小編導(dǎo)讀：您還會為FRM考試感到煩惱嗎？高頓網(wǎng)校精品題庫，包含歷年真題，模擬試題等題型，題題結(jié)合考試大綱貼近考試考點(diǎn)。堅持每天做題練習(xí)，一定可以提升備考效果，為贏取屬于自己的美好明天加油吧！馬上開始練習(xí)>>
　　A cash-or-nothing call (also known as a digital call) pays a fixed amount to the buyer if the asset finishes above the strike price. Assume that at the end of a l-year investment horizon, the stock is equal to $50, the fixed payment amount is equal to $45, and N(d1) and N(d2) from the Black-Scholes-Merton model are equal to 0.9767 and 0.9732, respectively. The value of this cash-or-nothing call when the risk-free rate equals 3% is closest to:
　　A. $5.
　　B. $42.
　　C. $44.
　　D. $47
　　Answer:B
　　Since the Black-Scholes-Merton formula denotes N(d2) as the probability ofthe asset price being
　　above tte strike price， the value of a cash-or-nothing call is equal to:
　　QN(d2 )e-rt= $45e-o_o3 x 0.9732 = $42.50