SECOND CITY OPTIONS CASE
Derivative Security Markets
Instructions: In this case analysis, you will need to be able to calculate the Black-Scholes model,
the historical volatility, implied volatilities, and analyze option strategies. The Black-Scholes mode
I.
Multiple Choice Questions: (14 points)
1. Whats the value of an American put option using the two-period binomial option
p ricing model? The parameters are S=62, X=65, r=0.08,u=1.10, and d=0.95. No
d ividend. (7 points)
A. 0.58
B. 1.16
C. 3
D. 2.25
2.
Yield-curves, zero spot rates, forward rates, and
note: can change the values in 'RED': zero spot rates [ACRs], and the fixed-rate coupon bond param
Zero spot yield curve for time 't' maturities
Time 't' :
Spot zero Rate: [ACR]
0.0
Spot Rate: [APR2]
Spot
DerivaGem - Version 2.01
For Excel 2000 and more recent versions of Excel
This is the Options Calculator Software that has been designed to
accompany John Hull's texts:
"Options, Futures and Other Derivatives" 8/E
"Fundamentals of Futures and Options Mark
EXAMPLE SPREADSHEET - Trading Game
FINA 4320
Austin Wen
SPRING 2011
David Woolridge
Josh Golub
Current
Portfolio
Market
Market Value
Date:
Value
Cash Position Value Long Short
1/24/2011 $1,000,000.00 $1,000,000.00
$0.00
$0.00
1/28/2011 $954,205.41
$833,29
Derivative Security Markets
FINA 4320/6320
Derivatives Trading Game - Spring 2011
Initial Trading: Monday, January 24
Ending Date: Friday, April 22
Report Due Date: Thursday, April 28
I nst ructions: Each group will be assigned an account on StockTrak fro
FINA 4320/6320
Derivatives Security Markets
Practice Exam Questions for Second Exam
Covering topics in Chapters 5 to 8
Instructions: You will be given the following equations and the cumulative normal probability
table for the upcoming exam.
C = S0 N (d1
E xam 3 (FINA 4320/6320)
Dec 2, 2010, 5-6pm (60 min)
I.
Multiple Choice Questions: (21 points)
1. Assume that there is a forward market for a commodity. The forward price of the
commodity is $47. The contract expires in one year. The r isk-free rate is 10
Exam 2 (FINA 4320/6320)
In class (60 min)
I.
Multiple Choice Questions: (14 points)
1. Buy 100 shares of stock and buy one August 165 put contract. Hold the position until expiration.
Stock price is 165.5 and put price is 4.5. Determine the breakeven stoc
Team 4320fin Group
Austin Wen, David Woolridge, and Josh Golup
Dr. Wu
FINA4320
April 28th, 2011
Stock-trak Report
I.
Overview
Throughout fourteen weeks of trading, we started with one million dollars cash,
and ends with a little over four hundred thousand
HOMEWORK #3
Jie Song
ID: 811998875
A) (1) Q: Are the Eurodollar futures prices broadly consistent with the current treasury yield
curve? Go online and collect the prices/yields on treasuries, calculate the implied forward yields,
and plot and tabulate the