2008期权试卷AA.doc

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: (2) Futures contract: (3) Lookback options : (4) risk-neutral valuation: (5) Factors Affecting stock Option Prices 2.（10%） Companies A and B have been offered the following rates per annum on $20 million five-year loan: Company A wants to borrow floating-rate loan, Company B wants to borrow fixed-rate loan. Design a swap that will net bank, acting as intermediary, 0.04% per annum in total and appear to be equally attractive to both companies 3.（10％） Suppo we have a forward on IBM stock that will expire 40days from now（365days in one year）. If the delivery price is $65, and if today’s stock price is $64.75, the risk-free interest rate is 5.5% per annum，What is the value of the contract today? 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? 5.（10％）Calculate the value of a three-month at-the-money European call option on a stock index when the index is at 250, the risk-free interest rate is 10% per annum, the volatility of the index is 18% per annum, and the dividend yield on the index is 3% per annum. 6.（15％）Calculate the price of a three-month American put option on a non-dividend-paying stock, the current stock price is $60, the strike price is $60., the risk-free rate of interest is 10% per annum, and the volatility of stock price is 45% per annum. Use a binomial tree with a time interval of one month. 7(15%) Consider a portfolio that is delta neutral, with a gamma of -5,000 and a vega of -8,000. Suppose that a traded option has a gamma