期权期货考试大题.doc

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1、四、基于同一股票的看跌期权有相同的到期日.执行价格为$70、$65和$60，市场价格分为$5、$3和$2.如何构造蝶式差价期权.请用一个表格说明这种策略带来的盈利性.股票价格在什么范围时，蝶式差价期权将导致损失？五、基于同一股票的有相同的到期日敲定价为$70的期权市场价格为$4.敲定价$65的看跌期权的市场价格为$6。解释如何构造底部宽跨式期权.请用一个表格说明这种策略带来的盈利性.股票价格在什么范围时，宽跨式期权将导致损失？答案：buyaputwiththestrikeprices$65andbuyacallwiththestrikeprices$70

2、,thisportfoliowouldneedinitialcost$10.Thepatternofprofitsfromthestrangleisthefollowing:StockPriceRangePayofffromLongPutPayofffromLongCallTotalPayoffTotalProfitsST≤6565-ST065-ST55-ST65＜ST＜70000-10ST>700ST-70ST-70ST-80当　50

3、aEuropeancalloptiononanon-dividend-payingstockwhenthestockpriceis$69,thestrikepriceis$70,therisk-freeinterestrateis5%perannum,thevolatilityis35%perannum,andthetimetomaturityissixmonths?2).Supposethecurrentvalueoftheindexis500,continuousdividendyieldsofindexis4%perannum,therisk-fr

4、eeinterestrateis6%perannum.ifthepriceofthree-monthEuropeanindexcalloptionwithexerciseprice490is$20,Whatisthepriceofathree-monthEuropeanindexputoptionwithexerciseprice490?byput-callparity3)WhatisthepriceofaEuropeanfuturesputoption：currentfuturespriceis$19,thestrikepriceis$20,theri

5、sk-freeinterestrateis12%perannum,thevolatilityis20%perannum,andthetimetomaturityisfivemonths?（保留2位小数）Solution:InthiscaseF=19,X=20,r=0.12,σ=0.20,T-t=0.42,ThepriceoftheEuropeanputis4)Aone-year-longforwardcontractonanon-dividend-payingstockisenteredintowhenthestockpriceis$40andtheri

6、sk-freerateofinterestis10%perannumwithcontinuouscompounding.(a)Whataretheforwardpriceandtheinitialvalueoftheforwardcontract?(b)Sixmonthslater,thepriceofthestockis$45andtherisk-freeinterestrateisstill10%.Whataretheforwardpriceandthevalueoftheforwardcontract?Theforwardprice,，Theini

7、tialvalueoftheforwardcontractiszero.(a)ThedeliverypriceKinthecontractis$44.21.Thevalueoftheforwardcontractaftersixmonthsisgiven:Theforwardprice,七Consideraportfoliothatisdeltaneutral,withagammaof-5,000andavegaof-8,000.Supposethatatradedoptionhasagammaof0.5,avegaof2.0,andadeltaof0.

8、6.Anothertradedoptionwithagammaof0.8,ave