Midterm Exam on Options Markets
(FIN9891, EMSF Trimester 2, 2012)
Liuren Wu
Please remove everything from your desk, except one page (two sides) of notes, a calculator
(without phone or internet connection), and some blank white paper.
You get partial cre
Midterm Exam on Options Markets
(FIN9891, EMSF Trimester 2, 2012)
Liuren Wu
1. You plan to make a market on a forward contract on a non-dividend paying stock. The stock
can be bought and sold easily without transaction cost at its current market price of
Forward and Futures: Summary and Exercises
Liuren Wu
Forward payoff: If you long a forward on an asset with a delivery price K, and the underlying spot price
of the asset at expiry (time T ), then the payoff you have from this investment is (ST K ). If yo
1. Forward and Futures
Liuren Wu
We consider only one underlying risky security (it can be a stock or exchange rate), and we use S to
denote its price, with S0 being its current price (known) and ST being its price at time T (unknown). Also,
ignore bid-as
2. Option denitions, payoffs, and boundaries
Liuren Wu
We consider one underlying risky security (it can be a stock or exchange rate), and we use S to denote
its price, with S0 = 100 being its current price and ST being its future price at time T . Ignore
3. Option strategies
Liuren Wu
We consider one underlying risky security (it can be a stock or exchange rate), and we use S to denote
its price, with S0 = 100 being its current price and ST being its future price at time T . Ignore bid-ask spread
and tran
4. Binomial tree
Liuren Wu
(A) 110
(D) 105
PP
P
P
(F) St = 100 PPP
(B) 100
P
(E) 95 PPP
P
(C) 90
Consider the above two-step binomial tree, with each step being three months, t = 0.25. The stock price
is shown on the tree. The continuously compounding in
Exhibit 15.15: DeskJet Demand Data from Europe
Europe Options
A
AB
AU
AA
AQ
AY
TOTAL
A
Beginning Inventory
Safety Stock
Quantity Requirement
Ending Inventory
A
Beginning Inventory
Safety Stock
Quantity Requirement
Ending Inventory
Lead Time
Manufacturing
Office Equation Objects
This file contains the major equations for EMGT 6100. Feel free to copy and paste these equations into
your homework to indicate what equation you are using in solving the homework problem.
Chapter 6
Sample Mean 6-1
n
xi
x= i=1
n