金融工程画红圈的题目答案终极加强版.docxVIP

这是老师发的PDF习题集里画红圈的题目以及中英文题目对照及答案。祝各位过过过第一章：1.2. Explain carefully the difference between hedging, speculation, and arbitrage.1.4. Explain carefully the difference between selling a call option and buying a put option.1.11. When first issued, a stock provides funds for a company. Is the same true of a stockoption? Discuss.1.12. Explain why a futures contract can be used for either speculation or hedging.1.21. ‘‘Options and futures are zero-sum games.’’ What do you think is meant by this?1.25. Suppose that USD90-day forward 1.4556180-day forward 1.4518What opportunities are open to an arbitrageur in the following situations?(a) A 180-day European call option to buy ￡1 for $1.42 co coOn July 15, 2010, an investor owns 100 Google shares. As indicated in Table 1.3, the share price is about $497 and a December put option with a strike price $400 co The investor is comparing two alternatives to limit downside risk. The first involves buying one December put option contract with a strike price of $460. The second involves instructing a broker to sell the 100 shares as soon as Google’s price reaches $460. Discuss the advantages and disadvantages of the two strategies.2010年7月15日，某投资者拥有100股谷歌股票。如表1-3所示，股票价格为497美元，一个12月份到期，执行价格为460美元的看跌期权价格为27.30美元。该投资者试图比较两种投资方法对价格下跌风险进行控制的效果。第一种方法是买入12月份的看跌期权，执行价格为460美元。第二种方法是通过经纪人当谷歌股票下跌到460美元时，马上卖出100股股票。讨论上述两种方法的优缺点答案：第二种方案中涉及到了止损命令，它可以不用付出什么成本就能确保至少 46000 美元的收入，看跌期权同样可以确保至少 46000 美元的股票收入，区别在于期权期初需要支付每股 27.30 美元的期权费。如果在期权期限内，股票价格跌破过 460 美元，但是到期时股票价格高于 487.30 美元，则第一种方案在期限内会执行止损命令，而第二种方案会持有至到期，因此第二种方案收益更高；同样，如果股票到期价格低于 487.30 美元，由于期权要支付期权费，因此，止损方案的收益要高于购入看跌期权的方案。第四章：4.5. Suppose that zero interest rates with continuous compounding are as follo6 8.298.412 8.515 8.618 8.7Calculate forward interest rates for the second, third, fourth, fi Assuming that zero rates are as in Problem 4.5, what is the value of an FRA that enablesthe holder to earn 9.5% for a 3-month period starting in 1 year on a principal of$1,000,000? The interest rate is expressed