期货与期权

Chapter 1-3 March 29

Chapter 4-6 April 19

Chapter 7-9 May 17

Chapter 1 Introduction

1.2 Explain carefully the difference between hedging, speculation, and arbitrage.

1.27 The current price of a stock is $94, and 3-month European call options with a strike

price of $95 currently sell for $4.70. An investor who feels that the price of the stock will

increase is trying to decide between buying 100 shares and buying 2,000 call options (=20 contracts). Both strategies involve an investment of $9,400. What advice would you give?

How high does the stock price have to rise for the option strategy to be more profitable?

Chapter 2 Mechanics of futures market

2.15 At the end of one day a clearinghouse 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 clearinghouse?

2.24 A cattle farmer expects to have 120,000 pounds of live cattle to sell in 3 months. The

live cattle futures contract on the Chicago Mercantile Exchange is for the delivery of 40,000 pounds of cattle. How can the farmer use the contract for hedging? From the farmer ’s viewpoint, what are the pros and cons of hedging?

Chapter 3 Hedging strategies using futures

3.5 Give three reasons why the treasurer of a company might not hedge the company ’s exposure to a particular risk.

3.24 It is July 16. A company has a portfolio of stocks worth $100 million. The beta of the

portfolio is 1.2. The company would like to use the CME December futures contract on the

S&P 500 to change the beta of the portfolio to 0.5 during the period July 16 to November

16. The index futures price is currently 1,000, and each contract is on $250 times the index.

(a) What position should the company take?

(b) Suppose that the company changes its mind and decides to increase the beta of the

portfolio from 1.2 to 1.5. What position in futures contracts should it take?

Chapter 4 Interest rate

4.26 The 6-month, 12-month, 18-month, and 24-month zero rates are 4%, 4.5%, 4.75%, and 5%, with semiannual compounding. What is the 2-year par yield? What is the yield on a 2-year bond that pays a coupon equal to the par yield?

4.28 Portfolio A consists of a 1-year zero-coupon bond with a face value of $2,000and a