A2 Solutions 2016
1. The following is the prices of a stock (no dividend) over 12 months, starting
at S0 = 37:
Month
Stock price
0
37
1
40
2
36
3
51
4
49
5
40
6
39
7
43
8
48
9
51
10
54
11
48
(i) What is the stocks average monthly return, average geometric
A3 Solutions 2016
1. Consider a forward-start call option of the European style. The option
will start at time T1 and expires at time T2 > T1 . The strike price of
the option is unknown right now, but it is specied to be equal to h
times the spot price of
A1 Solutions 2016
1. The well known capital asset pricing model (CAPM) relates stocksholding period returns or risk premiums to that of the market. In this course,
we talk more often about stock prices and annualized (continuously compounded) returns and
Derivatives 2016 Assignment A1
There are 7 questions in total, equally weighted at 100=7 points
each. Every group is required to work out a typed copy of solutions
and submit the solutions in one single le (a hard copy in the class of
14 Nov and a pdf le
Derivatives 2016 Assignment A2
There are 5 questions in total, equally weighted at 20 points each.
Every group is required to work out a typed copy of solutions and
submit the solutions in one single le (a hard copy in the class of 28
Nov and a pdf le via
Derivatives 2016 Assignment A3
There are 5 questions in total, equally weighted at 20 points each.
Every group is required to work out a typed copy of solutions and
submit the solutions in one single le via the Blackboard. Please
include the names of all
Chapter 14
The Black-Scholes-Merton
Model
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
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 no
Chapter 18
The Greek Letters
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Example
A bank has sold for $300,000 a European call
option on 100,000 shares of a non-dividend
paying stock
S0 = 49, K = 50, r = 5%, = 20%,
T
Faculty of Economics and Business
Academic year 2016-2017
On the first page of this exam form you will find important information about this exam.
Please read the information below before answering any exam questions!
Exam: <Derivatives 6314M0108>
Date an
Exam Derivatives 6314M0108 2016_12_22
Part I
1. The spot price of an investment asset is $50 and the risk-free rate for all maturities is 5% with
continuous compounding. The asset provides an income of $5 at the end of the first year, at the
end of the se
Chapter 3 Hedging Strategies Using Futures
1. The basis is defined as spot minus futures. For a short hedger, suppose basis strengthens unexpectedly.
Which of the following is true (circle one)
a) The hedgers position improves.
b) The hedgers position wor
Chapter 1 Introduction
1. List three types of traders in futures, forward, and options markets
i. _ _ _ _ _ _ _ _ _ _ _
ii. _ _ _ _ _ _ _ _ _ _ _
ii. _ _ _ _ _ _ _ _ _ _ _
2. Which of the following is not true (circle one)
a) When a CBOE call option on IB
Derivatives
(Master course, ABS)
Final Exam 2013
Your Name:
Student Number:
Signature:
Part I (10 questions, 4 points each; circle one and only on choice.
No penalty for the wrong choice.)
1. The volatility of a stock price S1 one year from now equals
a.
Chapter 18: The Greek Letters
1. What does theta measure?
a) The rate of change of delta with the asset price
b) The rate of change of the portfolio value with the passage of time
c) The sensitivity of a portfolio value to interest rate changes
d) None of
Chapter 7 Swaps
1. Which of the following describes the five-year swap rate?
a) The fixed rate of interest which a swap market maker is prepared to pay in exchange for LIBOR on a 5year swap
b) The fixed rate of interest which a swap market maker is prepar
Chapter 14 The Black-Scholes-Merton Model
1. The Black-Scholes-Merton model assumes (circle one)
a) The return from the stock in a short period of time is lognormal
b) The stock price at a future time is lognormal
c) The stock price at a future time is no
Short Review1
It is worth emphasizing that conceptual understanding of the basic denitions, formulas, theoretical conclusions, predictions, and so on is key to success
in this course. Instead of memorizing the formulas, it is important that you also
compr
Dr. Krzysztof Ostaszewski, FSA, CFA, MAAA
Actuarial Program Director and Professor of Mathematics
Illinois State University, Normal, IL 61790-4520, U.S.A.
Tel. 1-309-438-7226
Fax: 1-309-438-5866
http:/www.math.ilstu.edu/krzysio
E-mail: [email protected]
V
Writing Naked Options
A naked option is an option that is not combined with an offsetting position in the
underlying stock. The initial and maintenance margin required by the CBOE for a
written naked call option is the greater of the following two calcula
Chapter 10 Properties of Stock Options
1. Which of the following are always positively related to the price of a European call option on a stock
a) The stock price
b) The strike price
c) The time to expiration
d) The volatility
e) The risk-free rate
f) Th
Chapter 5
Determination of Forward and
Futures Prices
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Consumption vs Investment Assets
Investment assets are assets held by
significant numbers of people purely for
invest
Chapter 3
Hedging Strategies Using
Futures
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Long & Short Hedges
A long futures hedge is appropriate when
you know you will purchase an asset in
the future and want to lock
Turbos
Derivatives, ABS, UvA, 2012
Course supplement by Liang Zou
10/30/2012
1
Turbo: A New Kind of Derivative Securities
5 items needed to specify a turbo:
Underlying asset (S)
Long or short?
Financial level (also called the strike level X)
Stop-loss
Quiz: Chapter 3 Hedging Strategies Using Futures
1. The basis is defined as spot minus futures. For a short hedger, suppose basis
strengthens unexpectedly. Which of the following is true (circle one)
(a) The hedgers position improves.
(b) The hedgers posi
Faculty of Economics and Business
Amsterdam Business School
Finance Group
Plantage Muidergracht 12
1018 TV Amsterdam
Course outline
Derivatives (6314M0108Y)
Master year:
Course: 2015/2016
Amount of ECs: 5
Semester: 1
Period: 2
Coordinator: Dr. Liang Zou
I
CFA Institute
Investments with Downside Insurance and the Issue of Time Diversification
Author(s): Liang Zou
Source: Financial Analysts Journal, Vol. 53, No. 4 (Jul. - Aug., 1997), pp. 73-79
Published by: CFA Institute
Stable URL: http:/www.jstor.org/stab
Chapter 2
Mechanics of Futures
Markets
Options, Futures, and Other Derivatives, 8th Edition, Copyright
John C. Hull 2012
1
Futures Contracts
Available on a wide range of assets
Exchange traded
Specifications need to be defined:
What can be delivered,
Whe
Chapter 1
Introduction
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
What is a Derivative?
A derivative is an instrument whose value
depends on, or is derived from, the value of
another asset.
Examples: futures, forwa
Chapter 9
Mechanics of Options
Markets
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
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 i