06期权期货试卷A卷.docVIP

华中科技大学文华学院 2008-2009学年第二学期《期权期货》期末考试试卷A卷 课程性质：必修 使用范围：本科 考试时间：2009年5月5日 考试方式：闭卷 学号______专业_______班级_______学生姓名_______成绩________ Describe the profit from the following portfolio: a long forward contract on an asset and a long European put option on the asset with the same maturity as the forward contract and a strike price that is equal to the forward price of the asset at the time the portfolio is set up. 6 Suppose that the risk-free interest rate is 10% per annum with continuous compounding and that the dividend yield on a stock index is 4% per annum. The index is standing at 400，and the fut