小編導(dǎo)讀：在FRM一級考試中，計算題所占比重很大，而金融衍生品這部分更甚。期權(quán)定價也是計算題的重點之一，考生們一定要多多練習(xí)，熟悉相關(guān)公式。點擊練習(xí)>>　　Using the Black-Scholes model, compute the value of a European call option using the following imputs:
　　Underlying stock price: $100
　　Exercise price: $90
　　Risk-free interest rate: 5%
　　Volatility: 20%
　　Dividend yield: 0%
　　Time to expiration: one year
　　The Black-Scholes call option price is closest to:
　　A. $13.65.
　　B. $15.33.
　　C. $17.99.
　　D. $16.71.
　　Answer:D
　　This value is obtained using the Black-Scholes model for call option without dividends:
　　So d1=(ln(100/90)+(0.05+0.202/2))/0.2√1=0.8768 and using the table, N(0.88)=0.8106. d2=0.8768-0.2√1=0.6768, so from the table,N(d2)=N(0.68)=0.7517.
　　So the call value is 100(0.8106)-90e(-0.05)(0.7517)=$16.71.