期权期货和其他衍生品 条约翰赫尔第九版 习题恢

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admin • 2019-11-05 01:45 来源:原创 EG0

  CHAPTER 1

  Introduction

  Practice Questions

  Problem 1.1.

  What is the difference between a long forward position and a short forward position?

  When a trader enters into a long forward contract, she is agreeing to buy the underlying asset

  for a certain price at a certain time in the future. When a trader enters into a short forward

  contract, she is agreeing to sell the underlying asset for a certain price at a certain time in

  the future.

  Problem 1.2.

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

  A trader is hedging when she has an exposure to the price of an asset and takes a position in a

  derivative to offset the exposure. In a speculation the trader has no exposure to offset. She is

  betting on the future movements in the price of the asset. Arbitrage involves taking a position

  in two or more different markets to lock in a profit.

  Problem 1.3.

  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?

  In the first case the trader is obligated to buy the asset for $50. (The trader does not have a

  choice.) In the second case the trader has an option to buy the asset for $50. (The trader does

  not have to exercise the option.)

  Problem 1.4.

  Explain carefully the difference between selling a call option and buying a put option.

  Selling a call option involves giving someone else the right to buy an asset from you. It gives

  you a payoff of

  ?max(S ?K?0) min(K S ?0)

  T T

  Buying a put option involves buying an option from someone else. It gives a payoff of

  max(K ?S ?0)

  T

  In both cases the pote

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