金融衍生工具
劳兰珺 老师
Due 2025/9/24
CH1 Introduction
1
1) Answer the following questions:
a) Explain carefully the difference between hedging, speculation, and arbitrage.
b)What is the difference between the over-the-counter (OTC) market and the exchange-traded
market? What are the bid and offer quotes of a market maker in the over-the-counter market?
c) “Options and futures are zero-sum games.” What do you think is meant by this statement?
2
2) The price of gold is currently $600 per ounce. The forward price for delivery in one year is
$800. An arbitrageur can borrow money at 10% per annum. What should the arbitrageur do?
Assume that the cost of storing gold is zero and that gold provides no income.
CH2 Mechanics of Futures Markets
1
1) Answer the following questions:
a) Distinguish between the terms open interest and trading volume.
Distinguish between the terms open interest and trading volume.
b) What does a stop order to sell at $2 mean? When might it be used? What does a limit order
to sell at $2 mean? When might it be used? What does a stop-limit order to sell at 20.30 with
a limit of 20.10 mean?
2
2) A trader buys two July futures contracts on frozen orange juice. Each contract is for the
delivery of 15,000 pounds. The current futures price is 160 cents per pound, the initial margin
is $6,000 per contract, and the maintenance margin is $4,500 per contract. What price change
would lead to a margin call? Under what circumstances could $2,000 be withdrawn from the
margin account?