An Introduction to the Mathematics of Financial Derivatives Solution Manual_Neftci

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1、CHATER11.(a)ayodiagramatexpiration:20shortstockshortcallcombinedposition1510shortstock5writtencall0shortstock+shortcall−5−10−15−2002468101214161820F
GURE0.1ayodiagramforbothashortsaleofstockandanat-the-moneycall.iayodiagramatexpiration:3.5longputlongcallput+call32

2、.521.510.5012345678910F
GURE0.2ayodiagramforalongputwithstrikeandalongcallwithstrike,<.1212ayodiagramatexpiration:6longput+shortcallshortput+longcallcombinedposition42KK120−2−4−6024681012F
GURE0.3ayodiagramfora(longput/shortcall)combinationatplusa(longcall/sho

3、rtput)combinationat>.121ii(b)ayodiagrambeforeexpiration:10shortstockshortcallshortstockcombinedposition50−5writtencall−10shortstock+shortcall−15−20−2502468101214161820F
GURE0.4re-maturitypayodiagramforbothashortsaleofstockandanat-the-moneycall.ayodiagrambeforeexp

4、iration:4longputlongcallput+call3.532.521.510.50012345678910F
GURE0.5re-maturitypayodiagramforalongputwithstrikeandalongcallwithstrike,<.1212iiiayodiagrambeforeexpiration:6longput+shortcallshortput+longcallcombinedposition420−2−4−6012345678910F
GURE0.6re-maturit

5、ypayodiagramfora(longput/shortcall)combinationatplusa(longcall/shortput)combination1at>.212.(a)etdenotethenotionalamountoftheswapandandtheUSDiborrateat12months1218and18monthsrespectively.Thecash owsaregivenby12months18months24months
1218Floatingleg+++1+2

6、2
:05:05Fixedleg1+22wherethe1inthe24monthscolumnrepresentsthenotionalamount.(b)
fonehada oatingrateobligationandwishedtopayaxedrate,,thenenterintotwoFRAcontractsatratewithmaturity18and24months.Forexample,at18months,ifthe oatingratewereabove,thentheFRAwouldbe

7、in-the-moneybypreciselytheamountrequiredtoosetthehigher oatingratepayment.Therefore,thetotalpaymentisattherate.(c)
fonehada oatingrateobligationandwishedtopayaxedrate,aswapisnotnecessaryaslongastheappropriateinterestrateoptionsareavailable.Alongpositioninaninterestrat

8、ecapatrateandashortpositioninaninterestrate ooratrate,bothmaturingonthe oatingratepaymentdate,ensuret