Quizz1Ans(3)

# Quizz1Ans(3) - Financial Risk Management Exercises Jos Da...

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Financial Risk Management Exercises. Jos´ e Da Fonseca email: [email protected] Auckland University of Technology First Name: Family Name: Id Number: Exercise I (10 marks) 1. (6 marks) We suppose that the stock today is equal to S 0 = 10. You take a long position on 2 calls. Each call has a strike of K = 11 . 5 and a maturity of T = 1. The price of one call is C = 1 . 1. You take a short position (or write) on 1 put option. The put has a strike of K = 9 . 5 and a maturity of T = 1. The price of one put is P = 0 . 9. 1. What is your global position at time T if the stocks is equal to S T = 13? (2 marks) You exercise the options so you get 2(13 - 11 . 5) = 3. The put is not exercised (your counterparty does not exercise the option), so you end with 3 - 2 * 1 . 1 | {z } price paid for the calls + 0 . 9 |{z} received for selling the put = 1 . 7 (1) 2. What is your global position at time T if the stocks is equal to S T = 11? (2 marks) You do not exercise the options so you get 0.0 from the call options. The put is not exercised (your counterparty does

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• Spring '14
• Management, 1\$, Auckland University of Technology, 1.5 year, da Fonseca

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