期权复习题11-12.docVIP

期权复习题 1. Explanation speculators wish to take a position in the market.Either they are betting that a price will go up or they are betting that it will go down. They use derivatives to get extra leverage Hedgers are interested in reducing a risk that they already face. Arbitrage involves locking in a risk-less profit by entering simultaneously into transactions in two or more markets. A call option gives the holder the right to buy an asset by a certain date for a certain price. Put option: A put option gives the holder the right to sell an asset by a certain date for a certain price. Futures contract: It is an agreement to buy or sell an asset for a certain price at a certain time in the future. In-the-money option：it would lead to a positive cash flow to the holder if it were exercised immediately. 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 Butterfly spreads: A butterfly spread involves positions in options with three different strike prices: buying two call options with strike prices X1 and X3, and selling two call options with a strike price X2, X1 ＜ X2 ＜ X3 Factors affecting stock option pricing: stock price, strike price, risk-free interest rate, volatility, time to maturity, and dividends. Bull spreads: A bull spread can be created using two call options with the same maturity and different strike prices. The investor buys the call option with the lower strike price and shorts the call option with the higher strike price. Bull spreads can also be created by buying a put with a low strike price and selling a put with a high strike price. Bear spreads: A bear spread can be created by selling a call with one lower strike price and buying a call with another higher strike price 2. What is the difference between a long forward positio