部分习题答案
第一章
1.5
(a) The trader sells 100 million yen for $0.0080 per yen when the
exchange rate is $0.0074 per yen,The gain is 100×0.0006 millions of
dollars or $60,000,
(b) The trader sells 100 million yen for $0.0080 per yen when the
exchange rate is $0.0091 per yen,The loss is 100×0.0011 millions of
dollars or $110,000,
1.6
You could buy 5,000 put options (or 50 contracts) with a strike price of
$25 and an expiration date in 4 months,This provides a type of insurance,
If at the end of 4 months the stock price proves to be less than $25 you
can exercise the options and sell the shares for $25 each,The cost of this
strategy is the price you pay for the put options,
1.17
The trader receives an inflow of $2 in May,Since the option is
exercised,the trader also has an outflow $5 in September,The $2 is the
cash received from sale of the option,The $5 is the result of buying the
stock for %25 in September and selling it to the purchaser of the option
for $20,
1.20
The company could enter into a long forward contract to buy 1 million
Canadian dollars in six months,This would have the effect of locking in an
exchange rate equal to the current forward exchange rate,Alternatively
the company could buy a call option giving it the right (but not the
obligation) to purchase 1 million Canadian dollar at a certain exchange rate
in four months,This would provide insurance against a strong Canadian
dollar in four months while still allowing the company to benefit from a
weak Canadian dollar at that time,
1.21
The arbitrageur could borrow money to buy 100 ounces of gold today
and short futures contracts on 100 ounces of gold for delivery in one year,
This means that gold is purchased for $500 per ounce and sold for $700
per ounce,The return (%40% per annum) is far greater that the 10% cost
of the borrowed funds,This is such a profitable opportunity that the
arbitrageur should buy as many ounces of gold as possible and short
futures contracts on the same number of ounces,Unfortunately arbitrage
opportunities as profitable as this rarely arise in practice,
第二章
2.6
A short hedge is appropriate when a company owns an asset and expects
to sell it in the future,A long hedge is appropriate when a company knows it
will have to purchase an asset in the future,It can also be used to offset
the risk from an existing short position,
2.10
There will be a margin call when $1,000 has been lost from the margin
account,This will occur when the price of silver increases by
1000/5000=$0.20,The price of silver must therefore rise to %5.40 per
ounce for there be a margin call,If the margin call is not met,the position
is closed out,
2.12
There is a margin call if $1,500 is lost on one contract,This happens if
the futures price of frozen orange juice falls by 10 cents to 150 cents per
lb,$2,000 can be withdrawn from the margin account if the value of one
contract rises by $1,000,This will happen if the futures price rises by
6.67 cents to 166.67 cents per lb,
2.14
The optimal hedge ration is
0.65
0.8 0.642
0.81
×=
This means that the size of the futures position should be 64.2% of the
size of the company’s exposure in a 3-month hedge,
2.19
A good rule of thumb is to choose a futures contract that has a delivery
month as closed as possible to,but later that,the month containing the
expiration of the hedge,The contracts that should be used are therefore
(a) July
(b) September
(c) March
第一章
1.5
(a) The trader sells 100 million yen for $0.0080 per yen when the
exchange rate is $0.0074 per yen,The gain is 100×0.0006 millions of
dollars or $60,000,
(b) The trader sells 100 million yen for $0.0080 per yen when the
exchange rate is $0.0091 per yen,The loss is 100×0.0011 millions of
dollars or $110,000,
1.6
You could buy 5,000 put options (or 50 contracts) with a strike price of
$25 and an expiration date in 4 months,This provides a type of insurance,
If at the end of 4 months the stock price proves to be less than $25 you
can exercise the options and sell the shares for $25 each,The cost of this
strategy is the price you pay for the put options,
1.17
The trader receives an inflow of $2 in May,Since the option is
exercised,the trader also has an outflow $5 in September,The $2 is the
cash received from sale of the option,The $5 is the result of buying the
stock for %25 in September and selling it to the purchaser of the option
for $20,
1.20
The company could enter into a long forward contract to buy 1 million
Canadian dollars in six months,This would have the effect of locking in an
exchange rate equal to the current forward exchange rate,Alternatively
the company could buy a call option giving it the right (but not the
obligation) to purchase 1 million Canadian dollar at a certain exchange rate
in four months,This would provide insurance against a strong Canadian
dollar in four months while still allowing the company to benefit from a
weak Canadian dollar at that time,
1.21
The arbitrageur could borrow money to buy 100 ounces of gold today
and short futures contracts on 100 ounces of gold for delivery in one year,
This means that gold is purchased for $500 per ounce and sold for $700
per ounce,The return (%40% per annum) is far greater that the 10% cost
of the borrowed funds,This is such a profitable opportunity that the
arbitrageur should buy as many ounces of gold as possible and short
futures contracts on the same number of ounces,Unfortunately arbitrage
opportunities as profitable as this rarely arise in practice,
第二章
2.6
A short hedge is appropriate when a company owns an asset and expects
to sell it in the future,A long hedge is appropriate when a company knows it
will have to purchase an asset in the future,It can also be used to offset
the risk from an existing short position,
2.10
There will be a margin call when $1,000 has been lost from the margin
account,This will occur when the price of silver increases by
1000/5000=$0.20,The price of silver must therefore rise to %5.40 per
ounce for there be a margin call,If the margin call is not met,the position
is closed out,
2.12
There is a margin call if $1,500 is lost on one contract,This happens if
the futures price of frozen orange juice falls by 10 cents to 150 cents per
lb,$2,000 can be withdrawn from the margin account if the value of one
contract rises by $1,000,This will happen if the futures price rises by
6.67 cents to 166.67 cents per lb,
2.14
The optimal hedge ration is
0.65
0.8 0.642
0.81
×=
This means that the size of the futures position should be 64.2% of the
size of the company’s exposure in a 3-month hedge,
2.19
A good rule of thumb is to choose a futures contract that has a delivery
month as closed as possible to,but later that,the month containing the
expiration of the hedge,The contracts that should be used are therefore
(a) July
(b) September
(c) March
