章節(jié)2-總復(fù)習(xí)二-講義03衍生類投資

Topic

Weightings

in

CFA

Level

ISession

NO.ContentWeightingsStudy

Session1Ethics

&

Professional

Standards15Study

Session

2-3tative

ysis12Study

Session

4-6Economics10Study

Session

7-10Financial

Reporting

and

ysis20Study

Session

11Corporate

Finance7Study

Session

12Portfolio

Management7Study

Session

13-14Equity

Investment10Study

Session

15-16Fixed

e10Study

Session

17Derivatives5Study

Session

18Alternative

Investments4154-250Derivative框架結(jié)構(gòu)Derivative概念

(R57)ForwardFuturesSwapOptionDerivative定價(jià)與估值（R58）無定價(jià)法則Forward、Futures

&

Swap二叉樹定價(jià)法則OptionRisk

Management（R59）155-250ForwardcontractIs

an

agreement

that

obligates

oneparty

to

buy

andthe

other

party

to

sellaspecific ty

of

an

underlyingasset,

at

a

set

price,

at

a

future

date約定未來特定時(shí)間以約定價(jià)格 標(biāo)的物的合約.If

the

future

price

of

the

underlying

assets

increase,

the

buyer

has

again,

and

the

sellerhas

a

loss.FuturescontractIs

a

forward

contract

that

is

standardizedand

exchange-traded.A

forward

contractAre

regulatedBacked

by

a

clearinghouseRequire

a

daily

settlement

of

gains

andlosses.SwapcontractIs

a

series

of

forward

contracts

.Forward

contractsExchange

cash

flows

on

period

settlement

datesOptioncontractThe

ownerhas

the

right,

but

not

the

obligation

to

conduct

the

transaction四種contract中只有option權(quán)利義務(wù)不對等要交

費(fèi)R.57

Derivative

Markets

andInstruments156-250R.57

Derivative

Markets

andInstruments衍生品分類方法根據(jù)合約特點(diǎn)分類Forward

commitmentContingent

claimforwardfuturesswapoption根據(jù)交易場所分類Over-the-counter

tradedforwardswapoptionCDS157-250futuresExchange-tradedoption158-250R.57

Derivative

Markets

andInstrumentsAdvantage:Price

discoveryRisk

management:

hedge

and

speculationLowering

transaction

costsLow

capital

requirementGreater

liquidityEase

of

going

shortEnhance

market

efficiencyDisadvantage:Too

risky High

leverageComplex

instrumentsSometimes

likened

to

gambling考點(diǎn)：Always

increase

risk?

No.R.57

Derivative

Markets

andInstrumentsBasic

ConceptDefinitionA

forward

contract

is

a

bilateral

contract

that

obligates

oneparty

to

buy

and

the

other

party

to

sell

a

specific ty

ofan

underlying

asset,

at

a

set

price,

on

a

specific

date

in

thefutureForward

contracts分類Commodity

forward

contract：商品遠(yuǎn)期合約Financial

forward

contract：金融遠(yuǎn)期合約Purposes

oftrading

forwardcontractsHedge

risk：套期保值，鎖定未來交易成本，但不保證一定比不實(shí)施套期保值賺錢。存在default

risk。Speculation：投機(jī)，賭未來價(jià)格的變化方向，可以舉杠桿Characteristics

ofForward

contractsEach

party

are

exposed

to

default

risk

(

or

counterparty

risk).Zero-sum

game159-250R.57

Derivative

Markets

andInstrumentsSettlementAt

expirationPhysical

settlement:

deliver

an

actual

asset，存在

成本，多用于商品遠(yuǎn)期Cash

settlement:the

party

that

has

a

position

with

negativevalue

is

obligated

to

pay

that

amount

to

the

otherparty，多用在金融遠(yuǎn)期Prior

toexpirationEntering

into

an

opposite

forward

contract:

with

anexpiration

date

equal

to

the

time

remaining

on

the

originalcontractOffsetting

with

a

different

party:

some

credit

risk

remainsOffsetting

with

the

original

party:

can

avoid

credit

risk160-250R.57

Derivative

Markets

and

Instruments—Forward???????

expiration

now90

180settlement

orLIBOR,

Euribor,

and

FRAsEurodollar

time

deposit.London

Interbank

Offer

Rate(LIBOR).Euribor

is

a

similar

rate

for

borrowing

and

lending

in

EurosA

forward

rate

agreement

(FRA)

is

a

forward

contract

onan

interest

rate(LIBOR)FRA定義：An

FRA

can

be

viewed

as

aforward

contract

to

borrow/lend

money

at

acertain

rate

at

some

future

date.The

long

position:

is

the

party

that

would

borrow

the

moneyThe

short

position:

is

theparty

that

would

lend

the

money報(bào)價(jià)：Example:3×6

FRA90-day

FRA

90-day

LIBOR161-250R.57

Derivative

Markets

and

Instruments—ForwardLos

e.

define

a

forward

rate

agreement

and

describe

its

uses;?LIBOR,

Euribor,andFRAs（續(xù)）Payoff計(jì)算注意事項(xiàng)：?T給出的利率為annualized年利率，需要月度化The

difference

in

rates

is

multiplied

by

the

notional

amount

of

thecontract.The

payment

at

settlement

is

the

present

value

of

the

interestdifference,

discounted

at

the

rate

prevailing

at

settlement.eral

formula

for

the

payment

to

the

long

at

settlement

is:notional

principalfloating

rate

at

settlement

forward

rate

days

360

1+floating

rate

at

settlement

days

360

162-250163-250R.57

Derivative

Markets

and

Instruments—Futures與forward區(qū)別:ForwardsFuturesPrivate

contractsExchange-tradedUnique

customized

contractsStandardized

contractsLittle

or

no

regulationRegulatedDefault

risk

is

presentGuaranteed

by

clearinghouseSettlement

at

maturityDaily

settlement

(mark

to

market)No

margin

deposit

requiredMargin

required

and

adjustedR.57

Derivative

Markets

and

Instruments—FuturesLos

c.

distinguish

between

margin

in

the

securities

markets

and

margin

in

thefutures

markets,

and

explain

the

role

of

initial

margin,

maintenance

margin,variation

margin,

and

settlement

in

futures

trading;Futures

contract風(fēng)險(xiǎn)控制方法方法一：Margin:Initial

margin:

Thedeposit

is

called

the

initial

margin.

Initialmargin

must

be

posted

before

any

trading

takes

place;Maintenance

margin:

If

the

margin

balance

in

the

trader's

accountfalls

below

the

maintenance

margin,

the

trader

will

get

a

margincallVariation

margin:

used

to

bring

the

margin

balance

back

up

to

theinitial

margin

level.164-250R.57

Derivative

Markets

and

Instruments—FuturesFutures

contract風(fēng)險(xiǎn)控制方法（續(xù)）Margin

（續(xù)）

:與

市場Margin的比較方法二：Daily

price

limit方法三：Daily

settlementmarginmargin目的做抵押減少違約風(fēng)險(xiǎn)借錢給你買

，舉杠桿現(xiàn)金流方向現(xiàn)金流出現(xiàn)金流入支付利息不用支付利息相當(dāng)于

給你，要付利息補(bǔ)交margin數(shù)額回到initialmargin回到maintenance

margin165-250166-250R.57Derivative

Markets

and

Instruments—SwapInterest

Rate

SwapsThe

plain

vanilla

interest

rate

swap

involves

trading

fixed

interest

ratepayments

for

floating-rate

payment

(

paying

fixed

and

receiving

floating

).Counterparties:

The

parties

involved

in

any

swap

agreement

are

calledthe

counterpartiesPay-fixed

side:

The

counterparty

that

wants

variable-rate

interestagrees

to

pay

fixed-rate

interest.Pay-floating

side:

The

counterparty

that

receives

the

fixed

paymentand

agrees

to

pay

variable-rate

interest

.R.57

Derivative

Markets

and

Instruments—OptionLos

a.

describe

call

and

put

options;BasicConceptsOption定義：An

option

gives

its

owner

the

right,

but

not

the

obligation,to

buy

or

sell

an

underlying

asset

on

or

before

a

future

date(theexpiration

date)

at

a

predetermined

price

(the

exercise

price

or

strikeprice)Call

option：Long

call

&

Short

callPut

option：Long

put

&

short

putThe

seller

or

short

position

in

an

options

contract

is

sometimesreferred

to

as

the

writer

of

the

option價(jià)格：價(jià)格：option

premium

paid

by

the

buyer

of

option;執(zhí)行價(jià)格：Strike

price

(X)

represents

the

exercise

price

specifiedin

the

contract.167-250MoneynessCall

optionPutOptionIn-the-moneyS＞XS＜XAt-the-moneyS

=

XS

=

XOut-the-moneyS＜XS＞XR.57

Derivative

Markets

and

Instruments—OptionMoneyness（價(jià)值狀態(tài)）:定性看long是否賺錢168-250?Moneyness：In

the

money:

Immediate

exercise

would

generate

a

positive

payoffAt

the

money

:

Immediate

exercise

would

generate

no

payoffOut

of

the

money

:

Immediate

exercise

would

generate

no

payoff

The

following

table

summarizes

the

moneyness

of

options

based

on

thestock's

current

price,

S,

and

the

option's

exercise

strike

price,

X.PayoffPayoffSTSTKKPayoffPayoffSTSTKKR.57

Derivative

Markets

and

Instruments—OptionIntrinsic

Value（內(nèi)在價(jià)值）

:定量看long賺169-250STSTXR.57

Derivative

Markets

and

Instruments—OptionGain/LossProfitProfitXProfitProfitSTSTXX170-250R.60

Option

Markets

and

ContractsLos.

J

Explain

the

exercisevalue,

time

value

and

moneyness

of

anoptionIntrinsic

Value（內(nèi)在價(jià)值）

:定量看long賺Intrinsic

Value:

the

amount

that

it

is

in

the

money,

and

zero

otherwiseIntrinsic

value

of

call

option:

C=max[0,

S-X]Intrinsic

value

of

put

option:

P=max[0,

X-S]Time

Value:The

difference

between

the

price

of

an

option

(called

its

premium)and

its

intrinsic

value

is

due

to

its

time

valueOption

value=intrinsic

value

+

time

value到期日之前：option

value>intrinsicvalue到期日：option

value=intrinsic

valuePrice

of

the

option

is

more

volatile

than

prices

of

underlyingstock171-250172-250R.57

Derivative

Markets

and

Instruments—OptionPut

call

parityPut

call

parity.Condition

ACondition

BCondition

CCondition

DCondition

E

Tfc

X

/

1

R

S

p

S

p或c

K

/

1

Rf

TPositions

replicating

Tfc

p

X

/

1

R

S

Tfs

c

p

X

/

1

R

Tf

p

c

S

X

/

1

R

Tfp

c

X

/

1

R

S

Tfc

p

S

X

/

1

R10.

Put

–

call

parity

for

options

on

forwards

andfuturesLos

m.

explain

put-call

forward

parity

for

European

optionsTheportfolio

(portfolio

1)

consist

of:A

call

option

on

the

forwardcontract

with

an

exercise

price

ofX

that

matures

at

time

T

on

aforward

contract

at

FT

(the

price

of

a

forward

on

the

asset

at

time

T).A

pure-discount

bond

that

pays

(X-FT)

at

time

T.The

cost

of

this

portfoliois

:Thecostof

Portfolio

1mustequal

tothe

costof

Portfolio

2.X-FT0fAn

equivalent

portfolio

(Portfolio

2)

can

be

constructed

by

combining.A

put

option

on

the

forward

contract

with

an

exercise

price

of

X.A

long

position

in

the

forwardcontract.The

cost

of

this

portfoliois

P0C

+(1+R

)TX-FT00fC

+(1+R

)T=P173-250R.57

Derivative

Markets

and

Instruments—OptionMinimum

and um

Option

Values（公式）Min

value

and

Max

value

of

options

without

dividendOptionMin

ValueMax

ValueEuropean

call－tMax[0

,

St－X/(1+Rf)T

]StAmerican

call－tMax[0

,

St－X/(1+Rf)T

]StEuropean

putMax[0

,

X/(1+Rf)T－t－S

]tX/(1+Rf)T－tAmerican

putPt

≥

Max*0

,

X－St]X174-250175-250R.57

Derivative

Markets

and

Instruments—OptionLos

o.

Explain

under

which

circumstances

the

values

of

European

and

American

option

differEarly

Exercise

of

American

OptionsAmerican

call

optionswhen

the

underlying

makes

no

cash

payments,

no

reason

to

exercisethe

call

early,

C0

=

c0,when

the

underlying

makes

cash

payments

during

the

life

of

theoption,

early

exercise

can

happen,

C0

>

=

c0American

put

optionsP0

>

p0

,

nearly

always

true,as

long

as

there

is

a

possibility

of

bankruptcy

,

P0

always

>

p0(consider

an

American

put

on

a

bankrupt

company,

stock

→0,

cannotgo

any

lower,

then

put

option

holder

may

exercise

it

)176-250FrameworkR58：Basics

of

Derivative

Pricing

and

ValuationArbitrage,

replication,

and

risk

neutralityForward

Markets

and

ContractsPrice

and

ValueFutures

Contracts

&

forward

contractsSwap

Markets

and

ContractsOption

Markets

and

ContractsBinomial

ModelR58.

Basics

of

Derivative

Pricing

and

ValuationThe

price

is

the

predetermined

price

in

the

contract

that

the

long

should

pay

tothe

short

to

buy

the

underlying

asset

at

the

settlement

dateThe

contract

value

is

zero

to

both

parties

at

initiationThe

no-arbitrage

principle:

there

should

not

be

a

riskless

profit

to

be

gained

bya

combination

of

a

forward

contract

position

with

position

in

other

asset.Two

assets

or

portfolios

with

identical

future

cash

flows,

regardless

offuture

events,

should

have

same

price——Law

of

one

priceRisk

neutralityRisk-neutral

investors

are

willing

to

buy

risky

investments

for

which

theyexpect

to

earn

only

the

risk-free

rate.

They

do

not

expect

to

earn

apremium

for

bearing

risk.The

expected

payoff

of

the

derivative

can

be

discounted

at

the

risk-freerate.

And

should

yield

the

risk-free

rate

of

return,

if

it

generates

certainpayoffs177-250178-250R58.

Pricing

and

ValuationLos

b.

distinguish

between

value

and

price

of

forward

and

futures

contractsPricing

a

forward

contract

is

the

process

of

determining

the

no-arbitrage

pricethat

will

make

the

value

of

the

contract

be

zero

to

both

sides

at

the

initiationofthe

contractFP=S0＋Carrying

Costs－Carrying

BenefitsValuation

of

a

forward

contract

means

determining

the

value

of

the

contractto

the

long

(or

the

short)

at

some

time

during

the

life

of

the

contract.Forward

Price

=

price

that

would

not

permit

profitable

riskless

arbitragein

frictionless

marketsR58.

Pricing

and

ValuationLos

c.

explain

how

the

value

and

price

of

a

forward

contract

are

determined

at

expiration,during

thelife

ofthecontract,and

at

initiation.T-bill

(zero-coupon

bond)

forwardsbuy

a

T-bill

today

at

the

spot

price

(S0)

and

short

a

T-month

T-bill

forwardcontract

at

the

forward

price

(FP)Forward

value

of

long

position

at

initiation,

during

the

contract

life,

and

atexpirationTimeForward

Contract

Valuationt=0Zero,

because

the

contract

is

priced

to

prevent

arbitraget=tVlong

St

FP(1

R

)T

tfVshort

VlongFP(1

R

)T

tf

Stt=TST-FPTFP

S0

(1

Rf

)179-250R58.

Pricing

and

Valuation

with

cost

and

benefitForward

contracts

on

a

dividend-paying

stockPrice:FP

(S0

PVD0)

(1

Rf

)TValue:f180-250(1

R

)T

tttlongFPV

S

PVD

4.4

Forward

Contracts

on

Coupon

BondsFP

(S0

PVC

0)

(1

Rf

)

Tlong181-250fFPV

(St

PVCt

)

(1

R

)T

tR58.

Pricing

and

Valuationwith

cost

and

benefit182-250Los

d.

describe

monetary

and

nonmonetary

benefits

and

costs

associated

with

holding

theunderlying

asset,

and

explain

how

they

affect

the

value

and

price

of

a

forwardcontract.183-250R58.

Futures

Pricing

and

ValuationLos

f.

explain

why

forward

and

futuresprices

differ.Prices

of

Futures

vs.

Forward

ContractsIf

the

correlationbetween

theunderlying

asset

valueand

interest

rate

is…Investors

will…PositivePrefer

to

go

long

in

a

futures

contract,

and

the

futures

pricewill

be

greaterthanthe

price

of

an

otherwise

comparableforward

contract.ZeroHave

no

preferenceNegativePrefer

to

go

long

in

a

forward

contract,

and

the

forwardprice

will

be

greater

than

the

price

of

anotherwisecomparable

futures

contract.184-250R58.

Swap

Pricing

and

ValuationLos

h.

distinguish

between

the

valueand

price

of

swaps.A

swap

contract

is

an

agreement

between

two

parties

to

exchange

a

series

offuture

cash

flows.

There

are

three

kinds

of

swaps:

interest

rate

swaps,currency

swaps

and

equity

swaps.A

plain

vanilla

swap

is

an

interest

rate

swap

in

which

one

party

pays

a

fixedrate

and

the

other

pays

a

floating

rate.

The

terms

of

the

long

and

short

arenot

used

here,

instead

we

say

the

fixed-rate

payer

and

floating-rate

(variable-rate)

payer.The

price

is

just

the

fixed

rate

(called

the

swap

rate)

that

makes

the

contractvalue

zero

to

both

parties

at

initiation.

After

some

days

the

market

situationchanges,

one

party

will

make

money

and

the

other

lose

money.

The

contractvalue

is

no

longer

zero

to

both

parties.185-250R58.

Swap

Pricing

and

ValuationEquivalence

of

swaps

to

bonds:An

interest

rate

swap

is

identical

to

issuing

a

fixed-rate

bond

and

using

the

proceeds

to

buy

a

floating-rate

bond.Equivalence

of

swaps

to

forward

contracts

(FRA):A

forward

contract

is

an

agreement

to

exchange

future

cash

flows

once,so

a

swap

can

be

viewed

as

a

series

of

forward

contracts.An

interest

rate

swap,

currency

swap

and

equity

swap

are

identical

to

aseries

of

FRAs,

currency

forwards

and

equity

forwards,

respectively.There

are,

however,

some

differences

between

swaps

and

forwards.Los

n.

Explain

how

the

value

of

an

option

is

determined

using

one-period

binomial

modelA

binomial

model

is

based

on

theideathat,

overthenextperiod,

some

valuewillchange

to

one

of

two

possible

values

(binomial).

Toconstruct

a

binomial

model,

weneed

to

know

the

beginning

asset

value,

the

size

of

the

two

possible

changes,and

theprobabilities

of

each

of

these

changes

occurring.We

start

off

by

having

only

one

binomial

period,whi eans

that

the

underlying

pricemoves

to

two

newpricesat

option

expiration.We

letS0

be

the

price

of

the

underlyingstock

now.One

period

later,

thestock

price

can

moveupto

S

+

or

down

to

S

?.

We

then1

1identify

afactor,

u,

as

the

up

move

on

the

stock

and

d

as

the

down

move.

Thus,

S

+

=S

u1

0and

S

?

=S

d.

We

further

assume

thatu

=1/d.1

0S1+

=S0uS0●●S1?

=S0dR58.

Option

Pricing

and

Valuation186-250Risk-neutral

probability

of

an

up

move

is

πu

;

Risk-neutral

probability

of

andown

move

is

πd=1-

πu;+

?

?We

start

with

a

call

option.

If

the

stock

goes

up

to

S1+

,

the

call

option

will

beworth

C1

.

If

the

stock

goes

down

to

S1

,

the

call

option

will

be

worth

C1

.

Weknow

that

the

value

of

a

call

option

will

be

its

intrinsic

value

on

expiration

date.Thus

we

get:

C1+

=

Max

(0,

S1+

?X)

;

C1?

=

Max

(0,

S1?

?X)Hedge

ratio

:

u

1

Rf

du

d1fvalue

of

an

option:

c

C

C

u

1

d

1

(1

R

)TR58.

Option

Pricing

and

ValuationC187-250

CDelta

S

(shares

per

option)S

*

There

is

an

exceptionto

t eral

rule

that

European

put

option

thetas

are

negative.The

put

value

may

increases

as

theoptionapproaches

maturity

if

the

option

is

deep

in-the-money

and

close

to

maturity.Sensitivity

FactorCallsPutsUnderlying

pricePositivelyrelatedNegatively

relatedVolatilityPositivelyrelatedPositivelyrelatedRisk-free

ratePositively

relatedNegatively

relatedTime

to

expirationPositivelyrelatedPositivelyrelated*Strike

priceNegatively

relatedPositively

relatedPayments

on

theunderlyingNegatively

relatedPositivelyrelatedCarryingcostPositivelyrelatedNegatively

relatedR58.

Option

Pricing

and

ValuationLos

k.

identify

the

factors

that

determine

the

value

of

an

option,

andexplain

how

eachfactor

affectsthe

value

of

an

option.Factors

affect

the

value

of

an

option188-250189-250ExampleMarla

Johnson

priced

both

a

put

and

a

call

on

Alpha

Numero

using

standardoption

pricing

software.

To

use

the

program,

Johnson

entered

the

strike

priceof

the

options,

the

price

of

the

underlying

asset,

an

estimate

of

the

risk-freerate,

the

time

to

expiration

of

the

option,

and

an

estimate

of

the

volatility

ofthe

returns

of

the

underlying

asset

into

her

computer.

Both

prices

calculatedby

the

software

program

were

substantially

above

the

actual

market

valuesobserved

in

that

day's

exchange

trading.

Which

of

the

following

is

the

mostlikely

explanation?

The

value

Johnson

entered

into

the

program

for

the:estimate

of

volatility

was

too

low.estimate

of

volatility

was

too

high.time

to

expiration

of

the

options

was

too

low.R.62

Risk

management

applications

of

optionstrategiesCovered

CallLong

stockProfitSTXShort

callCovered

call●Breakeven

point:

S0-cfXCovered

Call=

-

c+S=-p+(1+r

)T-tum

Gain:

X-(S0-c)190-250R.62

Risk

management

applications

of

optionstrategiesImportant

Summary

of

risk

management

applicationsCovered

callConsists

of:

short

call

and

long

stockEquivalent

to:

short

put

and

long

bondSimilar

to:

Short

putBreakeven

point:

S0-cum

Gain:

X-(S0-c)Protective

putConsists

of:

long

stock

and

long

putEquivalent

to:long

call

and

long

bondSimilar

to:

long

callBreakeven

point:

S0+pum

Loss:

X-(S0+p)191-250訓(xùn)練Derivatives192-250訓(xùn)練Which

of

the

following

is

least

likely

to

be

a

purpose

served

by

derivativemarkets?Arbitrage.Price

discovery.Risk

management.The

most

likely

reason

derivative

markets

have

flourished

is

that:

(2015.12)derivatives

are

easy

to

understand

and

use.derivatives

have

relatively

low

transaction

costs.the

pricing

of

derivatives

is

relatively

straightforward.193-250訓(xùn)練Consider

an

out-of

money

European

put

that

expires

in

three

month,

what

arethe

option

value

and

intrinsic

value

of

that

put?

(2015.12)option

valueLarger

than

zeroZeroSmaller

than

zerointrinsic

valuezerosmaller

than

zerozeroSolution:

A194-250訓(xùn)練★A

decrease

in

the

risk-free

rate

of

interest

will:(2015.12)increase

put

and

call

prices.decrease

put

prices

and

increase

call

prices.increase

put

prices

and

decrease

call

prices.Solution:

CInterest

rates

are

inversely

related

to

put

prices

and

directly

related

to

callprices.195-250訓(xùn)練The

exposure

of

a

long

call

and

short

put

withsame

strike

price

is

equal

to

that

of(2015.12)A

long

swapA

shortforwardAlong

forwardSolution:

C

:A

long

forward

contractis

equivalent

to

a

portfolio

of

a

longcall

and

shortput

with

thesame

strike

price.um

loss

of

a

long

call

and

short

put

with

same

strike

price

is

equal

toThe(2015.12)thethetheum

loss

of

holdingtheunderlying

assetum

loss

of

fiduciary

call

with

same

strike

priceum

loss

of

protective

put

with

same

strike

priceSolution:

A.196-250訓(xùn)練Futures

contract哪個(gè)可以不是標(biāo)準(zhǔn)的？price,contract

size,交割方式(2014.6)Kaven,

a

hedge

fund

manager,

observes

that

the

spot

gold

price

is

negativelycorrelated

with

interest

rate.

He

intends

to

get

profit

from

the

short-termprice

movement.

Which

instrument

is

most

suitable

to

him

to

long?

(2015.6)forwardfutureswapSolution:

A197-250訓(xùn)練An

investor

has

purchased

a

share

of

stock

for

$190.

A

call

option

on

this

stock,

expiring

in

seven

months

and

with

an

exercise

price

of

$200,

is

priced

at$11.40.

If

the

investor

enters

into

a

covered

call

now,

the

profit

on

thisstrategy

if

the

stock

price

at

expiration

is

$215

is

closest

to:-$3.60.$21.40.$28.60.B

is

correct.The

profit

on

a

covered

call

is

calculated

as

follows:π=

ST

-

S0-max(0,ST

-X)

+

c0D

=

$215

-$190

-

max(0,

$215

-

$200)

+

$11.40

=

$21.40.198-250訓(xùn)練Which

of

these

is

best

classified

as

a

forward

commitment

derivative?(2015.12)A

swap

agreement.