ACCOUNTING
questions4.pdf

# questions4.pdf - BFF2751 Derivatives 1 Tutorial 4 Reference...

• 8

This preview shows pages 1–3. Sign up to view the full content.

BFF2751 Derivatives 1 Philip Gray 2017 1 BFF2751 Derivatives 1 Tutorial 4 Reference Material Lecture 4 (class notes) Hull Chapter 1 Hull Chapter 9 Section 1.5 Section 9.1 Section 9.2 Section 9.3 Section 9.4 Additional References (all from ASX website) ASX: Understanding Options Trading ASX: Options – A simple guide ASX: Index Options ASX: Option strategies – 26 proven option strategies There are many other useful brochures available at:

This preview has intentionally blurred sections. Sign up to view the full version.

BFF2751 Derivatives 1 Philip Gray 2017 2 Tutorial Questions Question 1 (*) For each of the following cases, calculate (i) the cashflow paid or received today on entering the position, (ii) the gross payoff at expiry, and (iii) the net payoff from your option trading (i.e., i + ii). All options are European style and cover 100 shares in the underlying asset. a) For a premium of \$2.30, you purchase a long call option with a strike price of \$6. At expiry, the share price is \$7.80. b) For a premium of \$0.80, you purchase a long call option with a strike price of \$9. At expiry, the share price is \$7.90. c) You write (i.e., short) a call option with an exercise price of \$5. The option premium is \$0.70. The share price at expiry is \$5.40. d) You short a call option with an exercise price of \$5. The option premium is \$0.70. The share price at expiry is \$4.90. e) You buy a long put option with strike price of \$10 for a premium of \$1.20. At expiry, the share price is \$8.50.
This is the end of the preview. Sign up to access the rest of the document.
• Spring '16

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern