简答题\n Which of the following is NOT true? A、Risk-neutral valuation provides prices that are only correct in a world where investors are risk-neutral B、Options can be valued based on the assumption that investors are risk neutral C、In risk-neutral valuation the expected return on all investment assets is set equal to the risk-free rate D、In risk-neutral valuation the risk-free rate is used to discount expected cash flows \n简答题\n Which of the following is NOT a property of a Wiener process? A、The change during a short period of time dt has a variance dt. B、The changes in two different short periods of time are independent. C、The mean change in any time period is zero. D、The standard deviation over two consecutive time periods is the sum of the standard deviations over each of the periods.\n简答题\n The current price of a non-dividend-paying stock is ¥30. Over the next six months it is expected to rise to ¥36 or fall to ¥26. Assume the risk-free rate is zero. An investor sells call options with a strike price of ¥32. What is the value of each call option? A、¥1.6 B、¥2.0 C、¥2.4 D、¥3.0\n简答题\n Which of the following is assumed by the Black-Scholes-Merton model? A、The return from the stock in a short period of time is lognormal B、The stock price at a future time is lognormal C、The stock price at a future time is normal D、None of the above\n简答题\n The current price of a non-dividend paying stock is ¥50. Use a two-step tree to value an American put option on the stock with a strike price of ¥48 that expires in 12 months. Each step is 6 months, the risk free rate is 5% per annum, and the volatility is 20%. Which of the following is the option price? A、 ¥1.95 B、¥2.00 C、¥2.05 D、¥2.10\n简答题\n Which of the following defines an Ito process? A、A process where the drift is non-constant and can be stochastic B、A process where the coefficient of dz is non-constant and can be stochastic C、A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic D、A process where proportional changes follow a generalized Wiener process\n简答题\n Which of the following describes how American options can be valued using a binomial tree? A、Check whether early exercise is optimal at all nodes where the option is in-the-money B、Check whether early exercise is optimal at the final nodes C、Check whether early exercise is optimal at the penultimate nodes and the final nodes D、None of the above\n简答题\n The current price of a non-dividend-paying stock is¥30. Over the next six months it is expected to rise to ¥36 or fall to ¥26. Assume the risk-free rate is zero. An investor sells call options with a strike price of ¥32. Which of the following hedges the position? A、Buy 0.6 shares for each call option sold B、Buy 0.4 shares for each call option sold C、Short 0.6 shares for each call option sold D、Short 0.6 shares for each call option sold\n