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Final Examination: The International University (Iu) - Vietnam National University - HCMC

The document is a final examination for a derivatives and risk management course. It consists of two parts - a problem solving section worth 30 points and an essay section worth 70 points. The problem solving section involves calculating the profit and loss of a options trading strategy if the underlying stock price is at various levels at expiration. It also requires determining the breakeven price, maximum loss, and maximum profit of the strategy. The essay section requires analyzing the Vietnamese derivatives market during Covid-19 and providing possible trading strategies. Students have until 1:00 pm the next day to submit their answers via email to the given address. Collaboration in groups of up to 4 members is allowed but answers must be original and copying is not permitted.

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Anna Nguyen
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80 views

Final Examination: The International University (Iu) - Vietnam National University - HCMC

The document is a final examination for a derivatives and risk management course. It consists of two parts - a problem solving section worth 30 points and an essay section worth 70 points. The problem solving section involves calculating the profit and loss of a options trading strategy if the underlying stock price is at various levels at expiration. It also requires determining the breakeven price, maximum loss, and maximum profit of the strategy. The essay section requires analyzing the Vietnamese derivatives market during Covid-19 and providing possible trading strategies. Students have until 1:00 pm the next day to submit their answers via email to the given address. Collaboration in groups of up to 4 members is allowed but answers must be original and copying is not permitted.

Uploaded by

Anna Nguyen
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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THE INTERNATIONAL UNIVERSITY (IU) – VIETNAM NATIONAL UNIVERSITY – HCMC

FINAL EXAMINATION

Date: January 21, 2022 (1:00 pm)

Duration: 1 day

Deadline: 1:00 pm, January 22, 2022

Student ID: .................................. Name: ..............................................

SUBJECT: Derivatives and Risk Management

School of Business Administration Lecturers

Signature: Signature:

Full name: Vo Xuan Hong

INSTRUCTIONS:

You are allowed to work alone or in a team (up to 4 members) and email me your answer
before 1:00 pm, January 22, 2022. My email is [email protected]. Your work must be
original, which means you are not allowed to copy a single sentence. Otherwise, you will
get zero for your final exam.

GOOD LUCK!

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Part I. Problem solving (30 points)
Show all your calculations.

An investor buys 4 ABC June 60 put for $0.5, sells 4 ABC June 65 put for $2, sells 4 ABC June
70 put for $5, and at the same time buys 4 ABC June 75 put for $9. Suppose that the investor
holds options until the expiration.
a. Calculate the profit/loss of the strategy if the stock price at expiration is $78 per share? (6
points)
b. Calculate the profit/loss of the strategy if the stock price at expiration is $ 67 per share?
(6 points)
c. Calculate the profit/loss of the strategy if the stock price at expiration is $ 55 per share?
(6 points)
d. Determine the breakeven price, maximum loss, and maximum profit at expiration. Show
all your calculations. (3 points)
e. Draw the payoff graph for the above strategy at expiration. (9 points)

Part II. Essay (70 points)


Analyze the Vietnamese derivatives market during the Covid-19 period and then provide
possible trading strategies.

What was your contribution to this exam?


Member (name) Parts? %contribution

END OF TEST

2|Page Version 1

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