2008权试卷A答案.docVIP

中国矿业大学2007～2008学年第 2 学期 《Options, Futures and other Derivatives》试卷（A）卷 考试时间：100分钟 考试方式：闭 卷 学院 班级 姓名 学号 题号 一 二 三 四 五 六 七 八 总分 得分 阅卷人 1. Explanation（20％） (1) Derivatives: A derivative is a financial instrument whose value depends on the values of other, more basic underlying variables (2) Futures contract: It is an agreement to buy or sell an asset for a certain price at a certain time in the future. (3) Lookback options : the payoffs from lookback options depend on the maximum or minimum stock price reached during the life of the option. (4) risk-neutral valuation: Firstly, assume that the expected return from the stock price is the risk-free rate r, then calculate the expected payoff from the option, at last, discounting the expected payoff at the risk-free rate r. 4分 (5) Factors Affecting Option Prices: current stock price,S, strike price, X the time to expiration , T ,volatility of the stock price, risk-free interest rate, r , the dividends expected during the life of the option 2. Solution: Difference between the interest rates in fl –rate markets b=0.7% Difference between the interest rates in fixed –rate markets a=1.2% AAAF.I. AAA F.I. BBB 10% LIBOR LIBOR LIBOR+1% 9.93% 9.97% The swap arrangement appears to improve the position of both A and B 0.23% per annum 3.（10％）In this case, S=64.75, K=65, r=0.055, T-t=40/365=0.1096. Thus, the value of the forward is 4.（10%）Three put options on a stock have the same expiration date and strike prices of $55, $60, and $65. The market prices are $3, $5, and $8, respectively. Explain how a butterfly spread can be created. Construct a table showing the profit from the strategy. For what range of stock prices would the butterfly spread lead to a loss? An investor can create a butterfly spread by buying put options with strike prices of $55 and $65, and selling two put options with strike price of $60. The