期货期权总结习题 - 百度文库 ر

졣׵ܲ½׼۸ǡʵʵײũܶԡȶԳ塱ˣڻԼͷʧڻũӰ졣ǣڲȡԳʱȫ濼ǷյҪԡũڶԳ۸յͬʱǷǸõIJԣʱȷġ 3.18ҪĶͷָڻԼΪ 1.5

=26ݣ

3.19ڱ3-5й˾1.5ĶԳʣÿһʱ150ݺԼڻе潫ΪÿͰ1.501.70=2.55Ԫ⽫ԭÿͰӯ0.85Ԫ 3.20һͷڻԼڶԳ6ºijʲijۡ6ڸʲļ۸񼱾ǣͬʱڻ۸Ҳ֮ǣôҪ׷ӱ֤𣬱֤׷ӻᵼֽֽʲõӯ߷ʱڲƥԡֽʱʲ۵ֽ롣һͷڻԼڶԳ彫ʲ۸գʲļ۸񼱾µҲͬ⡣ļ¹˾ȨڻƷԭ7棩ҵ3-2 3.21ͼ۱ڻ۸ͺͱڻ۸ȷʵͬĿԡζڻԼͶӲҵһǣչ˾ڻԼԳնͶġڻԼ˿Խ͹˾ٵķաгϾпڶԳյĺԼʱչ˾Ӧùɶδȼͼ۸񱻶ķա

3.22ʢ˾Խ1˾ƽ𣬲600Ԫļ۸ۡ600Ԫ5%޷Ͷһõ630Ԫ˾֧ƽһ޷9Ԫ600Ԫ1.5%ɴ˹˾ջ621Ԫ˵˾ͬ1Ե621Ԫļ۸ƽ˾ӯˣʢ˾Ӧñƽ1Զ߼۸Ϊ621Ԫ 6.1200977200989֮33200977201017֮184ˣӦϢΪ3.5 33/184=0.6277ԪծȯΪҵծȯΪ200977200989֮32죬200977201017֮180죬ӶӦϢΪ3.5 32/180=0.6222Ԫ 6.220091012201019֮89죬200910122010

412֮182졣ծȯֽ۸ծȯۼӦϢծȯΪ102 102.21875ծȯֽ۸Ϊ102.21875+

6=105.15Ԫ

6.3ٶκεʾΪÿ6%ÿ긴һΣծȯתӵڽ·ݵĵ1ÿ1ԪծȯۡΪ˱ڼ㣬ծȯ޼ƱϢ֧յޱȡ3¡ת˵˵ծȯʱծȯڻԼĿͷյʽתӵ1.2345Ͷյʽ1.2345ڻ۸ȻӦϢ

6.4ŷԪڻ۸6㡣ͶߴÿݺԼл ԪӶӯΪ300Ԫ 6.5ٶijŷԪڻıΪ95.00˵Լڵ3ڵڻΪ5%͹״Ϊ˹ͬʱڵԶʶҪ͵ڻʷȡ͹״DZҪģΪaڻԼÿսģbڻԼ3ڵڳڡԭʹڻʸԶʡ

6.6ݡȨڻƷԭ7棩ʽ6-4ϢΪ

=3.0409

3.0409%

6.7һݹծڻԼļֵΪ108 1000=108468.75ԪӦýĶͷԼΪ

59.7ݣ

ȡӽԼΪ60ݡ7·ݵӦýͷƽ֡ 6.8ȯֽ۸Ϊ

100 - 10=97.50Ԫ Ϊ

=10.27%

6.92008127200855֮99죬20081272008727֮182졣ӦϢΪ 6 =3.2637Ԫ

ծȯıΪ110.5312Ԫֽ۸Ϊ110.5312+3.2637=113.7949Ԫ 6.10˽ծȯʹʽֵծȯ-ڻ۸ תӣСծȯծȯֱʽ

ծȯ1125.15625-101.375 1.2131=2.178 ծȯ2142.46875-101.375 1.3792=2.652 ծȯ3115.96875-101.375 1.1149=2.946 ծȯ4144.06250-101.375 1.4026=1.874 ծȯ4Ϊ˽ծȯ

6.1124730֮176죬2484֮181졣ˣծȯֽ۸Ϊ

110+ 6.5=116.32Ԫ

Ϊ2 =0.1165ÿ11.65%ծȯ5=0.01370꣩6.5ԪϢծȯֵΪ 6.5 =6.490(Ԫ)

ڻԼ62죨=0.1699꣩ڡԸƱΪ13%ծȯֽڻ۸Ϊ

116.32-6.490 =112.03Ԫ ڽʱ57ӦϢڻԼıΪ 112.03-6.5 110.01Ԫ ծȯתӣڻԼıӦΪ

=73.34Ԫ

6.12ծȯʱ䶼֪ģǺܼ򵥵ġڻ۸̫ߣ߿ծȯͬʱͬծȯڻԼͷ硣ڻ۸̫ͣ߿ڳծȯͬʱͬծȯڻͷ硣

ծȯIJȷʹøΪӡǰ˽ծȯʵϲһǵʱ˽ծȯڻ۸̫ߣڻԼĿͷߣԾʲôծȯڽⲢǸҪ⡣ڻ۸̫ͣߵѵö࣬Ϊ֪ʲôծȯҪпֵܳĽDzܵġ

6.136µ9ڼԶΪÿ9%Ϊ3ڵÿ9%6ڵÿ7.5%ʣܹõ9ڵÿ8%ƽʡ ȸ㣬ԶΪ4 9.102%ǼٶΪʵ/ʵΪʵ/360ԶΪ9.102% 360/365=8.977%ˣ6ºڵ3³ȵŷԪڻΪ100-8.977=91.02ٶڻ۸Զڼ۸ûв졣

6.14ǰŷԪڻԶʷֱΪ4.17%4.38%Զʵ㷽ǡʵ/360ȸDzáʵ/365ԶʷֱΪ

= 4.2060%

= 4.4167%ݡȨڻƷԭ7棩ʽ

6-4398LIBORϢΪ

=4.0507

4.0507%489LIBORϢΪ

=4.1188 4.1188%1ڻӦ98ͨ91졣ڱļ

Ҫ3ڻۡ

6.15ھڵĶԳ巽ƽƶġ12ʵı仯С4ʣ⽫¡ȶԳ塱 61.16ʽܿͨŷԪڻԼĶͷ磬Գ幫˾ķձ¶ŷԪڻͷ罫ӯ֮µʧ ҵƱݵľŷԪڻԼʲŷԪ2ŷԪڻԼ

۸Ϊ980000ˣӦóеĶͷԼΪ 2=9.84ݣ

ȡӦó10ݺԼ

6.17֤ȯϾӦýծڻԼĶͷ硣ծȯ۸µڻͷ

ϵӯʧӦóеĶͷԼΪ =88.30ݣ ȡӦó88ݺԼ

6.18ϰ6.17еĴΪ˽Ͼڽ㡣Ϊ˽Ͼڴ7.13.0

ӦóеĶͷԼΪ51ݣ 88.30=50.99 6.19Ըйծڡ30/360£200910302009111֮1졣ڡʵ/ʵ£ڼ2졣ˣҵծȯȣйծ㽫ü2Ϣծȯıͬ 6.20ŷԪڻԼļ۸Ϊ88ζŷԪڻΪÿ12%ڡʵ/360족ȸ£60150ڼԶʼΪÿ12%

6.21á ȨڻƷԭ7棩6.4ڵķţ , =6, ͹״Ϊ

ߴԼΪ23㡣ȸʵ/360ڻΪ4.8%

ʵ/365ڻΪ = 0.04844.84%

ˣԶΪ4.84-0.23=4.61%

6.22ԼӦ ֮ʡԶڻʴڲԭ㡣ڻԼÿսԶںԼʱ 㡣ΣڻԼÿս㣬ʱ ʱ 㡣ԭʹڻԶԶʡ