Forwards, Futures, Options and Swaps (BADM 414514)文档.doc

Forwards, Futures, Options and Swaps (BADM 414/514) Homework Assignments – 9/14/05 Note: You should look at ALL self-test questions for all chapters! Chapter Assignment 1 None 2 1,2,5,7,8,9,10,13,14,16,18,19,20,21-31,41,42,45,47 3 2,4-9,12,13,17-20,25,26 4 1,7,9,16,19,22,23,24,27,28 + additional problems 5 5,6-8,10,11,13,14,17,18,22,24,26-28 + additional problems 6 1,3,5,7,12,14 + additional problems 7 2-5,8-10,12,17-19,22-24,31 8 1,2,4,7,8,10,11-13,15,16 9 1,3,7-9,11-15,17 10 1,2,5,6,8,10,14-17 11 1,3-6,8-10,13-17,20,22,23 12 1,3,5-7,9-11,13,14,16-18,21,22 13 3-11,13,14 15 5,7-9,14,22 17 1-3,7,9-10 Forwards, Futures, Options and Swaps (BADM 414/514) Additional Homework Problems Chapter 4 1. Suppose that put options on a stock with strike price $30 and $35 cost $4 and $7, respectively. How can the options be used to create (a) bull spread and (b) bear spread? Construct a table that shows the profit and payoff for the bull spread. 2. 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, ad $8, respectively. Explain how a butterfly spread can be created. Construct a table showing the profit for the strategy. For what range of stock prices would the butterfly spread lead to a loss? 3. A call with a strike price of $60 costs $6. A put with the same strike price and expiration date costs $4. Construct a table that shows the profit from a straddle. For what range of stock prices would the straddle lead to a loss? 4. An investor believes that there will be a big jump in a stock price but is uncertain as to the direction. Identify six different strategies the investor can follow and explain the differences among them. Chapter 5 1. A stock price is currently $50. It is known that at the end of six months it will be either $60 or 42. The risk-free interest rate is 12 percent per annum with continuous compounding. Calculate the value of a six-month European