金融工程学计算题 急求 金融工程计算题
\u91d1\u878d\u5de5\u7a0b\u8ba1\u7b97\u9898\u8fdc\u671f\u4ef7\u683cF=exp\uff08\uff0810%-4%\uff09*0.5\uff09*25=25.76
\u591a\u5934\u8fdc\u671f\u4ef7\u503cf=25-27*exp\uff08-\uff0810%-4%\uff09*0.5\uff09=-1.2
a. \u6b27\u6d32\u7f8e\u5143\u671f\u8d27\u62a5\u4ef7=100*\uff081-\u671f\u8d27\u5229\u7387\uff09
98.4=100*\uff081-\u671f\u8d27\u5229\u7387\uff09\u89e3\u51fa\u6765\u671f\u8d27\u5229\u7387\u4e3a0.016\u53731.6\uff05
b.\u516c\u53f8\u9700\u8981\u5728\u672a\u6765\u501f\u5165\u6b3e\u9879\uff0c\u62c5\u5fc3\u5229\u7387\u4e0a\u5347\uff0c\u7531\u4e8e\u6b27\u6d32\u7f8e\u5143\u671f\u8d27\u5229\u7387\u4e0e\u62a5\u4ef7\u5448\u53cd\u6bd4\uff0c\u6545\u516c\u53f8\u5e94\u8be5\u8fdb\u5165\u6b27\u6d32\u7f8e\u5143\u671f\u8d27\u5e02\u573a\u7a7a\u5934
c.\u5230\u671f\u7ed3\u7b97\u4ef7\u683c=100*\uff081-0.013\uff09=98.7
绛旓細鏈夋晥鏈熻繕鏈6涓湀娆у紡鐪嬫定鏈熸潈锛屾爣鐨勮祫浜т负鏌愮鑲＄エ锛岃鑲＄エ褰撳墠甯傚満浠锋牸涓42鍏冿紝鏈熸潈鍚堢害涓殑鎵ц浠锋牸涓40鍏冿紝鑲＄エ浠锋牸鐨勬尝鍔ㄧ巼涓烘瘡骞20%锛6涓湀鏈熸棤椋庨櫓骞村埄鐜囷紙杩炵画澶嶅埄锛変负10%銆傗懘璇璁＄畻璇ユ寮忕湅娑ㄦ湡鏉冪殑浠锋牸銆傗懙璇ユ寮忕湅娑ㄦ湡鏉冪殑鏃堕棿浠峰煎拰鍐呭湪浠峰煎悇涓哄灏戯紵
绛旓細c.鍒版湡缁撶畻浠锋牸=100*锛1-0.013锛=98.7
绛旓細鐜板湪缇庡厓鍏戞鍏冪殑姹囩巼鏄1.28锛6涓湀鍚庣編鍏冨厬娆у厓鐨勬眹鐜囨槸1.24锛岃鏄6涓湀鍚庢鍏冭鍗囧硷紝鎵浠ョ幇鍦ㄨ涔颁互鍚庝細鍗囧肩殑璧勪骇銆傛楠や竴 鍚戦摱琛屼互2%鐨勫勾鍒╃巼鍊熷叆 娆у厓锛6涓湀鍚庡洖棣堢粰閾惰鐨勬湰鎭敹鐩婁负(1+2%/2)^1=1.01 姝ラ浜 灏嗗熸潵鐨 娆у厓 浠1.28鐨勭編鍏冨厬娆у厓鐨勬眹鐜囧厬鎹㈡垚 缇庡厓锛屽厬鎹㈠悗鐨勭編...
绛旓細1,鐜板湪缇庡厓/鏃ュ厓=0.0083333锛屽彉鍔0.0001锛屽彉鍔ㄧ巼1.2%锛岃冭檻淇濊瘉閲戞瘮鐜2%锛屽疄闄呮敹鐩婄巼60 2銆3涓嶅お鎳傘4锛1.055^2/1.045=1.06510锛岃繙鏈熷埄鐜6.510
绛旓細Cu=50-43=7 Cd=0 hedge ratio=7/(50-32)=0銆39 0.39x40+C(call option price)=0.39x32/e^(0.08)C=4.08
绛旓細杩欓搴旇鏄敤鍒╃巼骞充环鐞嗚銆侳鏄繙鏈熸眹鐜囥係鏄綋鍓嶆眹鐜囥俰dollar鏄編鍏冩棤椋庨櫓鍒╃巼銆俰euro鏄鍏冩棤椋庨櫓鍒╃巼銆侳 = S * (1 + idollar) / (1 + ieuro) = 1.43 * (1 + 6%) / (1 + 8%) = 1.4035 濡傛灉璇村彇涓や綅灏忔暟锛岄偅涔堝簲璇ユ槸涓嶅瓨鍦ㄥ鍒╂満浼氥傚鏋滅‖瑕佽1.4035澶т簬1.40锛岄偅涔堝鍒...
绛旓細7鏈堜唤銆鐜拌揣浠蜂负16000鍏/鍚ㄣ涔板叆100鎵11鏈堥摐鏈熻揣浠锋牸鏄16100鍏/鍚 11鏈堜唤銆鐜拌揣浠蜂负15600鍏/鍏冿紝涔板嚭100鎵11鏈堥摐鏈熻揣浠蜂负15610鍏/鍚ㄣ傚鍒╃粨鏋溿浜忔崯400鍏/鍚ㄣ鐩堝埄410鍏/鍚 鏈缁堢粨鏋溿鍑鑾峰埄500*410-500*400=5000鍏
绛旓細姝ラ涓 浠2%鐨勫勾鍒╃巼鍚戦摱琛屽熷叆 娆у厓锛6涓湀鍚庡伩杩樻湰鎭 姝ラ浜 鐢ㄥ熸潵鐨 娆у厓 浠ョ幇鍦1.28缇庡厓鍏戞鍏冪殑姹囩巼鍏戞崲鎴 缇庡厓 姝ラ涓 灏嗗厬鎹㈠悗鐨勭編鍏冧互鐜板湪1%鐨勫埄鐜囧瓨閾惰锛6涓湀鍚庡彇鍑 姝ラ鍥 灏6涓湀鍓嶅瓨鍦ㄩ摱琛岀殑 缇庡厓 鍙栧嚭锛岀劧鍚庣敤鍗囧煎悗1.24缇庡厓鍏戞鍏冪殑姹囩巼鍐嶅厬鎹㈡垚 娆у厓锛屾渶鍚庣敤鍏戞崲...
绛旓細=2.7733 锛2锛夊湪鍓嶄竴棰樼殑鍒╃巼骞充环鐨勫熀纭涓婏紝鎶曡祫鑰呭彲鑾峰埄(鎸夋湀澶嶅埄璁＄畻)锛1000000/2.8*锛1+5.0%/12锛塣6*锛1+5.8%/12锛塣6*2.7733-1000000*锛1+4.0%/12锛塣6*(1+4.2%/12)^6=3513.22娆у厓 (3) 鑻遍晳鍏戞鍏冪殑杩滄湡姹囧樊锛堟湡闄愪负涓骞达級: 2.8000-2.7733=0.0267,鍗267鐐 ...
绛旓細缇庡厓姝ラ涓夊皢鍏戞崲鍚庣殑缇庡厓浠ョ幇鍦1%鐨勫埄鐜囧瓨閾惰锛6涓湀鍚庡彇鍑烘楠ゅ洓灏6涓湀鍓嶅瓨鍦ㄩ摱琛岀殑 缇庡厓 鍙栧嚭锛岀劧鍚庣敤鍗囧煎悗1.24缇庡厓鍏戞鍏冪殑姹囩巼鍐嶅厬鎹㈡垚 娆у厓锛屾渶鍚庣敤鍏戞崲鍚庣殑娆у厓杩樻湰浠樻伅缁欐渶寮濮嬪熷叆鐨勬鍏冪殑閾惰濂楀埄鏀剁泭鐜囧垯涓 (1+2%/2)*1.28*(1+1%/2)-(1+2%/2)=2.74 ...
