# HPC-in-Finance Day 2 （10月25日题目）

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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

### 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
• 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