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Abinomial interest-rate tree indicates a 6-month period spot rate of 3.5 percent (in annual terms). The price of the zero-coupon bond in six months if rates decline is 97.25 and if rates increase the bond price is 95.875. If the bond’s market price is 94.5, the risk-neutral probabilities with an decrease and increase in rates, respectively, are closest to:

A) 0.1/0.9.

B) 0.9/0.1.

C) 0.2/0.8.

D) 0.8/0.2.

答案：C

解析：97.25P + 95.875(1 – P) = 94.5×(1 + 0.035/2)

P = 0.2

Which of the following factors is (are) reason(s) why the Black-Scholes-Merton option pricing model is not appropriate for valuing options on corporate bonds?

I. Bonds have credit risk.

II. Have an upper price bound.

III. Bonds do not have constant price volatility.

IV. Bonds are not priced by arbitrage.

A) I and II. 【資料下載】FRM一級思維導圖PDF版

B) II and III.

C) III and IV.

D) IV only.

答案：B

解析：The Black-Scholes-Merton model cannot be used for the valuation of fixed income securities because it makes the following assumptions:

a. There is no upper price bound.

b. The risk-free rate is constant.

c. Bond volatility is constant.

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