QF3103
Bach-10258905 U
Nguyen
I
Assignment 4
-
.
T
8
=
case
:
From
910 ,
K
to
cash
35e 10% )
=
FD
=
corresponds
1 R
I
Bo
1
I
=
900 ,
o
price
of
34
=
1
%, r
the
bond
=
$92
=
3 11 1
,
.
.
In (FR) + o T
=
,
In 1923
=
p
BIO ,
=
e
=
=
0
Kquoted
=
34
11)
.
=
0
.
,
-
923
.
664)0 36)]
.
.
307
865
=
.
0
=
0
.
.
693
(923 664/865 693) + 0 1 (512)
In
.
.
8321
-
.
.
0
.
10
%
=
00x5(865 693(0 23)
$13
63
.
=
0
.
10 s
.
=
0
quoted price
-
=
e
10
R
FBN(-di g)]
.
to
-
p
-
.
-(0) <900 (0 39)
0
d
-
121
.
900
d
TIIRN)-d2 , f)
.
3587
.
0 3507
=
.
0
$17 52
corresponds
=
dif-ob
=
6641900 +
0
=
drif
.
F
op
K
0%
507
.
:F-Bot
di f
Case 2 :
=
.
0
-
.
7505
923
.
66410 20)
.
8321
2771
12)
2
.
From
3
.
11. .
.
1
c
p
-
,
FB
from (2)
f)
p
:
=
1
p
:
=
p
,
p
p
i)
c
+
+
c
+
(k
C
+
=
+
(k
+
(
-
-
-
Nid , , 5)
FB + K
,
-
kN(da15)]
Fz) B(0 , T)
k B(0 , T)
ke
-
ri
-
p+
=
Bo
180
-
+
Bo
-
1)
I
=>
equ(1)
shown
(2)
Shown
FB) B(0 T)
-
,
Ke-rT=
p +
FBke-rT
Fg2-NT
=>
equ
,
Fis(1-N(d 15))]
,
ke-ri
Ke-r+
-
, ,
1
=
- (B10 +)
+
+
I
+
=
c
1
=
N(-d ,, f)
,
[FiN(d 5)
B(0 ,
c
=
p
2
c
=
N(d j)
-
=
·
,
B(0 , +) [K(1-N(d2 , f))
=
p
Since
FpN(-di j)] (2)
=
N/ - d2 ,
From(3)
(1)
,
B(0 , T) [RN1-d2
f)
=
Since
[Fo N(d 1, f) -KNIde 51]
B(0 , T)
=
3
&
L
100
=
Sk
For
=
0
.
Fr
25
6 1.
=
.
201
8 =
k
Caplet/RK
di
5 8%
v=
7% )
=
(Fk/DK) + YetulL
In
=
on
(0 22) (1 51)
110 0610 07)
1
+
.
.
.
.
=
0
d
For
di
=
(Ku
Floorlet
ouru
-
=
di
.
-0
In 10
=
.
0
=
.
25e
058(1 5)
0
.
25 +
=
Collar price
-
0
.
.
03
.
.
0
=
.
75
(0
050(1 51
.
06 N1 -0 507)
0
-
.
.
(0 06
10 31)
.
-
0
.
07
.
07 N(8
-
0
.
050(1
050(1 . 5)
.
.
[RkN(-d2)-FrN(d )]
,
51(0 05 10 27)
-
0 06
.
.
(0
.
=
C
=
0
.
048
-
0
.
057
=
-0
.
.
(0 23))
057
.
P
867
.
RuN(d2)]
-
0 048
=
.
622
[FuN(d )
.
.
0
0
=
.
/xe
=
- 0
=
2449
058(1 5)
.
-0
100x
=
25
.
1
0
-
25 e
=
P
0
-
.
di- on F
=
1x e
-
507
.
0010 05) +
I
-
507
5%. 7
dz
100 x
.
.
=
0
C =
0
-
=
N
J
2
009
.
19))
752))
4
.
S
=
400
CAD
&
Q
,
3
=
M
0
=
.
70
%,s
read
/
6%,
=
20 %,
=
00
VCAD-d - Pos
quanto
6
=
a
Russ
%, p
0
=
0
=
A+
=
.
0
=
06
.
4%
=
-
4
.
0
.
03
-
0
.
410
.
2) 10 06)
.
0252
1
u=
d
=
eot
!
0
=
10
=
.
20(1)
1
=
.
2214
8187
.
q-As
=
Sal
)
=
Sun =
400
full
197
And
:
400
-
Sdd
x
.
22 142
597
=
fud fdu
>
-
=
400 (0 0107 %
=
Su
1
.
=
400 (1 2214)
0
fu
e
=
97
fo
=
.
.
e
-
0
.
-
.
(0 513 x 197
=
04
O
Fearly exercise
+
(1
-
0
.
=
00 56
.
515) (0))
88 56
10 >
400 (0 0187)
fd
488 56
04/1
=
.
=
=
.
O
268 fdd
=
.
-
(d
=
=
.
=
327 48
early
exercise =
.
0
0
(0 513
.
x
97
.
10
+
(1
-
0 513)
.
(0))
=
$47 86
-