的预期收益率μ用无风险利率r替代;②N(d2)表示在风险中性市场中ST大于K的概率,或者说是欧式看涨期权被执行的概率;③N(d1)是看涨期权价格对资产价格的导数,它反映了很短时间内期权价格变动与其标的资产价格变动的比率,所以说,如果要抵消标的资产价格变化给期权价格带来的影响,一个单位的看涨期权多头就需要N(d1)单位的标的资产的空头加以对冲;④资产的价格波动率σ用于度量资产所提供收益的不确定性,人们经常采用历史数据和隐含波动率来估计。

单项选择题
完形填空
It was always thought that Treasure Island(金银岛) was the product(产物) of Robert Stevenson’s imagination(想像).  36 ,recent research has found the true story of this exciting work .
Stevenson, a Scotsman, had lived 37 for many years .In 1881 he returned to Scotland to spend  38 .With him were his American wife Fanny and his son 39 .
Each morning they would go out for a  40 over the hills .They had been 41 this for several days before the weather suddenly took a turn for the worse. Kept indoors by the heavy rain, Lloyd, Stevenson’s son, felt the days 42 .To keep the boy happy, Robert asked the boy to do some  43 .
One morning, the boy came to Robert with a beautiful map of an island. Robert 44 that the boy had drawn a large cross in the middle of 45 . “What’s that?” he asked “That’s the 46 treasure”, said the boy. Robert suddenly 47 something of an adventure(冒险) story in the boy’s 48 .While the rain was pouring ,Robert sat down by the fire to write a story. He would make the 49 a twelve-year-old boy just like Lloyd .But who would be molded(塑造) into the hero — a pirate(海盗)?
Robert had a good friend named Henley, who walked with the 50 of a wooden leg , Robert had always wanted to 51 such a man in a story.  52 Long John Silver, the pirate with a wooden leg, was 53 .
So thanks to a 54 September in Scotland, a friend with a wooden leg and the imagination of a twelve-year-old boy, we have one of the greatest  55 stories in the English language.
小题1:
A.However B.ThereforeC.BesidesD.Finally
小题2:
A.aloneB.next doorC.at homeD.abroad
小题3:
A.meeting B.storyC.holidayD.job
小题4:
A.LloydB.RobertC.HenleyD.John
小题5:
A.talkB.rest C.walk D.game
小题6:
A.attemptingB.missingC.planning D.enjoying
小题7:
A.warmB.dull C.busy D.cold
小题8:
A.cleaningB.writingC.drawingD.exercising
小题9:
A.doubted B.noticedC.decidedD.recognized
小题10:
A.the sea B.the houseC.Scotland D.the island
小题11:
A.lostB.buriedC.discoveredD.invented
小题12:
A.saw B.drew C.made D.looked
小题13:
A.bookB.replyC.mapD.letter
小题14:
A.singerB.hero C.writerD.child
小题15:
A.helpB.problemC.useD.up
小题16:
A.praiseB.produceC.mold D.accept
小题17:
A.Yet B.Also C.ButD.So
小题18:
A.readB.born C.hiredD.written
小题19:
A.rainyB.sunnyC.cool D.windy
小题20:
A.newsB.love C.travelD.adventure