华东师范大学：《金融工程》英文版 第一二章部分习题答案

部分习题答案 第一章 (a) The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0074 per yen. The gain is 100 x00006 millions of dollars or $60,000 (b) The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0091 per yen. The loss is 100 x00011 millions of dollars or $110,000 you could buy 5,000 put options(or 50 contracts)with a strike price of $25 and an expiration date in 4 months. This provides a type of insurance If at the end of 4 months the stock price proves to be less than $25 you can exercise the options and sell the shares for $25 each the cost of this strategy is the price you pay for the put options 1.17 The trader receives an inf low of $2 in May. Since the option is xercised, the trader also has an outflow $5 in September the $2 is the cash received from sale of the option. The $5 is the result of buying the stock for %25 in September and selling it to the purchaser of the option for $20

部分习题答案 第一章 1.5 (a) The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0074 per yen. The gain is 100×0.0006 millions of dollars or $60,000. (b) The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0091 per yen. The loss is 100× 0.0011 millions of dollars or $110,000. 1.6 You could buy 5,000 put options (or 50 contracts) with a strike price of $25 and an expiration date in 4 months. This provides a type of insurance. If at the end of 4 months the stock price proves to be less than $25 you can exercise the options and sell the shares for $25 each. The cost of this strategy is the price you pay for the put options. 1.17 The trader receives an inflow of $2 in May. Since the option is exercised, the trader also has an outflow $5 in September. The $2 is the cash received from sale of the option. The $5 is the result of buying the stock for %25 in September and selling it to the purchaser of the option for $20

120 The company could enter into a long forward contract to buy 1 million Canadian dollars in six months. This would have the effect of locking in an exchange rate equal to the current forward exchange rate. Alternatively the company could buy a call option giving it the right(but not the obligation) to purchase 1 million Canadian dollar at a certain exchange rate in four months. this would provide insurance against a strong canadian dollar in four months while still allowing the company to benefit from a weak Canadian dollar at that time The arbitrageur could borrow money to buy 100 ounces of gold today and short futures contracts on 100 ounces of gold for delivery in one year This means that gold is purchased for $500 per ounce and sold for $700 per ounce. The return(%40% per annum)is far greater that the 10% cost of the borrowed funds. This is such a profitable opportunity that the arbitrageur should buy as many ounces of gold as possible and short futures contracts on the same number of ounces. Unfortunately arbitrage opportunities as profitable as this rarely arise in practice

1.20 The company could enter into a long forward contract to buy 1 million Canadian dollars in six months. This would have the effect of locking in an exchange rate equal to the current forward exchange rate. Alternatively the company could buy a call option giving it the right (but not the obligation) to purchase 1 million Canadian dollar at a certain exchange rate in four months. This would provide insurance against a strong Canadian dollar in four months while still allowing the company to benefit from a weak Canadian dollar at that time. 1.21 The arbitrageur could borrow money to buy 100 ounces of gold today and short futures contracts on 100 ounces of gold for delivery in one year. This means that gold is purchased for $500 per ounce and sold for $700 per ounce. The return (%40% per annum) is far greater that the 10% cost of the borrowed funds. This is such a profitable opportunity that the arbitrageur should buy as many ounces of gold as possible and short futures contracts on the same number of ounces. Unfortunately arbitrage opportunities as profitable as this rarely arise in practice

第二章 A short hedge is appropriate when a company owns an asset and expects to sell it in the future. a long hedge is appropriate when a company knows it will have to purchase an asset in the future. It can also be used to offset the risk from an existing short position 2.l0 There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases by 1000/5000=$0.20. The price of silver must therefore rise to %65.40 per ounce for there be a margin call. If the margin call is not met, the position is closed out 12 There is a margin call if $1, 500 is lost on one contract. This happens if the futures price of frozen orange juice falls by 10 cents to 150 cents per lb. $2, 000 can be withdrawn from the margin account if the value of one contract rises by $1,000. This will happen if the futures price rises by 6.67 cents to 166.67 cents per lb 2.14 The optimal hedge ration is 0.8×065 0.81 =0.642 This means that the size of the futures position should be 64. 2% of the

第二章 2.6 A short hedge is appropriate when a company owns an asset and expects to sell it in the future. A long hedge is appropriate when a company knows it will have to purchase an asset in the future. It can also be used to offset the risk from an existing short position. 2.10 There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases by 1000/5000=$0.20. The price of silver must therefore rise to %5.40 per ounce for there be a margin call. If the margin call is not met, the position is closed out. 2.12 There is a margin call if $1,500 is lost on one contract. This happens if the futures price of frozen orange juice falls by 10 cents to 150 cents per lb. $2,000 can be withdrawn from the margin account if the value of one contract rises by $1,000. This will happen if the futures price rises by 6.67 cents to 166.67 cents per lb. 2.14 The optimal hedge ration is 0.65 0.8 0.642 0.81 × = This means that the size of the futures position should be 64.2% of the

size of the company' s exposure in a 3-month hedo 2.19 A good rule of thumb is to choose a futures contract that has a delivery month as closed as possible to, but later that, the month containing the expiration of the hedge. the contracts that should be used are therefore (a)July (b)September (c) March

size of the company’s exposure in a 3-month hedge. 2.19 A good rule of thumb is to choose a futures contract that has a delivery month as closed as possible to, but later that, the month containing the expiration of the hedge. The contracts that should be used are therefore (a) July (b) September (c) March