Econ 455/655 Options and Futures
Lau
Due: 2/4/2015
Problem Set I
Instructions:
1.
Please form study group of up to 3 persons and work on the problem set. Each person
must hand in a separate handwritten copy. No Excel Spreadsheet.
2.
Show your formulas and
Econ 455/655 Options and Futures
Problem Set XII
Lau
Due: 5/6/2015
1.
A financial institution has the following portfolio of over-the-counter options on British Pound:
Type
Position
Call
-1000
0.50
2.2
Call
-500
0.80
0.6
Put
-2000
-0.40
1.3
Call
-500
0.70
Econ 455/655 Options and Futures
Problem Set XIII
1.
Lau
Due: 5/13/15
(30 points) A fund manager has a well-diversified portfolio that mirrors the performance of
the S&P500 and is worth $100 million. The value of the S&P500 is 1000 and the portfolio
manag
Econ 455/655 Options and Futures
Problem Set XI
Lau
Due: 4/29/2015
If you are going to take the summer class, please register ASAP.
1.
(30 points) Let r 10%, S $100, 20% ,
Complete the following table. (each call and put is on 100 shares of non-dividend-p
Econ 455/655 Options and Futures
Lau
Due: 4/22/2015
Problem Set X
1.
Calculate the price of a 6-month European call option on the S&P500. The strike price is
1200, the 6 month futures price of S&P500 is 1250, the risk-free interest rate is 5% per annum,
a
Econ 455/655 Options and Futures
Problem Set IX
1.
Lau
Due: 4/15/15
(20 points) A financial institution plans to offer a derivative that pays off a dollar amount
equal to ST2 at time T .
a)
Use risk-neutral valuation to show that the price of the derivati
Econ 455/655 Options and Futures
Problem Set V
1.
Lau
Due: 3/4/2015
(50 points) Let r 10%, S $100 , 6 month 110 call $6.52, 6 month 120 Call $3.67
6 month 90 put $2.64, 6 month 100 put $6.03
i)
Draw a diagram for each of the following cases. (You need to
Econ 455/655 Options and Futures
Lau
Problem Set VII
Please bring a big Blue Book to the exam.
1.
The spot price of a non-dividend-paying stock price is $100. Over the next 6-month period,
it is expected to go up by 20% or down by 20%; and over the second
Econ 455/655 Options and Futures
Lau
Problem Set IV
Due: 2/25/2015
Instructions:
1.
Please form study group of up to 3 persons and work on the problem set.
2.
No Excel spreadsheet.
3.
Show your formulas and steps clearly.
1.
A corporate client wants to de
Econ 455/655 Options and Futures
Lau
Problem Set III
Due: 2/18/2015
Instructions:
1.
Please form study group of up to 3 persons and work on the problem set.
2.
No Excel spreadsheet.
3.
Show your formulas and steps clearly.
1.
Fill out the following table.
Econ 455/655 Options and Futures
Problem Set VIII
Lau
Due: 4/8/15
1.
Use the data (in the attached spreadsheet) on AAPL and compute the volatility of the stock for
the period 01/04/2010-4/4/12. (Include printed Excel spreadsheets for the first 5 rows and
Econ 455/655 Options and Futures
Lau
Due: 3/11/15
Problem Set VI
1.
(15 points) What is the lower bound for the price of a 2-month put option on a non-dividendpaying stock when the stock price is $80, the strike price is $90, and the risk-free interest ra
Econ 455/655 Options and Futures
Problem Set II
Lau
Due: 2/11/2015
1.
Please form study group of up to 3 persons and work on the problem set. Each person
must hand in a separate handwritten copy. No Excel spreadsheet.
2.
Show your formulas and steps clear
Econ 455/655 Options and Futures
Test
Lau
3/25/2015
Instructions:
1.
The test is open-book and open-notes.
2.
Time allowed: 2 hours 45 minutes
3.
Answer the questions in the given order.
1.
Refer to the data in the attached table.
2.
a)
Suppose you long 5