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1. 賣一個買權 short a call option

收取權利金 $0.01*50,000=$500

即期匯率-履約價=$0.76-$0.82= -$0.06

-$0.06*50,000= -$3000

淨損益: -$3000+$500= -$2,500

Answer: -$2,500

 

3. 買一個賣權 long a put option

支付權利金 -$0.04*31,250= -$1,250

履約價-即期匯率=$1.80-$1.59= $0.21

$0.21*31,250=$6562.5

淨損益: $6562.5-$1,250= $5,312.5

Answer: $5,312.5

 

4. 賣賣權 short put options

收取權利金 $0.01 per unit

(1) if the spot rate is $0.72

$0.01+$0.72-$0.76= -$0.03

(2) if the spot rate is $0.73

$0.01+$0.73-$0.76= -$0.02

(3) if the spot rate is $0.74

$0.01+$0.74-$0.76= -$0.01

(4) if the spot rate is $0.75

$0.01+$0.75-$0.76= $0

(5) if the spot rate is $0.76

$0.01+$0.76-$0.76= $0.01

 

5. 買一個買權 long a call option

支付權利金 -$0.02*31,250= -$625

$1.46-$1.45=$0.01

$0.01*31,250=$312.5

淨損益: $312.5-$625= -$312.5

Answer: -$312.5

 

8. 買賣權 long put options

(1) if the spot rate is $0.76

-$0.02+$0.86-$0.76= $0.08

(2) if the spot rate is $0.79

-$0.02+$0.86-$0.79= $0.05

(3) if the spot rate is $0.84

-$0.02+$0.86-$0.84= $0

(4) if the spot rate is $0.87

-$0.02+Max{$0.86-$0.87 , $0} = -$0.02

(5) if the spot rate is $0.89

-$0.02+Max{$0.86-$0.89 , $0}= -$0.02

(6) if the spot rate is $0.91

-$0.02+Max{$0.86-$0.91 , $0}= -$0.02

HW4
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