北美精算师 fm教材 《衍生品市场》课后答案m48-ch04 sh...

《北美精算师 fm教材 《衍生品市场》课后答案m48-ch04 sh...》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、Chapter4IntroductiontoRiskManagementQuestion4.1.Thefollowingtablesummarizestheunhedgedandhedgedprofitcalculations:CopperpriceinTotalcostUnhedgedprofitProfitonshortNetincomeononeyearforwardhedgedprofit$0.70$0.90−$0.20$0.30$0.10$0.80$0.90−$0.10$0.20$0.10$0.90$0.900$0.10$0.10$1.0

2、0$0.90$0.100$0.10$1.10$0.90$0.20−$0.10$0.10$1.20$0.90$0.30−$0.20$0.10Weobtainthefollowingprofitdiagram:Question4.2.Iftheforwardpricewere$0.80insteadof$1,wewouldgetthefollowingtable:43Part1Insurance,Hedging,andSimpleStrategiesCopperpriceinTotalcostUnhedgedprofitProfitonshortNe

3、tincomeononeyearforwardhedgedprofit$0.70$0.90−$0.20$0.10−$0.10$0.80$0.90−$0.10$0−$0.10$0.90$0.900−$0.10−$0.10$1.00$0.90$0.10−$0.20−$0.10$1.10$0.90$0.20−$0.30−$0.10$1.20$0.90$0.30−$0.40−$0.10Withaforwardpriceof$0.45,wehave:CopperpriceinTotalcostUnhedgedprofitProfitonshortNetin

4、comeononeyearforwardhedgedprofit$0.70$0.90−$0.20−$0.25−$0.45$0.80$0.90−$0.10−$0.35−$0.45$0.90$0.900−$0.45−$0.45$1.00$0.90$0.10−$0.55−$0.45$1.10$0.90$0.20−$0.65−$0.45$1.20$0.90$0.30−$0.75−$0.45Althoughthecopperforwardpriceof$0.45isbelowourtotalcostsof$0.90,itishigherthanthev

5、ariablecostof$0.40.Itstillmakessensetoproducecopper,becauseevenatapriceof$0.45inoneyear,wewillbeabletopartiallycoverourfixedcosts.Question4.3.Pleasenotethatwehavegiventhecontinuouslycompoundedrateofinterestas6%.Therefore,theeffectiveannualinterestrateisexp(0.06)−1=0.062.Int

6、hisexercise,weneedtofindthefuturevalueoftheputpremia.Forthe$1-strikeput,itis:$0.0376×1.062=$0.04.Thefollowingtableshowstheprofitcalculationsforthe$1.00-strikeput.Thecalculationsforthetwootherputsareexactlysimilar.Thefigureonthenextpagecomparestheprofitdiagramsofallthreepossibl

7、ehedgingstrategies.CopperpriceinTotalcostUnhedgedProfitonlongPutNetincomeononeyearprofit$1.00-strikeputpremiumhedgedprofitoption$0.70$0.90−$0.20$0.30$0.04$0.06$0.80$0.90−$0.10$0.20$0.04$0.06$0.90$0.900$0.10$0.04$0.06$1.00$0.90$0.100$0.04$0.06$1.10$0.90$0.200$0.04$0.16$1.20$0.

8、90$0.300$0.04$0.2644Chapter4IntroductiontoRiskManagementProfitdiagramofthedifferentputstra