Why is Roche seeking to acquire the 44% of Genentech if it already owns the rest? What
would be the benefits and risks to Roche from owning 100% of Genentech?
On Monday July 21, 2008, Roche made a surprise move to publicly offer to pay 89$ per
share. Roch
Chapter 9
Properties of Stock Options
LOGO
Notation
c : European call option price
p : European put option price
S0 : Stock price today
K : Strike price
T : Life of option
: Volatility of stock price
C :American Call option price
P :American Put option pr
Chapter 13
The Black-Scholes-Merton Model
LOGO
S
2
t,
The Stock Price Assumption
Consider a stock whose price is S
In a short period of time of length t, the return on
the stock is normally distributed:
where is expected return and is volatility
Applic
Practice Exercises Week 3
Problem 10.11.
A four-month European call option on a dividend-paying stock is currently selling for
$5. The stock price is $64, the strike price is $60, and a dividend of $0.80 is expected
in one month. The risk-free interest ra
MIF Derivatives
Additional exercises
Dr. Philippe Versijp, Finance group
Room M3.03
[email protected]
MIF Derivatives
Additional exercises
1/20
How to use this file
This file contains additional exercises for the MIF derivatives
course. They come fr
Practice Exercises Week 4
Problem 12.1.
A stock price is currently $40. It is known that at the end of one month it will be either
$42 or $38. The risk-free interest rate is 8% per annum with continuous
compounding. What is the value of a one-month Europe
Assignment 1 MIF Financial Derivatives 2016
Options
Assume you've landed a job specializing in index trading. You're looking at the overview of
the ETF (Exchange traded fund, also known as a tracker) on the French CAC40, which
currently trades at 4500 poi
Practice Exercises Week 5
Problem 18.22.
A banks position in options on the dollareuro exchange rate has a delta of 30,000 and a
gamma of 80, 000 . Explain how these numbers can be interpreted. The exchange rate
(dollars per euro) is 0.90. What position w
Assignment 3 MIF Financial Derivatives 2016
Greeks & Option strategies
Remember the trading strategy based on the French CAC40 index from assignment 1? (see
the pay-off pattern below) Suppose you implement this strategy with call options, which
have 6 mon
Assignment 1 MIF Financial Derivatives 2016
Options
Assume you've landed a job specializing in index trading. You're looking at the overview of
the ETF (Exchange traded fund, also known as a tracker) on the French CAC40, which
currently trades at 4500 poi
Assignment 2 MIF Financial Derivatives 2016
Option valuation: Black-Scholes
a. Suppose you have the following data:
A call option on a non-dividend paying stock, that currently trades at $80. X = $ 75. The riskfree interest rate is 1% per year. The yield
Tutorial Exercises Week 2
Problem 3.7.
A company has a $20 million portfolio with a beta of 1.2. It would like to use futures
contracts on the S&P 500 to hedge its risk. The index futures is currently standing at
1080, and each contract is for delivery of
Wetenschapsleer Economie
College 5: SSK en ESK
Feedback Opdracht 1
Centrale vraag: welke vormen van positieve
wetenschap zijn er mogelijk in de economie?
Wat is positieve wetenschap?
LP = normatieve methodologie. Toepassing ervan
leidt tot positieve wete
Chapter 6
Interest Rate futures
LOGO
More about Bond
Day count conventions in U.S.
Actual/actual:T-bond
30/360:corporate, municipal
30/360
Actual/360:T-bill /360
Examples
Bond: 8% Actual/ Actual in period.
4% is earned between coupon payment date
Chapter 7
Swaps
LOGO
Nature of Swaps
A swap is an agreement to exchange
cash flows at specified future times
according to certain specified rules
An Example of a Plain Vanilla
Interest Rate Swap
An agreement by Microsoft to receive 6-month
LIBOR & pa
Faculty of Economics and Business
Academic year 2014-2015
Academic Year 2014-2015
Exam:
MIF Financial Derivatives
66MIF0049
Date and time of the exam: SAMPLE EXAM
Duration of the exam:
3 hours
Identification :
You have to identify yourself using your cert
Assignment 2 MIF Financial Derivatives 2016
Option valuation: Black-Scholes
a. Suppose you have the following data:
A call option on a non-dividend paying stock, that currently trades at $80. X = $ 75. The riskfree interest rate is 1% per year. The yield
Assignment 3 MIF Financial Derivatives 2016
Greeks & Option strategies
Remember the trading strategy based on the French CAC40 index from assignment 1? (see
the pay-off pattern below) Suppose you implement this strategy with call options, which
have 6 mon
Options
Answer a)
Strategy for the given payoff pattern would include long call, short call, long put and short put options.
Number of options
Strike price
Short call
long call
long call
Short call
Long put
Short put
Short put
Long put
Total Pay off
4000
Chapter 4
Interest Rates
LOGO
Types of Rates
Treasury rates
01
02
03
LIBOR rates
Repo rates
Treasury rates
The interest rates applicable to
borrowing by a government in its own
currency
Are often termed risk-free rates
LIBOR rates London Interbank Offer
Chapter 8
Mechanics of Options Markets
LOGO
Review of Option Types
A call is an option to buy
A put is an option to sell
A European option can be exercised only at the
end of its life
An American option can be exercised at any time
Option Positions
Long
Strategies of option trading
LOGO
categories of strategies
call
put
Spreads:
Bull spreads bear spreads box spreads butterfly
spreads calendar spreads
:
(combinations
+
strategy of single option+single stock
Writing a covered call
K
(a)
ST
-C
Chapter 5
Determination of
Forward and Futures Prices
LOGO
Consumption vs Investment Assets
vs
Investment assets are assets held by significant
numbers of people purely for investment purposes
Examples: stocks, bonds, gold, silver
Investment assets
Model of the Behavior
of Stock Prices
Chapter 12
1
Introduction
Any
variable whose value changes over
time in an uncertain way is said to follow a
stochastic process.
Discrete time vs. continuous time
A discrete-time stochastic process is one where
the
Chapter 3
Hedging Strategies Using Futures
LOGO
Long & Short Hedges
A long futures hedge is appropriate when you know
you will purchase an asset in the future and want to
lock in the price
A short futures hedge is appropriate when you
know you will sell