FINA7350
HW 2
ANS
Q1.
You invest $10,000 and will receive $11,000 in exactly one year.
Calculate the percentage annual return with:
1.1
11,000 = 10,000[1 + R].
R = .01
1.2
11,000 = 10,000[1+ R2/2]2
R2
FINA7350
p1/5
HW 3. Due TH FEB 13 in class.
Problems 1 4 are based on the prices in the table in slide 28 CH 9. All
analyses of
cash flows in the tables are per share. there is one share in every Opti
FINA7350
3
HW 2.
Due in class JAN 30
p.1 of
Q1.
You invest $10,000 and will receive $11,000 in exactly one year.
Calculate the percentage annual return with:
1.1 annual compounding
1.2 semiannual comp
FINA7350
HW 5.
Due: TH MAR20
p1/2
Observe the following options prices for February 26, 2006:
Call
Call
Call
Put
Put
Put
S
K
MAR
APR
JUL
MAR
APR
JUL
29.5
0
25.00
4.88
5.30
7.00
.44
1.00
2.08
29.5
0
27
FINA7350
HW3.
ANS
Q1.
1.1 Use a table of cash flows to show the complete analysis of the following
strategy:
Write one at-the money, JAN 09 call and short sell one share of IBM.
Strategy
ICF
At JAN 09
FINA7350
HW 5.
Due: TH MAR20
p1/2
Observe the following options prices for February 26, 2006:
Call
Call
Call
Put
Put
Put
S
K
MAR
APR
JUL
MAR
APR
JUL
29.5
0
25.00
4.88
5.30
7.00
.44
1.00
2.08
29.5
0
27
FINA7350
Hw No. 5.
ANS.
Q1.
strategy
ICF
AT
APRIL
ST < 25
25<ST
<35
ST >35
ST - 35
Long APR 35
call
-.81
0
0
Long APR 25
put
-1.0
25 - ST
0
Total
1.81
EXPIRATION
P/L
25 - ST
23.19 - ST
0
0
ST - 35
-1.
FINA7350
HW. 7.
Due TH APR 10
p1/2
In all Q1 Q4 below, the options are CBOE options. Fractions of options and shares may occur.
The annual risk-free rates are with continuous compounding. Use DERIVAGE
FINA7350
Hw No. 6.
Due: TH APR 3.
The following data are market prices on a given day:
calls
calls
calls
Stock strike
JUL
AUG
OCT
puts
JUL
puts
AUG
$165
$155
$10.5
$11.75
$14
$.1875
$1.25
$165
$160
$6
FINA7350
Hw No. 5.
ANS.
Q1.
strategy
ICF
AT
APRIL
ST < 25
25<ST
<35
ST >35
ST - 35
Long APR 35
call
-.81
0
0
Long APR 25
put
-1.0
25 - ST
0
Total
1.81
EXPIRATION
P/L
25 - ST
23.19 - ST
0
0
ST - 35
-1.
FINA7350
17
HW No. 8.
Q1.
18.14
Q2.
18.24
problem.
Q3.
Q4.
25.1
25.5
Q5.
25.7
Q6.
25.17
Q7.
25.22
Due: TH
APR
Disregard the last two lines of the
p2 of 2
Q6. An American exporter agreed to sell to an
FINA7350
HW 6
ANS
Q1. Given: S = 165; T t = 163/365 = .4466yrs; VOL = .21; r = ln(1.0571) = .0555, using
DerivaGem,
the Greeks of the puts are as follows:
Greeks
K = 160
K = 165
K = 170
Puts
Butterfly
FINA7350
class.
HW 4.
Due: TH FEB 20 in
Study
CHs 11 and 10 in the book and all the strategies that we covered
in class.
Q1.
11.22. in every part, show the table
of cash flows and
P/L at expiration; a
FINA7350
EXAM II
SPRING 2014
- ANS.
Q1.
1.1
For an annual rate of 12% with monthly compounding, calculate the
equivalent annual rate with:
1.1.1 Annual compounding.
1 + R1 = [1 + .12/12]12 R1 = [1.01]
Exam II
FINA7350
SAT MAR 22
12:00
SPRING2014
ROOM MH213
9:30
You are allowed two(2) pages (4 sides) of your notes and a calculator.
Cellular phones or other electronic devices are prohibited in the e
Exam III
FINA7350
SPRING2014
TH APR 24 IN CLASS
6:00 9:00
You are allowed two(2) pages (4 sides) of your notes and a calculator.
No cellular phones or other electronic devices are allowed in the exam
Mechanics of
Options Markets
Chapter 9
1
OPTIONS
ARE
CONTRACTS
Two parties: Seller and buyer
A contract: Specifying the rights and
obligations of the two
parties.
An underlying asset:
a financial asse
FINA7350
EXAM II answers.
Q1.
Strateg
y
ICF
Buy 2
shares
At JAN expiration
ST< 20
20<
ST<25
ST>25
50.00
2ST
2ST
2ST
Short
20, JAN
call
6.30
0
20 - ST
20 - ST
Short
25, JAN
call
4.00
0
0
25 - ST
TOTAL
Print your name:
_
FINA7530
EXAM 2 Spring 2009
Answer all the given eight problems.
The exam ends at 12:00.
Show and explain all your calculations.
All questions and sub questions carry the
value
Q1.
FINA7531 EXAM 2
FALL 2010
Answer all seven problems. Start the answer to every question on the top of
a new page. Write only on one side of the page. Only one side of the page
will be graded. The exam
The Greek Letters
Chapter 18
1
c = SN(d1) Ker(T t)N(d2)
p = Ker)T t)N(-d2) SN(-d1)
Notationally:
c = c(S; K; T-t; r; )
p = p(S; K; T-t; r; )
Once c and p are calculated, WHAT IF
any of these variables
Options on
Stock Indices and Currencies
Chapter 16
1
The cash market
Stock indexes are not traded per se.
Several mutual funds trade portfolio
that are the index portfolio, or a
portfolio that closely
FINA7350
HW 1. Due TUE JAN23 in class
p.1/2
A. Study CH 9 in the text book.
B. Study the slides I presented in class.
The table below describes options prices for a stock MMM on AUG 19 2013. The
strik
Print Name:_
FINA7350
Third exam SPRING 2006
You must solve all the given problems.
Start the answer for every problem on the top of a new page.
Use only one side of the page.
You have three hours.
Q1
FINA7350
1.
HW1
S = 27.50.
Spring 2014
In-the-money At-the-money
Calls:
K = 20, 25
Puts:K = 30, 32.50,35
2.2.1.
Definitions:
Out-of-the-money
K = 27.50
K = 30, 32.50, 35
K = 27.50
K = 20, 25
Calls: In
FINA7350
SAT
EXAM I
FEB 22 ROOM 213
SPRING 2014
9:30 12:00
No cellular phones or other electronic devices are allowed in the
exam room except your hand calculator
Also, allowed are two pages of notes