[試題] 101下 石百達 財務工程入門 小考2
課程性質︰系選修
課程教師︰石百達
開課學院：管理學院
開課系所︰財務金融學系
考試日期（年月日）︰2013/05/24
考試時限（分鐘）：1hr, 點名用
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
1.(10%)Proof: put-call parity for futures option (without paying dividend)
2.(10%)Suppose that a one-year futures price is now 35. A one-year European
call option and a one-year European put option on the futures with a strike
price of 34 are both priced at 2 in the market. The risk-free rate is 10% per
annum. Identify an arbitrage opportunity.
3.(20%)Consider a two-month call futures option with a strike price of 40 when
the risk-free rate is 10% per annum. The current futures price is 47. What
is the lower bound of the value of the futures option if it is
(a) European and (b) American?
4.(10%)Suppose you buy a put option contract on October gold futures with a
strike price of $700 per ounce. Each contract is for the delivery of 100
ounce. What happens if you exercise when the October future priceis $680?
5.(10%)Show that a European call option on a currency has the same price as the
corresponding European put option on the currency when the forward price
equals the strike price.
6.(10%)Derive the put-call parity for the European option on currency.
7.(20%)A foreign currency is currently worth $1.50. The domestic and foreign
risk-free rates are 5% and 9%, respectively. Calculate a lower bound for the
value of a six-month call option on the currency with a strike price of $1.40
if it is (a) European and (b) American?
8.(10%)Can an option on the yen-euro exchange rate be created from two options,
one on the dollar-euro exchange rate, and the other dollar-yen exchange rate?
Explain your answer.
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.217.22
→
06/22 23:54, , 1F
06/22 23:54, 1F