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Hóa Lý 1 (Đại học Tôn Đức Thắng)
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Question 01: A one-year call option on a stock with a strike price of $30 costs $3; a one-year put
option on the stock with a strike price of $30 costs $4. Suppose that a trader buys two call options
and one put option. The breakeven stock price above (below) which the trader makes a profit is?
Question 02: On March 1 a commodity's spot price is $60 and its August futures price is $59. On July
1 the spot price is $64 and the August futures price is $63.50. A company entered into futures
contracts on March 1 to hedge its purchase of the commodity on July 1. It closed out its position on
July 1. What is the effective price (after taking account of hedging) paid by the company?
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Question 03: On March 1 the price of a commodity is $985 and the December futures price is
$1,013. On November 1 the price is $980 and the December futures price is $981. A producer of the
commodity entered into a December futures contracts on March 1 to hedge the sale of the
commodity on November 1. It closed out its position on November 1. What is the effective price
(after taking account of hedging) received by the company for the commodity?
Question 04: The spot price of an investment asset is $40 and the risk-free rate for all maturities is
10% with continuous compounding. The asset provides an income of $3 at the end of the second
year and $4 at the end of the third year. What is the four-year forward price?
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Question 05: The spot price of an investment asset is $55 and the risk-free rate for all maturities is
7% with continuous compounding.The asset provides an income of $5 at the end of the second year
and $7 at the end of the third year. What is the five-year forward
price?
Question 06: A speculator can choose between buying 100 shares of a stock for $40 per share and
buying 1000 European call options on the stock with a strike price of $45 for $4 per option. For
second alternative to give a better outcome at the option maturity, the stock price must be above ?
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Question 07: The price of a stock on February 1 is $48. A trader sells 200 put options on the stock
with a strike price of $40 when the option price is $2. The options are exercised when the stock price
is $39. The trader's net profit or loss is?
Question 08: An investor sells (buys) a futures contract an asset when the futures price is $1,400.
Each contract is on 100 units of the asset. The contract is closed out when the futures price is $1,450.
What is profit?
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Question 09: A company enters into a short (long) futures contract to sell 50,000 units of a
commodity for 70 cents per unit. The initial margin is $4,000 and the maintenance margin is $3,000.
What is the futures price per unit above which there will be a margin call?
Question 10: A short forward contract that was negotiated some time ago will expire in three
months and has a delivery price of $40.
The current forward price for three-month forward contract is $42.
The three month risk-free interest rate (with continuous compounding) is 8%. What is the value of
the short forward contract?
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Question 11: At the end of one day a clearing house member is long 100 contracts, and the
settlement price is $50,000 per contract. The original margin is $2,000 per contract. On the following
day the member becomes responsible for clearing an additional 20 long contracts, entered into at a
price of $51,000 per contract. The settlement price at the end of this day is $50,200. How much does
the member have to add to its margin account with the exchange clearing house?
Question 12: Suppose that the standard deviation of quarterly changes in the prices of a commodity
is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81,
and the coefficient of correlation between the two changes is 0.8. What is the optimal hedge ratio
for a three-month contract? What does it mean?
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Question 13: A company has a $20 million portfolio with a beta of 1.2. It would like to use futures
contracts on a stock index to hedge its risk. The index futures is currently standing at 1080, and each
contract is for delivery of $250 times the index. What is the hedge that minimizes risk?
What should the company do if it wants to reduce the beta of the portfolio to 0.6?
Question 14: John can buy 1 European Put options: 100 stocks with a strike price of $100/ stock and
$5 per stock for cost of option.
a. How much is the breakeven stock price?
b. At the maturity date, how much must stock price be that can make profit for Peter?
c. At the maturity date, stock price is $110 (case 1) or 90$ (case 2), what should John do in this case?
Calculate real loss or profit for each case?
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Question 15: An investor enters into a short forward contract to sell 100,000 British pounds for U.S.
dollars at an exchange rate of
1.5000 U.S. dollars per pound. How much does the investor gain or lose if the exchange rate at the
end of the contract is (a) 1.4900 and (b) 1.5200?
Một nhà đầu tư ký kết hợp đồng tiền đạo ngắn để bán 100.000 bảng Anh cho đô la Mỹ với tỷ giá hối
đoái
1,5000 đô la Mỹ mỗi pound. Nhà đầu tư tăng hoặc mất bao nhiêu nếu tỷ giá hối đoái vào cuối hợp
đồng là (a) 1.4900 và (b) 1.5200?
Question 16: A trader enters into a short cotton futures contract when the futures price is 50 cents
per pound. The contract is for the delivery of 50,000 pounds. How much does the trader gain or lose
if the cotton price at the end of the contract is (a) 48.20 cents per pound; (b) 51.30 cents per pound?
Một thương nhân tham gia vào một hợp đồng tương lai cotton ngắn khi giá tương lai là 50 xu mỗi
pound. Hợp đồng là để giao 50.000 bảng. Các nhà giao dịch tăng hoặc mất bao nhiêu nếu giá bông
vào cuối hợp đồng là (a) 48,20 cent mỗi pound; (b) 51,30 cent mỗi pound?
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Question 17:
• Explain carefully the difference between selling a call option and buying a put option.
• What is the difference between a long forward position and a short forward position?
• Explain carefully the difference between hedging, speculation, and arbitrage.
• What is the difference between entering into a long forward contract when the forward price is $50
and taking a long position in a call option with a strike price of $50?
• Suppose that a March call option to buy a share for $50 costs $2.50 and is held until March. Under
what circumstances will the holder of the option make a profit? Under what circumstances will the
option be exercised? Draw a diagram showing how the profit on a long position in the option
depends on the stock price at the maturity of the option.
• What are the most important aspects of the design of a new futures contract?
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Question 18:
• Show that, if the futures price of a commodity is greater than the spot price during the delivery
period, then there is an arbitrage opportunity. Does an arbitrage opportunity exist if the futures price
is less than the spot price? Explain your answer.
• Suppose that a June put option to sell a share for $60 costs $4 and is held until June. Under what
circumstances will the seller of the option (i.e., the party with a short position) make a profit? Under
what circumstances will the option be exercised? Draw a diagram showing how the profit from a
short position in the option depends on the stock price at the maturity of the option.
• Under what circumstances does a minimum-variance hedge portfolio lead to no hedging at all?
• Give three reasons why the treasurer of a company might not hedge the company's exposure to a
particular risk.
• Under what circumstances are (a) a short hedge and (b) a long hedge appropriate?
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Question 19:
• Explain what is meant by a perfect hedge. Does a perfect hedge always lead to a better outcome
than an imperfect hedge? Explain your answer.
• Distinguish between the terms open interest and trading volume.
• Explain how margin accounts protect futures traders against the possibility of default.
Bài giải :
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