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HPC-in-Finance Day 2 (10月25日题目) RRS feed

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  •  HPC-in-Finance Day 2

     

     

     

    The product data for today are available at:
    C:\ContestData\102
    5-A.csv (Product A)
    https://portal.hpc-in-finance.com/day2/1025-a.csv
    C:\ContestData\1025-B.csv (Product B)
    https://portal.hpc-in-finance.com/day2/1025-b.csv

    The last row in each file corresponds to the current product price (T=0).

    The options available today are:


    Product A
     
    (Assume dividend
    yield=3.31%)

    1. Asian Call selling at premium of $1.05 with fixed strike at $33.
    2. Lookback call with floating strike. Premium=$4.03.
    3. Up-and-out Call. Premium = $0.81. Strike=$33 Option knocks out if Product A exceeds $35 before expiration.  

     

    Product B
    (Assume dividend yield=3.29%)

    1. Asian Put selling at premium of $1.98 with fixed strike at $60.
    2. Lookback put. Premium=$2.09. Floating strike.
    3. Down-and-in Call. Premium = $2.31. Strike=$53 Option knocks in if Product B drops below $54 before expiration.

     

    Notes:
    All options expire in 250 days.
    Method of averaging for Asian options is arithmetic mean of end-of-day (EOD) prices from now till expiration.
    Barrier options are European-style; barrier events are triggered only by end-of-day (EOD) prices.
    Lookback prices are taken from EOD.
    Assume risk-free rate of 4.5%.

     

    Please allocate your cash ($1million) in up to two of the above options where you expect the highest payout.


    2011年10月25日 1:04
    版主

全部回复

  • 求历史数据下载链接
    2011年10月25日 1:08
  • Lookback Options是也按照收盘价来计算,还是以所有连续时间的价格为准?
    2011年10月25日 1:15
  • Yes, please consider only EOD (Closing) prices for today's question.
    2011年10月25日 1:26
    版主
  • 今天会给出昨天投资的益损吗
    2011年10月25日 2:11
  • Up-and-out Call. Premium = $0.81. Strike=$33 Option knocks out if Product B exceeds $35 before expiration.  ???????
    2011年10月25日 3:37
  • 呵呵。Good spot. Corrected.
    2011年10月25日 3:40
    版主