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1、SAMPLESOLUTIONSFORDERIVATIVESMARKETSQuestion#1AnswerisDIfthecallisat-the-money,theputoptionwiththesamecostwillhaveahigherstrikeprice.Apurchasedcollarrequiresthattheputhavealowerstrikeprice.(Page76)Question#2AnswerisC66.59–18.64=500–Kexp(–0.06)forK=480(Page69)Question#3AnswerisDTheaccumula
2、tedcostofthehedgeis(84.30-74.80)exp(.06)=10.09.Letxbethemarketprice.Ifx<0.12theputisinthemoneyandthepayoffis10,000(0.12–x)=1,200–10,000x.Thesaleofthejalapenoshasapayoffof10,000x–1,000foraprofitof1,200–10,000x+10,000x–1,000–10.09=190.From0.12to0.14neitheroptionhasapayoffandtheprofitis10,00
3、0x–1,000–10.09=10,000x–1,010.Ifx>0.14thecallisinthemoneyandthepayoffis–10,000(x–0.14)=1,400–10,000x.Theprofitis1,400–10,000x+10,000x–1,000–10.09=390.Therangeis190to390.(Pages33-41)Question#4AnswerisB2Thepresentvalueoftheforwardpricesis10,000(3.89)/1.06+15,000(4.11)/1.065+320,000(4.16)/1.0
4、7=158,968.Anysequenceofpaymentswiththatpresentvalueisacceptable.AllbutBhavethatvalue.(Page248)Question#5AnswerisE1Iftheindexexceeds1,025,youwillreceivex–1,025.Afterbuyingtheindexforxyouwillhavespent1,025.Iftheindexisbelow1,025,youwillpay1,025–xandafterbuyingtheindexforxyouwillhavespent1,0
5、25.Onewaytogetthecostistonotethattheforwardpriceis1,000(1.05)=1,050.Youwanttopay25lessandsomustspend25/1.05=23.81today.(Page112)Question#6AnswerisEIngeneral,aninvestorshouldbecompensatedfortimeandrisk.Aforwardcontracthasnoinvestment,sotheextra5representstheriskpremium.Thosewhobuythestocke
6、xpecttoearnboththeriskpremiumandthetimevalueoftheirpurchaseandthustheexpectedstockvalueisgreaterthan100+5=105.(Page140)Question#7AnswerisCAllfourofanswersA-Daremethodsofacquiringthestock.Theprepaidforwardhasthepaymentattime0andthedeliveryattimeT.(Pages128-129)Question#8AnswerisBOnlystradd
7、lesuseat-the-moneyoptionsandbuyingiscorrectforthisspeculation.(Page78)Question#9AnswerisDThisisbasedonExercise3.18onPage89.ToseethatDdoesnotproducethedesiredoutcome,beginwiththecasewherethestockpriceisSandisbelow90.ThepayoffisS+0+(110–S)–2(100–S)=2S–90whichisnotcons
