《期权期货习题》PPT课件

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1、FutureOptionandotherderivativesexercises1.What’sthedifferencebetweenenteringintoalongforwardcontactwhentheforwardpriceis$50andtakingalongpositioninacallwithastrikepriceof$50?2.Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforUSdollarsatanexchangerateof1.5000USdollarsperpound.How

2、muchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.4900and1.5200?3.Youwouldliketospeculateonariseinthepriceofacertainstock.Thecurrentstockpriceis$29,anda3-monthcallwithastrikepriceof$30costs$2.90.Youhave$5,800toinvest.Identifytwoalternativeinvestmentstrategies,oneinthestockandthe

3、otherinanoptiononthestock.Whatarethepotentialgainsandlossesfromeach?4.SupposethataMarchcalloptiontobuyasharefor$50costs$2.5andishelduntilMarch.Underwhatcircumstanceswilltheholderoftheoptionmakeaprofit?Underwhatcircumstanceswilltheoptionbeexercised?Drawadiagramillustratinghowtheprofitfromalongpositio

4、nintheoptiondependsonthestockpriceatmaturityoftheoption.5.Explainwhyaforwardcontractcanbeusedforeitherspeculationorhedging.6.SupposethataJuneputoptiontosellasharefor$60costs$4andishelduntilJune.Underwhatcircumstanceswilltheoptionbeexercised?Drawadiagramillustratinghowtheprofitfromashortpositioninthe

5、optiondependsonthestockpriceatmaturityoftheoption.7.ItisMayandatraderwritesaSeptembercalloptionwithastrikepriceof$20.Thestockpriceis$18andtheoptionpriceis$2.Describethetrader’scashflowsiftheoptionishelduntilSeptemberandthestockpriceis$25atthattime.8.AtraderwritesaDecemberputoptionwithastrikepriceof$

6、30.Thepriceoftheoptionis$4.Underwhatcircumstancesdoesthetradermakeagain?9.Acompanyknowsthatitisduetoreceiveacertainamountofaforeigncurrencyin4months.Whattypeofoptioncontractisappropriateforhedging?10.Thepriceofgoldiscurrently$500perounce.Theforwardpricefordeliveryin1yearis$700.Anarbitrageurcanborrow

7、moneyat10%perannum.Whatshouldthearbitrageurdo?Assumethatthecostofstoringgoldiszeroandthatgoldprovidesnoincome.11.SupposethatyouenterintoashortfuturescontracttosellJulysilverfor$5.20perounceontheNewYor