衍生工具和风险管理-im03.docVIP

CHAPTER 3: PRINCIPLES OF OPTION PRICING END-OF-CHAPTER QUESTIONS AND PROBLEMS 1. The average of the bid and ask discounts is 8.22. Discount = 8.22(68/360) = 1.5527 Price = 100 - 1.5527 = 98.4473 Yield = (100/98.4473) (365/68) - 1 = .0876 Note that even though the T-bill matured in 67 days, we must use 68 days since that is the options time to expiration. 2. This would create an arbitrage opportunity. The call would be purchased and immediately exercised. For example, suppose S0 = 44, X = 40, and the call price is $3. Then an investor would buy the call and immediately exercise it. This would cost $3 for the call and $40 for the stock. Then the stock would be immediately sold for $44, netting a risk-free profit of $1. In other words, the investor could obtain a $44 stock for $43. Since everyone would do this, it would drive the price of the call up to at least $4. If the call were European, however, immediate exercise would not be possible (unless, of course, it was the expiration day), so the European call could technically sell for less than the intrinsic value of the American call. We saw, though, that the European call has a lower bound of the stock price minus the present value of the exercise price (assuming no dividends). Since this is greater than the intrinsic value, the European call would sell for more than the intrinsic value. Then at expiration, it would sell for the intrinsic value. 3. European call: We know that its price cannot exceed S0 but must exceed Max(0, S0 - X(1+r)-T). With an infinite time to expiration, the present value of X is zero so the lower bound is S0 and, since the upper bound is S0, the call price must be S0. American call: We know that its price cannot exceed S0 but it must be at least as valuable as a European call. Thus its value must also be S0. Note that if exercised early it would be worth only S0 - X so it will never be exercised early. 4. Ordinarily the option with the longer time to expiration would sell for