HullOFOD9eSolutionsCh01第九版期权期货及其他衍生品课后答案

CHAPTER1IntroductionPracticeQuestionsProblem1.1.Whatisthedifferencebetweenalongforwardpositionandashortforwardposition?Whenatraderentersintoalongforwardcontract,sheisagreeingtobuytheunderlyingassetforacertainpriceatacertaintimeinthefuture.Whenatraderentersintoashortforwardcontract,sheisagreeingtoselltheunderlyingassetforacertainpriceatacertaintimeinthefuture.Problem1.2.Explaincarefullythedifferencebetweenhedging,speculation,andarbitrage.Atraderishedgingwhenshehasanexposuretothepriceofanassetandtakesapositioninaderivativetooffsettheexposure.Inaspeculationthetraderhasnoexposuretooffset.Sheisbettingonthefuturemovementsinthepriceoftheasset.Arbitrageinvolvestakingapositionintwoormoredifferentmarketstolockinaprofit.Problem1.3.Whatisthedifferencebetweenenteringintoalongforwardcontractwhentheforwardpriceis$50andtakingalongpositioninacalloptionwithastrikepriceof$50?Inthefirstcasethetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice.)Inthesecondcasethetraderhasanoptiontobuytheassetfor$50.(Thetraderdoesnothavetoexercisetheoption.)Problem1.4.Explaincarefullythedifferencebetweensellingacalloptionandbuyingaputoption.Sellingacalloptioninvolvesgivingsomeoneelsetherighttobuyanassetfromyou.Itgivesyouapayoffofmax(0)min(0)TTSKKSBuyingaputoptioninvolvesbuyinganoptionfromsomeoneelse.Itgivesapayoffofmax(0)TKSInbothcasesthepotentialpayoffisTKS.Whenyouwriteacalloption,thepayoffisnegativeorzero.(Thisisbecausethecounterpartychooseswhethertoexercise.)Whenyoubuyaputoption,thepayoffiszeroorpositive.(Thisisbecauseyouchoosewhethertoexercise.)Problem1.5.Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforUSdollarsatanexchangerateof1.5000USdollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis(a)1.4900and(b)1.5200?(a)Theinvestorisobligatedtosellpoundsfor1.5000whentheyareworth1.4900.Thegainis(1.5000−1.4900)×100,000=$1,000.(b)Theinvestorisobligatedtosellpoundsfor1.5000whentheyareworth1.5200.Thelossis(1.5200−1.5000)×100,000=$2,000Problem1.6.Atraderentersintoashortcottonfuturescontractwhenthefuturespriceis50centsperpound.Thecontractisforthedeliveryof50,000pounds.Howmuchdoesthetradergainorloseifthecottonpriceattheendofthecontractis(a)48.20centsperpound;(b)51.30centsperpound?(a)Thetradersellsfor50centsperpoundsomethingthatisworth48.20centsperpound.Gain($05000$04820)50000$900.(b)Thetradersellsfor50centsperpoundsomethingthatisworth51.30centsperpound.Loss($05130$05000)50000$650.Problem1.7.Supposethatyouwriteaputcontractwithastrikepriceof$40andanexpirationdateinthreemonths.Thecurrentstockpriceis$41andthecontractison100shares.Whathaveyoucommittedyourselfto?Howmuchcouldyougainorlose?Youhavesoldaputoption.Youhaveagreedtobuy100sharesfor$40pershareifthepartyontheothersideofthecontractchoosestoexercisetherighttosellforthisprice.Theoptionwillbeexercisedonlywhenthepriceofstockisbelow$40.Suppose,forexample,thattheoptionisexercisedwhenthepriceis$30.Youhavetobuyat$40sharesthatareworth$30;youlose$10pershare,or$1,000intotal.Iftheoptionisexercisedwhenthepriceis$20,youlose$20pershare,or$2,000intotal.Theworstthatcanhappenisthatthepriceofthestockdeclinestoalmostzeroduringthethree-monthperiod.Thishighlyunlikelyeventwouldcostyou$4,000.Inreturnforthepossiblefuturelosses,youreceivethepriceoftheoptionfromthepurchaser.Problem1.8.Whatisthedifferencebetweentheover-the-countermarketandtheexchange-tradedmarket?Whatarethebidandofferquotesofamarketmakerintheover-the-countermarket?Theover-the-countermarketisatelephone-andcomputer-linkednetworkoffinancialinstitutions,fundmanagers,andcorporatetreasurerswheretwoparticipantscanenterintoanymutuallyacceptablecontract.Anexchange-tradedmarketisamarketorganizedbyanexchangewherethecontractsthatcanbetradedhavebeendefinedbytheexchange.Whenamarketmakerquotesabidandanoffer,thebidisthepriceatwhichthemarketmakerispreparedtobuyandtheofferisthepriceatwhichthemarketmakerispreparedtosell.Problem1.9.Youwouldliketospeculateonariseinthepriceofacertainstock.Thecurrentstockpriceis$29,andathree-monthcallwithastrikeof$30costs$2.90.Youhave$5,800toinvest.Identifytwoalternativestrategies,oneinvolvinganinvestmentinthestockandtheotherinvolvinginvestmentintheoption.Whatarethepotentialgainsandlossesfromeach?Onestrategywouldbetobuy200shares.Anotherwouldbetobuy2,000options.Ifthesharepricedoeswellthesecondstrategywillgiverisetogreatergains.Forexample,ifthesharepricegoesupto$40yougain[2000($40$30)]$5800$14200fromthesecondstrategyandonly200($40$29)$2200fromthefirststrategy.However,ifthesharepricedoesbadly,thesecondstrategygivesgreaterlosses.Forexample,ifthesharepricegoesdownto$25,thefirststrategyleadstoalossof200($29$25)$800whereasthesecondstrategyleadstoalossofthewhole$5,800investment.Thisexampleshowsthatoptionscontainbuiltinleverage.Problem1.10.Supposeyouown5,000sharesthatareworth$25each.Howcanputoptionsbeusedtoprovideyouwithinsuranceagainstadeclineinthevalueofyourholdingoverthenextfourmonths?Youcouldbuy50putoptioncontracts(eachon100shares)withastrikepriceof$25an