金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch11.pdfVIP

CHAPTER 11 - Hedging, Insuring, and Diversifying End-of-Chapter Problems 1. Suppose you own a grove of orange trees. The harvest is still two months away but you are concerned about price risk. You want to guarantee that you will receive $1.00 per pound in two months regardless of what the spot price is at that time. You are selling 250,000 pounds. a. Show the economics of a short transaction in the forward market if the spot price on delivery date is $0.75 per pound, $1.00 per pound, or $1.25 per pound. b . What would have happened to you if you had not entered the hedge and each scenario is equally likely? c. What is the variability of your receipts after the hedge is in place? Solution: a. The proceeds form the sale of orange juice are given by: Juice( price ):= price? 250000 The cash flow from the futures contract is given by: Futures( price ):= ( 1? price )? 250000 The total value of the position: Total( price ):= Juice( price )+ Futures() price price = Juice() price = Futures() price =Total() price = 0.75 187500.00 62500.00 250000.00 5 410× 1.00 250000.00 0.00 250000.00 Juice() price 1.25 312500.00 -62500.00 250000.00 Futures() price 5 250000 210× Total() price 0.8 0.9 1 1.1 1.2 price b. You would have had a one-third chance each of getting only $187,500 (less than expected), getting $250,000 (the same as expected) or $312,500 (more than expected). c. No variability. Receipts are always equal to $250,000. 2. Suppose in six mon