FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 3: Due date Wednesday, Nov 12, 2014
1
(a). The interest rate is higher than the rate of the forward rate agreement; therefore, the lender must pay
the borrower. If the FRA is settled on day 60, the

THE UNIVERSITY OF HONG KONG
SCHOOL OF ECONOMICS AND FINANCE
FINA0301/2322 Derivatives (2014-2015)
Tutorial 9
Problems
1. A stock price is currently $50. Over each of the next two three-month periods it is
expected to go up by 6% or down by 5%. The risk-fr

THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA0301/2322 DERIVATIVES
2014-2015
Tutorial 10 Chapter 10 & 12
Chapter 10
Question 1 (Put-call Parity)
Consider a one-period binomial model with h = 1, where S = $100, r = 0.08, = 30%,
and = 0

THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA0301A/2322A DERIVATIVES
Tutorial 1 Chapter 1 & 2 Introduction to Forwards and Options
General Information
Tutor: Mr.
E-mail: pshpang@hku.hk
PANG Siu Hin
Office: Room 1026, K.K.Leung Buildin

THE UNIVERSITY OF HONG KONG
School of Economics & Finance
2009-2010 1" Semester Examination
Economics: FINA0301 A & B
Derivatives A & B
Dr A Carverhill
9:30-11 :30a.m.
Decembers; 2009
OPEN BOOK
Only approved calculators as announced by the Examinations Se

THE UNIVERSITY OF HONG KONG
School of Economics & Finance
2011-2012 1st Semester Examination
Economics: FINA0301 A- C
Derivatives A- C
Dr A Carverhill
2:30 - 4:30p.m.
December 17, 2011
OPEN BOOK
Only approved calculators as announced by the Examinations S

The Black- Scholes Formula
Introduction to the Black-Scholes
formula
Applying the formula to other assets
Option greeks
Delta-hedging
Volatility
1 / 46
Binomial pricing
Vary the number of binomial steps (think about the
multiperiod example), x the expirat

Binomial Option Pricing
A one-period binomial tree
Two or more binomial periods
Put options
American options
Options on other assets
1 / 59
Introduction to Binomial Option Pricing
Binomial option pricing enables us to determine the price
of an option, giv

Insurance, Collars, and Other Strategies
Basic Insurance Strategies
Using options to create synthetic
forwards
Spreads and collars
Speculating on volatility
Application: equity-linked CD
1 / 38
Basic Insurance Strategies
Options can be
Used to insure lon

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 4: Due dateFriday, Nov 28, 2014
Name:
Instructions:
Read the questions carefully, write all your steps where necessary.
You dont have to computer-type the solution. However, the hand-written versi

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 4: Due date Friday, Nov 28, 2014
1.
The stock prices evolve according to the following picture:
Since we have two binomial steps, and a time to expiration of one year, h is equal to 0.5. Therefore,

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 1: Due date-Thursday, Sep 25, 2014
1.
(a). A short sale of JKI stock entails borrowing shares of JKI and selling them at the bid price. Therefore,
initially, we will receive the proceeds from the sa

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 2: Due dateMonday, Oct. 20, 2014
Name:
Instructions:
Read the questions carefully, write all your steps where necessary.
You dont have to computer-type the solution. However, the hand-written vers

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 3: Due dateWednesday Nov 12, 2014
Name:
Instructions:
Read the questions carefully, write all your steps where necessary.
You dont have to computer-type the solution. However, the hand-written ver

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 1: Due dateFriday, Sep 26, 2014
Name:
Instructions:
Read the questions carefully, write all your steps where necessary.
You dont have to computer-type the solution. However, the hand-written versi

FINA0301/FINA2322 Prof. Xu
Fall, 2014
Homework Questions 2: Due dateMonday, Oct 20, 2014
1.
(a). We plug the continuously compounded interest rate, the forward price, the initial index level, and the
time to expiration in years into the valuation formula

FINA 0301/2322B/C: Derivatives
Review questions 1, Fall, 2014
1. Which of the positions can result in the following prot diagram?
Prot
@
@
@
@
@
@
@
@
@
Stock price
@
@
(a) Buy one low-strike call, sell two high-strike calls.
(b) Buy one high-strike call,