課程名稱︰選擇權與期貨
課程性質︰選修
課程教師︰郭震坤 (期中考是郭文忠老師授課)
開課系所︰國企系
考試時間︰2004.11
試題 :
1.explain the following terms(20%)
A. basis risk
B. put-call parity
C. duration
D. comparative-advantage argument for SWAPs
2.the US dollar depreciated recently.If an electronic company will receive
a certain amount of a foreign currency in three months, what type of
appropriate derivatives shall be used for hedging? Please explain the
differences(and the advantages and disadvantages as well) between those
derivatives.(15%)
3.An investor enters into two short December Taiwan Index futures(台指期貨)
contracts. The contract size is NT$200 x Index. Now suppose that the
current future price is 5900, the initial margin is NT$105,000 per contract,
and the maintenance margin is NT$81,000 per contract. What price change
would lead to a margin call? Under what circumstances could $30,000 be
withdrawn from the margin account?(15%)
4.On November 7 an investor holds 300,000 shares of the TSMC(台積電) stock.
The market price is NT$47 per share. Suppose that the investor is
interested in hedging against movement in the market over the next month
and decides to use the Taiwan Index futures contract. The index is currently
5900. The beta of the stock is 0.8. What strategy should the investor
follow? Is the risk of his portfolio fully covered(hedged)? What strategy
do you suggest if the investor anticipates a rising trend in the following
two months and intends to change the beta of his portfolio from 0.8 to
2?(15%)
5.Suppose that November expired call options on the Taiwan Index (台指選擇權)
with strike prices 5700,5900 and 6100 cost NT$238,NT$88,and NT$18,
respectively,and a December expired call option with strike price 5900
costs NT$165. How can the options be used to create (a.) a bull spread and
(b.) a calendar spread ? Construct a table that shows the profit and payoff
for both spreads.(15%)
6.The two-month interest rates in Taiwan and US are 1% and 3% per annum,
respectively,with continuous compouding. The spot price of the US dollar is
$33. What is the futures price for a contract deliverable in three months
based on the cost-of-carry theory? Answer the same question if the
bid/ask spread of the US interest rate is considered and the deposit and
lending rates are 2.5% and 5%, respectively.(20%)
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