【CFA三級試題1】QUESTION 6 HAS TWO PARTS (A， B) FOR A TOTAL OF 8 MINUTES.

Michael Weber，CFA，is analyzing several aspects of option valuation， including the determinants of the value of an option， the characteristics of various models used to value options， and the potential for divergence of calculated option values from observed market prices.

A. State， and justify with one reason for each case， the expected effect on the value of a call option on common stock if each of the following changes occurs：

i. The volatility of the underlying stock price decreasesii. The time to expiration of the option increases(4 minutes)

Using the Black-Scholes option-pricing model， Weber calculates the price of a three-month call option and notices the option‘s calculated value is different from its market price. A colleague verifies that Weber’s methodology and results are correct.

B. With respect to Weber‘s use of the Black-Scholes option-pricing model， and given that his methodology and results are correct：

i. Discuss one reason why the calculated value of an out-of-the-money European option may differ from that same option’s market price.

ii. Discuss one reason why the calculated value of an American option may differ from that same option‘s market price.

(4 minutes) CFA題庫>> 【開始做題】

【CFA三級試題2】 QUESTION 2 HAS TWO PARTS (A， B) FOR A TOTAL OF 7 MINUTES.

Louise and Christopher Maclin are considering the rebalancing implications of two possible strategic asset allocation scenarios. Grant Webb outlines a rebalancing methodology that sets upper and lower limits for the weights of each asset class based on the same fixed percentage bands for each asset class. The portfolio will be rebalanced to the target allocations whenever the weight of an asset class violates the fixed percentage limits. Webb also describes an alternate rebalancing methodology， based on standard deviation， in which each asset class is rebalanced when the weight for the asset class exceeds the number of standard deviations set for all asset classes.

A. Discuss why a rebalancing methodology based on fixed percentage bands may result in excessive transaction costs in each of the following strategic asset allocation scenarios：

i. The Maclins hold a small allocation (less than 5 percent) to an emerging market equities fundii. The Maclins hold a sizable allocation to a hedge fund that has experienced a persistently very low correlation with the other assets in the portfolio(4 minutes)

Webb is concerned about the negative effect of realized capital gains on the Maclins‘ portfolio.

B. Determine， given Webb’s concern about realized capital gains， whether a rebalancing methodology based on standard deviation is likely to be more or less appropriate than a rebalancing methodology based on fixed percentage bands. Justify your response with one reason.

(3 minutes)

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