|
- UID
- 603026
- 帖子
- 1
- 主题
- 0
- 注册时间
- 2014-3-31
- 最后登录
- 2014-4-2
|
5#
发表于 2014-4-2 11:33
| 只看该作者
请教楼主 2013 afternoon mock 第10题这笔期权在第二期的价值应该是39.675 - 32 =7.675？答案却是39.675 - 30 = 9.675.
另外 S的价格“move down 20% each year”,应该是30 * （1.20%）= 24，答案却是 30 / （1+20%）= 25
原题:
Kesselaar then informs Wolters, “Our second project in Latvia is to finance construction of an oil
terminal on the Gulf of Riga for LAT Transport (LAT), a Latvian government-sponsored enterprise. The
project has a value of EUR60 million today. LAT’s stock is a large component of the Riga Equity Index and
has an almost perfect correlation with the index. Financing for the project is as follows:
The Latvian government issues a four-year bond denominated in Latvian lats (LVL) to finance 50% of
the construction costs.
IIG provides LAT a EUR30 million loan for two years to finance the remaining 50% of the
construction costs. In two years, the Latvian government intends to issue another LVL bond to allow
LAT to repay the IIG loan.
For the next two years, IIG will have an option to purchase 50% of the oil terminal for LVL45.92
million (equivalent to EUR32 million) at any time. The LVL/EUR exchange rate is pegged at LVL1.4350
per EUR because the Latvian government engages in market transactions to maintain this rate.”
Wolters responds to Kesselaar, “LAT’s market capitalization essentially reflects the value of the sum of
its oil terminals. I think the price of the purchase option is cheap. I estimated the value of this option
assuming the Riga Index can move up 15% or down 20% each year and the LVL annual risk-free rate is
2%. Using the Black–Scholes–Merton model, I calculate that the normal probabilities for the Riga Index
are 59% for a gain each year and 41% for a loss.”
10. The price of IIG’s option on LAT Transport valued according to a two-period binomial model is
closest to:
A. EUR2.0 million.
B. EUR3.2 million.
C. EUR5.6 million.
Answer = B
“Option Markets and Contracts,” by Don M. Chance, CFA
2013 Modular Level II, Vol. 6, Section 6.2, Reading 50
Study Session 17–50–b
Calculate and interpret prices of interest rate options and options on assets using one- and twoperiod binomial models.
B is correct. According to the two-period binomial model:
[ = Max(0,
( )
S (= )
(c=?) [ or = Max (0, – X]
( )
[ = Max (0, – X]
where S = value of the underlying equity or EUR30 million (50% of EUR60 million), thus
stated in EUR millions:
= 39.675
[ = 9.675
= 34.50
( =5.59)
S=30 (= ) = 28.75
(c=?) [ or = 0]
=25
( = 0) = 20.83
[ = 0] |
|
