金融学第十五章课后答案翻译
《金融学(第二版)》讲义大纲及课后习题答案详解 第15章
CHAPTER 15OPTIONS AND CONTINGENT CLAIMSObjectives•How to use options to modify one’s exposure to investment risk.•To understand the pricing relationships that exist among calls, puts, stocks and bonds.•To explain the binomial and Black-Scholes option-pricing models and apply them to the valuation of corporate bonds and other contingent claims.•To explore the range of financial decisions that can be fruitfully analyzed in terms of options.Outline15.1 How Options Work15.2 Investing with Options15.3 The Put-Call Parity Relation15.4 Volatility and Option Prices15.5 Two-State (Binomial) Option-Pricing15.6 Dynamic Replication and the Binomial Model15.7 The Black-Scholes Model15.8 Implied Volatility15.9 Contingent Claims Analysis of Corporate Debt and Equity15.10 Credit Guarantees15.11 Other Applications of Option-Pricing Methodologythe maturity of the option, and C the price of the call.•One can create a synthetic option from the underlying stock and the risk-free asset through a dynamic replication strategy that is self-financing after the initial investment. By the Law of One Price, the option’s price is given by the formula:where:C = price of the callS = price of the stockE = exercise pricer = risk-free interest rate (the annualized continuously compounded rate on a safe asset with the same maturity as the option)T = time to maturity of the option in yearsσ= standard deviation of the annualized continuously compounded rate of return on the stockd = continuous dividend yield on the stockln = natural logarithme = the base of the natural log function (approximately 2.71828)N(d1) = the probability that a random draw from a standard normal distribution will be less than d1.•The same methodology used to price options can be used to value many other contingent claims, including corporate stocks and bonds, loan guarantees, and the “real options” imbedded in investments in research and development and flexible manufacturing technology.Solutions to Problems at End of ChapterPayoff Diagrams1. Graph the payoff for a European put option with exercise price E, written on a stock with value S, when:a. You hold a long position (i.e., you buy the put)b. You hold a short position (i.e., you sell the put)SOLUTION: a.b.2.Graph the payoff to a portfolio holding one European call option and one European put option, each with the same expiration date and each with exercise price E, when both options are on a stock with value S.Investing with options3. The risk-free one –year rate of interest is 4%, and the Globalex stock index is at 100. The price of one-year European call options on the Globalex stock index with an exercise price of 104 is 8% of the current price of the index. Assume that the expected dividend yield on the stocks in the Globalex index is zero. You have $1million to invest for the next year. You plan to investenough of your money in one-year T-bills to insure that you will at least get back your original $1 million, and you will use the rest of your money to buy Globalex call options.a. Assuming that you can invest fractional amounts in Globalex options,show the payoff diagram for your investment. Measure the Globalex index on the horizontal axis and the portfolio rate of return on the vertical axis. What is the slope of the payoff line to the right of an index value of 104? b. If you think that there is a probability of .5 that the Globalex index a year from now will be up 12%, a probability of .25 that it will be up 40%, and a probability of .25 that it will be down 20%, what is the probability distribution of your portfolio rate of return?SOLUTION:a.To insure that you will at least get back your original $1 million, you need toinvestin T-bills.You can buy46.538,961$04.1000,000,1$1000,000,1$=+=+f r 69.4807854.461,38$10008.46.538,961$000,000,1$==⨯-options.The slope of the payoff line to the right of an index value of 104 is 4807.69, as seen from the graph:b.Put-Call Parity4.a.Show how one can replicate a one-year pure discount bond with a facevalue of $100 using a share of stock, a put and a call.b.Suppose that S=$100, P=$10, and C=$15. What must be the one-year interest rate?c.Show that if the one-year risk-free interest rate is lower than in youranswer to part b, there would be an arbitrage opportunity. (Hint: The price of the pure discount bond would be too high).SOLUTION:a.To replicate a one-year pure discount bond with a face value of $100, buy ashare of stock, and a European put with exercise price $100, and sell aEuropean call with an exercise price $100.b.S = $100, P = $10, and C = $15.E/(1+r) = S + P- C$100/(1+r) = $100 + $10 - $15 = $95r = 100/95 -1 = .053 or 5.3%c.If r = 4%, then one could make risk-free arbitrage profits by borrowing at 4%and investing in synthetic 1-year pure discount bonds consisting of a share of stock, a European put with exercise price $100, and a short position in aEuropean call with an exercise price $100. The synthetic bond would cost $95 and pay off $100 at maturity in 1 year. The principal and interest on the $95 it costs to buy this synthetic bond would be $95 x 1.04 = $98.8. Thus there would be a pure arbitrage profit of $1.20 per bond a year from now with zero initial outlay of funds.5. A 90-day European call option on a share of the stock of Toshiro Corporation is currently trading at 2,000 yen whereas the current price of the share itself is 2, 400 yen. 90-day zero-coupon securities issued by the government of Japan are selling for 9, 855 yen per 10, 000 yen face value. Infer the price of a 90-day European put option on this stock if both the call and put have a common exercise price of 500 yen.SOLUTION:Using the expression for put-call parity, P =-S + E/(1+r)T + CS is the share price, P is the price of the put, C is the price of the call and E is the common exercise price.Since government bonds are selling at . 9855 per 1 yen of face value, this is thediscount factor for computing the PV of the exercise price. There is no need to compute the riskless rate, r.Substituting in the parity equation we get:P = -2,400 + 500 x .9855 +2,000 = 92.75 yen6. Gordon Gekko has assembled a portfolio consisting of ten 90-day US Treasury bills, each having a face value of $1, 000 and a current price of $990.10, and 200 90-day European call options, each written on a share of Paramount stock and having an exercise price of $50.00. Gekko is offering to trade you this portfolio for 300 shares of Paramount stock, which is currently valued at $215.00 a share.If 90-day European put options on Paramount stock with a $50.00 exercise price are currently valued at $25.00,a.Infer the value of the calls in Gekko’s portfolio.b.Determine whether you should accept Gekko’s offer.SOLUTION:ing put-call parity, the current price of a call is found to be approximately$190.50 as follows:C =S - E/(1+r)T + P= $215 - $50 x .9901 + $25 = $190.495b.The v alue of Gekko’s portfolio is 10 x $990.10 + 200 x $190.495 = $48,000But the value of 300 shares is $64,500. We should reject Gekko’s offer.7. The stock of Kakkonen, Ltd., a hot tuna distributor, currently lists for $500.00 a share, whereas one-year European call options on this stock, with an exercise price of $200.00, sell for $400.00 and European put options with a similar expiration date and exercise price sell for $84.57.a.Infer the yield on a one-year, zero-coupon U.S. government bond soldtoday.b.If this yield is actually at 9%, construct a profitable trade to exploit thepotential for arbitrage.SOLUTION:ing put-call parity, we can infer the riskless yield to be approximately 8.36%as follows:A portfolio consisting of a share of the stock, a put, and a short position in acall is equivalent to a 1-year T-bill with a face value of E. Therefore the price of such a T-bill would have to be $184.57:E/(1+r)T = S + P- C = $500.00 +$84.57 -$400.00 = $184.571+r= 200/184.57 = 1.0836r= .0836 or 8.36%b.There are many ways to exploit the violation of the Law of One Price to makearbitrage profits. Since the risk-free interest rate is 9%, and the implied interest rate on the replicating portfolio is 8.36%, we could go short the replicating portfolio and invest the proceeds in T-bills. For example, at current prices,short-sell a “unit” portfolio, which consists of long positions in one put and one share and writing one call, to earn immediate revenue of $184.57. The portfolio you sold short requires payment of $200 one year from now. If you invest the $184.57 in one-year T-bills you will have 1.09x $184.57 = $201.18 a year from now. Thus you will earn a risk-free arbitrage profit of $1.18 with no outlay of your own money.Two-State Option Pricing8. Derive the formula for the price of a put option using the two-state model. SOLUTION:To price the put option, we create a synthetic option by selling short a fraction (denote the fraction “a”) and len d $b in risk-free asset. Denote the price of the stock S, the price of the put option P, the stock price when the next period is an “up” to be uS, the stock price when the next period is a “down” to be dS, the payoffs of the put option in each state Pu and Pd, and the risk-free interest r.We solve for (a, b) in 1) and 2) We find:andSo that the price of the put optionuP b r a S u =⨯++⨯⨯-)1(d P b r a S d =⨯++⨯⨯-)1(Sd u P P a d u ⨯---=)()1()(r d u P d P u b u d +⨯-⨯-⨯=⎥⎦⎤⎢⎣⎡⨯⎪⎭⎫ ⎝⎛---+⨯⎪⎭⎫ ⎝⎛--+⨯+=+⨯-=d u P d u r u P d u d r r b S a P 1)1)1(19. The share value of Drummond, Griffin and McNabb, a New Orleanspublishing house, is currently trading at $100.00 but is expected, 90 days from today, to rise to $150.00 or to decline to $50.00, depending on critical reviews of its new biography of Ezra Pound. Assuming the risk-free interest rate over the next 90 days is 1%, can you value a European call option written on a share of DGM stock if the option carries an exercise price of $85.00?SOLUTION:Should the value of DBM stock rise to $150 in 90 days, the call will be worth $65.00 at that date, but if DBM stock falls to $50.00 the call will be worthless at expiration. Using the 2-state option pricing model, we find that the call is worth $32.82:To replicate the call using the stock and risk-free borrowing we buy x shares ofstock and borrow y. We findthe values for x and y by setting up two equations, one for each of the possible payoffs of the call at expiration:The solution to this set of two equations is x = .65 and y = $32.50/1.01 = $32.18 Thus, we can replicate the call option by buying .65 of a share of stock (at a cost of $65) and borrowing $32.18.The price of the call option is $32.82: C = .65 x $100 - $32.18 = $32.82The Black-Scholes Formula 10.a. Use the Black-Scholes formula to find the price of a 3-month European call option on a non-dividend- paying stock with a current price of $50.Assume the exercise price is $51, the continuously compounded risk-free interest rate is 8% per year, and σ is .4.b. What is the composition of the initial replicating portfolio for this call option?c. Use the put-call parity relation to find the Black-Scholes formula for the price of the corresponding put option.SOLUTION:a. The price of the call is $3.987. Since the present value of the exercise price is01.1506501.1150=⨯-⨯=⨯-⨯y x y x 4$5.504.4.4.=⨯⨯⨯=⨯⨯⨯=T S C σapproximately equal to the current stock price, we could use the linearapproximation to the Black-Scholes formula:b.The hedge ratio, which is the number of shares of stock you must buy, equalsN(d1), and the amount to borrow is N(d2) times the PV of the exercise price.To find N(d1) and N(d2) you must compute d1 and d2 and then apply the N( ) function (i.e., the standard normal cumulative density function). You can either use NORMDIST in Excel or use a statistical table to do this. The hedge ratio is .54, which means you would buy .54 of a share of stock for $27. The amount to borrow is $23.c. From put-call parity: P = -S + E e0.02 + C = -$50 + $51.01 + $4 = $5.0111. As a financial analyst at Yew and Associates, a Singaporean investment house, you are asked by a client if she should purchase European call options on Rattan, Ltd. stock, which are currently selling in U.S. dollars for $30.00. These options have an exercise price of $50.00. Rattan stock currently exhibits a share price of $55.00, and the estimated rate of return variance of the stock is .04.If these options expire in 25 days and the risk-free interest rate over that period is 5% per year, what do you advise your client to do?SOLUTION:We can apply the Black-Scholes formula, where S = $55, E = $50, σ = .2, T =25/365, r = .05. We find thatC = $5.20. This is a lot less than $30, so clearly the options are not worth buying.Valuation of Corporate Securities with the Two-State Model12. Lorre and Greenstreet, Inc., a purveyor of antique statues, currently has corporate assets valued at$100,000 and must repay $50, 000, the aggregate face value of zero-coupon bonds sold to private investors, in 90 days. An independent appraisal of a newly acquired antique falcon from Malta will be publicly released at that time, and the value of the firm’s assets is expected to increase to $170,000 if the falcon is certified as genuine, but to decline to a mere $45, 000 if the antique is found to be a fake. The firm will declare bankruptcy in this latter circumstance and shareholders will surrender the assets of the firm to its creditors.a.Can you express the current aggregate value of equity in Lorre andGreenstreet as a contingent expression of the value of the firm’s assets and the face value of its outstanding debt?b.Is there a relation between the expression you have derived for equity anda 90-day European call option written upon the aggregate value of thefirm’s assets?c.Can you express the current aggregate value of the bonds issued by Lorreand Greenstreet in terms of the value of the firm’s assets and the facevalue of its outstanding debt?d.Is there a relation among the current value of the bonds the firm hasissued, the current value of riskless bonds with the same term to maturity and face value, and a European put option written on the aggregate value of the firm’s assets? What would the implication of such a relationship be for expressing the value of risky debt in terms of risk-free debt andcollateral?SOLUTION:a.The aggregate value of the firm’s equity in 90 d ays is E1 = max (V1 -B, 0)where E1 and V1 are, respectively, the aggregate values in 90 days of thefirm’s equity and assets, and where B is the aggregate face value of the firm’s debt.The current value of the equity can be expressed as:E = xV - ywhere x is the fraction of the value of the firm that one must purchase toreplicate the payoffs from the equity, and y is the amount that must beborrowed. We find the values for x and y by setting up two equations, one for each of the possible payoffs of the equity 90 days from now:170000x - y(1+r) = 120,00045000x - y(1+r) = 0The solution to this set of two equations is x = 120/125 = .96 and y =$43,200/(1+r), where r is the risk-free 90-day interest rate. Thus, we canreplicate the equity by buying 96% of the firm’s assets (at a cost of $96,000) and borrowing the present value of $43,200. The current value of the equity is therefore:E = $96,000 -$43,200/(1+r)b.They are exactly analogous. The call value is analogous to the aggregate valueof equity, the share price is analogous to the aggregate value of the firm’sassets, and the exercise price is analogou s to the face value of the firm’s debt.In effect, the firm’s shareholders hold a call option on the firm’s assets, which they can exercise by repaying the face value of the debt.c.In the presence of limited corporate liability, the realized aggregate payoff tothe firm’s creditors in 90 days, D1, can be written as:D1 = min (V1,B).d.The difference in value between the firm’s bonds and the correspondingdefault-free bonds equals the value of a European put on the firm’s assets. This relation implies the limit ed liability that stockholders have to sell the firm’s assets at the debt’s face value, which also implies that the value of risk-free debt equals the sum of the value of the risky debt and the value of collateral.13. Gephardt, Army and Gore, a vaudeville booking agency, has issued zero-coupon corporate debt this week, consisting of 80 bonds, each with a face value of $1,000 and a term to maturity of one year. Industry analysts predict that the value of GAG assets will be $160,000 in one year if Rupert Murdoch succeeds in purchasing and converting the Washington Press Club into a comedy venue, $130,000 if Murdoch buys the club but retains its current scheduling, and $20,000 if Murdoch builds an alternative comedy venue in Washington. Industry analysts also predict that aggregate value of the assets of a second firm in the field of comedy entertainment, Yelstin Yuks, Ltd., will have the values of $100,000, $100,000, and $40,000 in these respective circumstances. Assuming that investors can purchase portfolios comprised of shares of the assets of GAG and YY Ltd., as well as buying or short –selling one-year, zero-coupon, government bonds at the risk-free annual rate of .10, thena.Infer the three alternative values for aggregate equity in GAG, one yearfrom today.b.Devise a portfolio that is a perfect substitute for the payoffs given by aportfolio composed only of equity in GAG.c.Determine the current market value of a share of equity in GAG, assuming10,000 shares of GAG stock are outstanding, the current market value of GAG assets is $120,000, and the current market value of YY Ltd., assets is $85,725.d.Determine the current market value of a bond issued by GAG, assuming80 bonds are issued, under these circumstances. What of the yield tomaturity on each such bond?SOLUTION:a.In the first circumstance, the value of aggregate equity in GAG is $160,000-$80,000=$80,000.In the second circumstance, the value of aggregate equity in GAG is $130,000-$80,000=$50,000.In the third circumstance, the value of aggregate equity in GAG is 0.b.Suppose that the replicating portfolio consists of buying x units of the GAGasset, y units of the YY asset, and z units of the government bond (with a face value of $100,000). The payoff of this portfolio will exactly match that of the GAG equity, that gives:160,000x + 100,000y + 100,000z = 80,000130,000x + 100,000y + 100,000z = 50,00020,000x + 40,000y +100,000z = 0solving the equations, we have x = 1, y = -1, z = 0.2c.We define three types of pure contingent claims: at the end of one year, AD1will pay off $1 if and only if Rupert Murdoch succeeds in purchasing andconverting the Washington Press Club into a comedy venue; AD2 will pay off $1 if and only if Murdoch buys the club but retains its current scheduling; AD3 will pay off $1 if and only if Murdoch builds an alternative comedy venue in Washington. Denote the prices as of today of the three pure contingent claims as p1, p2 and p3, respectively.From the value equation of the GAG asset, YY asset and the government bond, we have:GAG: 160,000p1 + 130,000p2 + 20,000p3 = 120,000YY: 100,000p1 + 100,000p2 + 40,000p3 = 85,725Government bond: 100,000p1 + 100,000p2 + 100,000p3 = 100,000/(1+10%) = 90,909Solve the equations, we have p1 = 0.3774, p2=0.4453, p3=0.0864The total value of GAG equity is80,000p1 + 50,000p2 = $52457The per share price of equity is $5.25.d.The value of the bond and the value of the equity add up to the value of theasset, so,V bond = V asset– V equity = 120,000 – 52547 = $67543The yield-to-maturity of bond is (80,000-67543)/67543 = 18.4%。
金融的英语课后翻译题答案详解
中译英：一.1.金融管理是商业管理的重要方面之一,没有合适的金融计划企业是不可能成功的;Finance is one of the most important aspects of business management. Without proper financial planning a new enterprise is unlikely to be successful.2.金融中介机构的基本宗旨是把不受公众欢迎的金融资产转变为他们能够接受的金融资产;Financial intermediaries play the basic role of transforming financial assets that less desirable for a large part of the public into other financial assets-their own liabilities-which are more widely preferred by the public.3.企业经营是有风险的,因而,财务经理必须对风险进行评估和管理;Businesses are inherently risky, so the financial manager has to identify risks and make sure they are managed properly.4.投资决策首先是指投资机会,常常指资本投资项目;The investment decision stars with the identification of investment opportunities, often referred to as capital investment projects.5.现金预算常常被用来评估企业是否有足够的现金来维持企业的日常经营运转和或是否有太多现金富裕;Cash budgets are often used to assess whether the entity has sufficient cash to fulfill regular operations and/or whether too much cash is being left in unproductive capacities.6.按照金融学的观点,资本就是企业购买商品以生产其它商品或提供服务的货币资金;Capital, in the financial sense, is the money that gives the business the power to buy goods to be used in the production of other goods or the offering of a service.四.1.商业银行应积极开展银行转账功能风险评估和分类,依据收款账户的潜在风险高低,相应设置不同的转账额度和次数限制;A commercial bank shall actively conduct the risk assessment and classification of the telephone banking transfer functions, and set different limits on the transfer amount and times according to the degree of potential risks on the recipient account.2.商业银行相对其他行业属于信息化程度较高的行业,银行数据库里积累了海量的客户信息Commercial banks have gained more information and have large scale of data.3.商业银行的管理人员在分析客户的贷款申请时必须考虑许多因素;Managers in Commercial banks have to consider many factors in analyzinga customer's loan request.4.除中国银行外,交通银行、农业银行、工商银行、建设银行在城乡也都设立了许多的机构,便于你获得金融服务;Besides the Bank of China, the Communication Bank, Agricultural Bank, Industrial and Commercial Bank, Construction Bank also have created many branches in a city or town, and that makes easier for you to get financialservices.5.定期存款也叫CD,是存款证书的一种类型;A certificate of deposit, also called a CD, is a type of savings certificate.6.商业银行作为一家金融机构,其业务范围包括：从个人和公司吸收存款；通过提供贷款和其他对客户的财务或生意的运转很重要的金融业务来建立信贷,包括资金转账、支票兑现、银行保管箱等;A commercial bank is an financial institution established to: accept deposits from individuals and businesses; originate credit by providing loans and offering other financial services essential to the running of a customer's financial or business affairs, including fund transfers, check cashing, safe deposit boxes, etc.六.1.外汇交易市场,也称为"Forex"或"FX"市场,是世界上最大的金融市场,平均每天超过1兆美元的资金在当中周转 -- 相当于美国所有证券市场交易总和的30倍;The Foreign Exchange Market, called by "Forex" market or FX market, is the biggest financial market in the world with trading volumes surpassing USD1 trillion average one-day, it is as big as 30 times of stock market.2."外汇交易"是同时买入一对货币组合中的一种货币而卖出另外一种货币;外汇是以货币对形式交易,例如欧元/美元EUR/USD或美元/日元USD/JPY;“Foreign exchange” is to buy one currency and sell another in currency pair at the same time. The trading form of foreign currency is the currency pair, for example EUR/USD OR USD/JPY.3.外汇交易市场是一个24 小时全球交易市场,市场交易每天从悉尼开始,并且随着地球的转动,全球每个金融中心的营业日将依次开始 , 首先是东京,然后伦敦,和纽约;Foreign exchange market is worldwide market where operating 24 hours a day, the market trading starts from Sydney, turning around the earth , the business day of every financial center in the world will star to trade in turn, then is Tokyo, next is London, and New York.4.外汇交易投资者可以对无论是白天或者晚上发生的经济,社会和政治事件而导致的外汇波动而随时反应;Investors of FX may make decisions base on the fluctuation of foreign currency price leaded by economics, society and political events no matter happens in day time or night.5.外汇交易市场是一个超柜台 OTC 或“ 银行内部”交易市场,因为事实上外汇交易是交易双方通过或者一个电子交易网络而达成的,外汇交易不象股票和期货交易市场那样,不是集中在某一个交易所里进行的;The foreign exchange market is Over the Counter OTC or interbank market because foreign currency is traded through phone or electronic trading net in fact, the trading of foreign currency does not like stock trade, it is not intensive trading in exchange center.6.在外汇交易中,您会看到一个两边的报价,由买价与卖价组成,买价是在此价格上您拟卖掉基础货币同时买进相反货币;卖价是这个价格,在此价格上您可以买进基准货币时卖掉相反货币;You will see the price board consisted of bid price and ask price in trading of foreign currency, bid price is the price you sell your base currency at the same time buy reverse currency. Ask price is the price you buy base currency and sell reverse currency.七.1.企业融资是指企业在发展扩张中筹集所需资金的行为;Business financing is an action of raising money when firms extend business and development2.企业融资是为了满足企业战略调整、产业扩张、现金周转等方面的需要; Business financing is to meet the requirement of strategy adjustment, industry extending, and turnover of cash and so on.3.企业通过融资行为改变资本结构,使资金得以形成、集中、积累、组合,同时形成相应的产权关系和权利、责任、利益格局;The capital structure of the firm will be changed through raising money, the capital will be formed in the form of centralization, accumulation, combination, and at the same time relative property right relations and pattern of benefit, duty and right will be formed.4.内部融资的来源公司的自有资金,以及在生产经营过程中的资金积累部分,在公司内部通过计提折旧而形成现金,或通过留用利润等增加公司资本;The resource of internal financing comes from company’s internal fund, the part of fund accumulation of producing and operating, cash from depreciation, or capital from remaining earning.5.债权性融资主要有向金融机构贷款和发行企业债券两种形式;The two majority forms about debit financing are lending money from financial institutes and issuing company bond.6.目前国内企业在进行投资时采用的融资方式有股权性融资、债权性融资等; Presently financing methods used by domestic enterprises when investing are equity financing and debit financing, etc.九.1.组合投资原则,即将风险资金按一定比例投向不同行业、不同企业项目,或联合几个风险投资公司共同向一家企业投资;The principle of portfolio investment is that the venture capital is invested into different industries and different projects, or make a cooperation with other investing companies to invest a company. 2.风险投资主体多元化原则,在美国,风险资金来源相当广泛,既有政府、财团法人的资金,也有来自大众游资、民间企业和海外的投资,还有养老保险基金的积极参与;The principle of diversification of venture capital, in American, the resource of venture capital is quite widespread, it comes from government, financial institutes, and it can come from privates, private firms and oversea investment, and pension fund joint venture capital too.3.创业投资是由专业投资者投入到新兴的、迅速发展的、有巨大竞争潜力的企业中的一种股权性资本;Venture investment is an equity capital which professional investors invest to a new, developing rapidly and more competitive firm.4.随着社会经济的快速发展,如何投资、如何理财已经成为商业人士关注的焦点;With society economy high-speed development, how to invest and finance is the focal point which business men focus on.5.创业投资以其谋求长期资本收益、分散投资及专业化管理的特点适应了高新技术产业的资金需求,以其特别的投资方式、合同方式和组织架构部分地解决了信息不对称和激励约束不当所带来的问题.Venture capital is looking for long term capital return, the characteristic of diversification of investment and professional management adapts capital requirements of high-new technical industry, special investing model of venture capital, contract model and frame of organization solve problems of information asymmetry and incentive and restraint mechanisms flaw in partly.6.投资者可把目光聚焦到正在发售的银行保本基金上,这种在国际市场上大受欢迎的新型理财品种不但能够提供银行储蓄般的安全感,而且可以利用此次利率上升的机会创造更高的收益；同时,加息导致债券价格下跌,实际上提高了即将入市的银行保本基金的债券投资收益率;Investors may focus on guaranteed fund issued by bank, it is new style of financing product which is welcomed in the international market, it is not only shows the safety like bank deposit, but also make higher return with the interest rate arise, at the same time, rising interest rates will lead to fall of the bond price, and make higher return of guaranteed fund which will be issued by banks.十.1.债券买卖是指交易双方以约定的价格买卖一定金额的债券并在规定的清算时间内办理债券款交割的交易方式;Security trading is a trading model that both of seller and buyer sign a contract with the confirmed bond price and number, during settlement both of seller and buyer make a delivery.2.债券回购是指交易双方进行的以债券为权利质押的一种短期资金融通业务;资金融入方正回购方在将债券卖给资金融出方逆回购方以融入资金的同时,双方约定在将来某一日期由正回购方按约定回购利率计算的金额向逆回购方买回相等数量的同品种债券的交易行为;Redeem of security is a short term financing business that both of issuer and holder of bond takes bond as right pledge, when the borrower of fund positive redeemer sells bond to lender of fund negative redeemer for financing, both of them sign a contract in there positive redeemer will redeem the bond that he issued with redeem interest from negative redeemer before maturity of bond.3.所谓可转换公司债券是指由公司发行的,投资者在一定时期内可选择一定条件转换成公司股票的公司债券,通常称作可转换债券或可转债;这种债券兼具债权和股权双重属性;Convertible bond is security issued by firm which investors have option to convert bond into firm’s stock during holding period, the convertible bond consists of two characters of bond and stock.4.证券交易必需受SEC及证券交易所自我约束机制的监管;Security trading must be managed by SEC and self-regulating mechanism of the stock exchange.5.场外交易市场不是一个正式的证券交易所,而是由经纪人和交易商组成的一个非正式的网络,他们通过这一网络协商证券的交易;The over-the-counter market is not official security exchange market, itis unofficial network grouped by dealers and brokers, dealers and brokers exchange securities through the network.6.一级市场上的发行方式也分为两种,公募和私募;The issue model of stock in the primary market can be classified into: public offering and private offering.十二.1.新股的发行价总是超过面值的,记录在公司帐上的这个差叫附加实缴资本,也叫资本公积;The price at which new shares are sold to inverstors almost always exceeds par value,the difference is entered the company’s accounts as additional paid-in capital, or capital surplus.2.尽管股票这个名字很大众化,但是,大部分人都不是充分了解它;Despite their popularity, however, most people don't fully understand stocks.3.公司的管理层的主要任务是增加公司股票持有人所持有公司资产的价值; The management of the company is supposed to increase the value of the firm for shareholders.4.有限责任是股票的一个十分重要的特征,这意味着公司在不能支付它的债务时股票持有者没有负债责任;An extremely important feature of stock is its limited liability, which means that, as an owner of a stock, you are not personally liable if the company is not able to pay its debts.5.理解股票供求关系是容易的,但是理解人们喜欢哪些股票不喜欢哪些股票是苦难的;Understanding supply and demand is easy, What is difficult to comprehend is what makes people like a particular stock and dislike another stock. 6.一些人人为预测股票价格变化是不可能的,而一些人认为通过画图和分析以前的价格变化就能决定买卖时间;Some believe that it isn't possible to predict how stock prices will change, while others think that by drawing charts and looking at past price movements, you can determine when to buy and sell.英译中：一.1. A cash budget is extremely important, especially for small businesses, because it allows a company to determine how much credit it can extend to customers before it begins to have liquidity problems.现金预算是十分重要的,特别是对小企业,这是因为它决定了企业可以使用多大的赊销份额而不发生现金困难;2. Financial intermediaries include depository institutions commercial banks and credit union who acquired the bulk of their funds by offering their liabilities to the public mostly form of deposit. 金融中介机构包括：存款性机构商业银行和信用合作社主要通过存款的形式向公众借款,从而获得大部分资金;3. A corporation is a legally distinct from its owners, who are called shareholders or stockholders. 公司在法律上独立于其所有者,即股东;financial planning focus on the firm’s goals, the investment that will be needed to meet those goals, and the financing that must be raised. 长期财务计划是关于企业的长期目标、为实现目标所需要的投资以及因此必须筹集的资金的计划;are classified into nonfinancial and financial businesses. These entities borrow funds in the debt market and raise funds in the equity market. 企业可被分成金融企业和非金融企业两类;这些企业在债务市场借款和在权益市场融资;6. Finance is the set of activities dealing with the management of funds. More specifically, it is the decision of collection and use of funds. It is a branch of economics that studies the management of money and other assets.金融是涉及到一系列有关资金管理的活动;特别的,它是有关资金使用和筹集的决策;它是经济学的一个研究货币和其它资产管理的分枝;四. risk-based capital requirements imposed on commercial bank and saving and loan associations.对商业银行和存贷款协会实施以风险为基础的资本金要求;regulates commercial banks and thrifts and types of regulations imposed. 谁来监管商业银行与储蓄机构以及何种方式来进行;3. Banks generate income in three ways: 1the bid-ask spread;2capital gains on the securities or foreign currency used in transactions, and 3in the case of securities, the spread between interest income earned by holding the security and cost of funding the purchase of security.银行可以从三个方面产生收入：1买卖差价；2证券或外汇交易的资本利益；3证券的利息收入和购买证券资金成本之间的价格差异;4. Several types of deposit accounts are available. Checking accounts pay no interest and can be withdrawn upon demand.存款帐户有好几种,支票帐户不支付利息可以随时提取;certificate of deposit can take a wide variety of forms which are negotiable with the issuing bank. 定期存单可以采取多种多样的形式是可转让的发卡银行;that raise most of their funds from the domestic and international money markets, relying less on depositors for funds, are called money center banks.货币中心银行是指较少依赖存款,并在国内或国外货币市场筹集资金的银行;六.1,The foreign exchange market is a place to trade foreign exchange currency, or it is also a place for the transaction of all foreign currency. 外汇市场是交易外国货币或各国货币的场所.foreign exchange rate is the relative value between two currencies. In particular, it is the quantity of one currency required to buy or sell one unit of the other currency.汇率是两种货币间的相对价值, 特别是, 它是买卖一个其它货币单位所代表的本币量值.. dollars are not used to express an exchange rate, the term "cross rate" is usually used to express the relative values between two currencies.在美元被用来表示汇率的地方,套汇汇率就被用来表示两种货币间的相对价值.an online currency trader wants to survive in the business, he must learn to limit his losses. This is one of the keys to smart money management. 如果一个网络货币交易者要持续他的交易他必须学习限制损失,这是货币管理的关键点.is safer to get into a currency position in multiple lots than to do it all at once.在多个地点持有外汇头寸比同时持有多个头寸安全.Forex market itself consists of a worldwide network of primarily interbank traders connected by telephone lines and computers. FX traders constantly negotiate prices between one another and the resulting market bid/ask price for a particular currency is then fed into computers and displayed on official quote screens.外汇市场本身含有提供给银行交易者通过线和计算机连接的全球范围的网络,外汇交易者讨论的汇率价格产生了市场上某种货币的报价和询价并通过计算机系统显示在交易屏幕上.七. you have too much debt, your business may be considered overextended and risky and an unsafe investment.如果你的企业负债比重过高,投资者则会认为企业是扩张过度,对投资者来说是不安全和高风险的;financing is attractive because you do not have to sacrifice any ownership interests in your business, interest on the loan is deductible, and the financing cost is a relatively fixed expense.债务融资对企业权益者是有吸引力的因为债务融资不会牺牲权益者的利益,借款利息可在收益中扣减,财务成本是相对固定费用.corporation is a separate legal entity that can be created only by compliance with state statutes.公司是一个其所有权与经营权相分离的经济实体即法人组织,公司的成立要遵守洲法.partners raise equity funds through their own capital contributions, by adding a new partner, or by restructuring the relative ownership interests of the existing partners to reflect new contributions.合伙人企业可通过出让合伙人自己的资本份额,或增加合伙人的方式来增加企业资本,或采用对原有合伙人所拥有的相对资本份额进行重组的方式来反映新的资本.financing requires that you sell an ownership interest in the business in exchange for capital.权益融资需要企业所有者出让企业的所有权利益来换取资本.major disadvantage to equity financing is the dilution of your ownership interests and the possible loss of control that may accompany a sharingof ownership with additional investors.权益融资的主要缺点是稀释了所有者的利益,随着其他投资者所占权益份额的扩大企业控制权也可能失去.九. is when everything in the economy is great, people are finding jobs, is growing, and are rising. Things are just plain rosy during a bull market is easier because everything is going up.牛市意味着经济发展强劲,工作岗位多,GDP 增长,股票价格上升.前景变得光明.在牛市期间投资股票将有丰厚收益因为所有物品的价格都将上升.markets cannot last forever though, and sometimes they can lead to dangerous situations if stocks become overvalued.牛市不可能永远持续,如果股票价格被高估则牛市就将导致崩盘.a person is optimistic, believing that stocks will go up, he or she is called a "bull" and said to have a "bullish outlook."如果一个人乐观的认为股票价格将上升,他或她被称做”多头”和有一个行情看涨的形象.investments it is critical to distinguish between an expected return the anticipated return for some future period and a realized return the actual return over some past period. Investors invest for the future—for the return they expect to earn—but when the investing period is over, they are left with their realized returns.投资学对期望收益预测的将来某时间段的收益和已实现收益过去某时段的实际收到的收益有严格的区分.投资者投资为将来-他们希望获取的收益-但是在投资周期结束后,他们只得到实际的收益.investors actually earn from their holdings may turn out to be more or less than what they expected to earn when they initiated the investment. This point is the essence of the investments process: investors must always consider the risk involved in investing.投资者在投资期间实际得到的收益与他们初始投资所预想的收益或多或少有差异.投资过程的关键点是:投资者在投资时必须牢记风险的成在.are three important factors you need to consider before buying a bond. The first is the person issuing the bond. The second is the interest or coupon you will receive. The third is the maturity date, the day when the borrower must pay back the principal to the lender.在投资债券前你要考虑三个重要因素:第一是债券发行人;第二是你将得到的利息或折扣;第三是到期时间, 在到期日债券发行人必须将本金退给债券持有人.十. higher rate of return the bond offers, the more risky the investment. There have been instances of companies failing to pay back the bond default, so, to entice investors, most corporate bonds will offer a higher return than a government bond.债券收益率越高投资风险越大,已有公司不能在到期日偿还债券本金违约的先例,所以, 为了诱使投资者购买公司债券大多数公司都发行高于政府债券利率的债券.is important for investors to research a bond just as they would a stock or mutual fund. The bond rating will help in deciphering the default risk.象研究股票和共同基金样研究债券对投资者来说是必要的, 辨别债券等级将有助于识别违约风险.interest is added to the contract price of a bond transaction.应计利息要加到债券交易合同价格中.Gain. An increase in the value of a investment or real estate that gives it a higher worth than the purchase price. The gain is not realized until the asset is sold. A may be short term one year or less or long term more than one year and must be claimed on income taxes.资本利得是资本价值投资或不动产的增加,也就是高于购买价格的增值部分,利得只有在这些资产出售后才能实现, 资本利得可以是短期一年以内或长期一年以上, 资本利得必须征税.any other type of investment vehicle, fixed-income securities should be viewed in terms of their risk and return. Generally speaking, bonds are exposed to five major types of risks: interest rate risk, purchasing power risk, business/financial risk, liquidity risk, and call risk.象任何其它投资工具一样,固定收益证券也应该按照它们的风险和收益来进行评价. 一般看来, 证券有五种主要的风险:利率风险,购买力风险,商业风险,流动性风险和回购风险.far we've discussed the factors of face value, coupon, maturity, issuers and yield. All of these characteristics of a bond play a role in its price.到目前我们已经讨论了债券的面值,利息率,到期日,发行人和收益,全部这些特征都会影响到债券的价格.十二. splits,like stock dividents, do not increase the assets or earning capacity of the firm,the split does decrease the price of the stock and thereby may increase its marketability.股票拆分与股票股利一样,并不能增加公司的资产或者提高公司的盈利能力,拆分降低了股票的价格,从而增加了股票的流动性;may repurchase shares to reduce the chance of an unwanted takeover attempt.管理层可以回购股票来避免公司被收购;two most important characteristics of common stock as an investment are its residual claim and limited liability features.作为投资的普通股的两个最重要的特征是剩余索取权和有限责任;stocks are traded on exchanges, which are places where buyers and sellers meet and decide on a price.大部分股票都是在证券交易所交易,买卖双方在那儿搓合股票价格;5. The most important factor that affects the value of a company is its earnings. Earnings are the profit a company makes, and in the long run no company can survive without them.6. Stock prices change every day as a result of market forces. By this we mean that share prices change because of supply and demand. If more people want to buy a stock demand than sell it supply, then the price moves up.由于市场的原因股票价格每天都在变化,股票价格是由于供求关系的原因而变化的,如果买的人比卖的人多则股票价格上升;。
《金融学》课后答案
第一章货币与货币制度1．钱、货币、通货、现金是一回事吗？银行卡是货币吗？答：（1）钱、货币、通货、现金不是一回事，虽然其内容有所重叠，但这几个概念之间是有区别的。
钱是人们对货币的俗称。
经济学中被称为货币的东西，就是在日常人们生活中被称为钱的东西。
货币是由国家法律规定的，在商品劳务交易中或债务清偿中被社会普遍接受的东西。
通货即流通中的货币，指流通于银行体系外的货币。
现金就是指家庭个人、工商企业、政府部门所拥有的现钞，包括纸币现钞、硬币现钞。
现金是货币的一部分，这部分货币的流动性强，使用频率高，对人们日常消费影响大。
（2）银行卡亦称“塑料货币”，是由银行发行，供客户办理存取款等业务的新型服务工具的总称，包括信用卡、支票卡、记账卡、自动出纳机卡、灵光卡等。
各种银行卡是用塑料制作的，可用于存取款和转账支付。
现在，特别在西方发达国家，各种银行卡正逐步取代现钞和支票，成为经济生活中广泛运用的支付工具。
因此，在现代社会银行卡也属于货币。
2．社会经济生活中为什么离不开货币?为什么自古至今，人们又往往把金钱看作是万恶之源?答：（1）社会经济生活离不开货币，货币的产生和发展都有其客观必然性。
物物交换的局限性要求有某种商品充当共同的、一般的等价物，而金银的特性决定其成为货币的天然材料。
作为货币的金银等贵金属，便于携带、铸造和分割，大大推动了商品经济的发展。
随着经济的发展，货币形态不断发生变化。
经历了实物货币阶段、贵金属货币阶段、代用货币阶段和信用货币阶段。
当今货币正朝着专门化、无体化、扩张化、电子化的趋势发展。
但不管货币的具体形态如何，都是媒介商品经济所必需的。
对货币的使用是实现市场对资源合理配置的必要条件，也是市场经济正常运行的必要条件。
从这个意义上说，市场经济实际上是一种货币经济：货币方便了市场交换，提高了市场效率；货币保证了社会需求的实现，促进了市场对资源的有效配置。
从交易成本上看，节约是经济生活中最基本的规律。
金融学双色版课本课后习题答案
金融学双色版课本课后习题答案金融学是一门研究资金的筹集、分配和使用，以及与此相关的经济活动和经济关系的学科。
它在现代经济体系中扮演着至关重要的角色。
双色版课本通常指的是将重点内容以不同颜色突出显示，以便于学生识别和记忆。
课后习题是帮助学生巩固课堂所学知识的重要环节。
以下是金融学双色版课本课后习题的一些答案示例。
第一章：金融学导论习题1：什么是金融学？它与经济学有何不同？答案：金融学是研究资金的筹集、分配和使用，以及与此相关的经济活动和经济关系的学科。
它与经济学的主要区别在于，经济学更侧重于资源的分配和利用，而金融学更专注于资金的流动和管理。
习题2：描述金融市场的基本功能。
答案：金融市场的基本功能包括：1) 资金筹集，为资金需求者提供融资渠道；2) 资金分配，将资金从资金盈余者转移到资金需求者；3) 风险管理，通过金融工具转移和分散风险；4) 信息传递，为市场参与者提供价格信息和市场动态。
第二章：货币与货币供给习题1：解释货币的三种主要职能。
答案：货币的三种主要职能是：1) 价值尺度，货币作为衡量商品和服务价值的标准；2) 交易媒介，货币在买卖交易中充当支付手段；3) 贮藏手段，货币可以作为财富的存储形式。
习题2：如何理解货币供给的多渠道？答案：货币供给的多渠道指的是货币可以通过不同的途径进入经济体系。
这包括中央银行的货币发行、商业银行的信贷创造、以及通过外汇市场和其他金融市场的货币流动。
第三章：利率与资本市场习题1：利率是如何影响经济活动的？答案：利率是资金的价格，它影响着储蓄和投资的决策。
高利率会抑制投资，因为借贷成本增加；而低利率则鼓励投资和消费，从而刺激经济增长。
习题3：描述债券市场的基本原理。
答案：债券市场是发行和交易债券的场所。
债券是一种金融证券，代表着债务关系，债券发行者（债务人）向购买者（债权人）借款，并承诺在未来的某个时间点偿还本金并支付利息。
...结语：金融学是一个不断发展和变化的领域，随着全球经济的不断演变，金融学的理论、方法和实践也在不断更新。
博迪《金融学》第2版课后习题及详解(期权市场与或有索取权市场)【圣才出品】
博迪《金融学》第2版课后习题及详解第15章期权市场与或有索取权市场一、概念题1．或有索取权（contingent claim）答：或有索取权是一类范围广泛的资产或证券，这种资产未来的收益取决于其他资产或某些不确定事件的结果。
常见的或有索权权有债务和权益资本的或有索取权。
（1）债务资本的或有索取权：债务资本体现为借债的公司承诺在某一确定的时间支付给债权人一笔固定的金额。
一般地，假设债权人得到在年末将获得金额为F的支付承诺。
如果公司年末的价值X，等于或大于F，债权人将获得F。
显然，如果公司不足以支付承诺的金额，公司将会“破产”。
无论这些资产价值多少，它将被迫变现。
债权人所得到的是X。
从数学上来看，这意味着债权人拥有对X和F之间较小数额的索取权。
图15-1表示债权人报酬结构的本质。
图15-1债权人报酬结构的本质（2）权益资本的或有索取权：股东在年末对公司价值的索取权等于支付给债权人之后的剩余部分。
当然，如果公司的价值等于或少于承诺支付给债权人的数额，股东什么都得不到。
用数学公式来表达，如果X＞F，股东的索取权是X－F；如果X≤F，股东的索取权等于0。
图15-1描述了这一关系。
总之，债权人的索取权和股东的索取权之和总是等于公司期末的价值。
2．买入期权（call）答：买入期权又称“买方期权”、“看涨期权”、“多头期权”、“敲进”，是指期权买方在合约到期日或有效期内按照预先敲定的交割价格从期权卖方手中买入某种金融资产或商品的权利，是期权交易的种类之一。
购买这种期权以人们预测市场价格将有上涨趋势为前提。
投资者在支付一定的期权费取得该种期权后，在合约到期日或到期日之前的有效期限内，若市场价格超过协定价格与期权费之和的水平，则可通过行使期权以协定价格买入合约规定的一定数量的金融资产或商品，再以市场价格卖出，从而获利。
在市场价格上涨引起期权费上升的情况下，持有者也可在合约有效期限内以较高的期权费转售该种期权，从而获利。
金融学精编版课后习题答案
金融学精编版课后习题答案金融学精编版课后习题答案金融学是一门研究金融市场、金融机构和金融工具的学科。
它涉及到许多重要的概念和理论，对于学习者来说，理解和掌握这些内容是非常重要的。
而课后习题则是检验学习者对所学知识的掌握程度的重要手段。
在这里，我们将为大家提供《金融学精编版》课后习题的答案，希望能够对大家的学习有所帮助。
第一章：金融学导论1. 金融学的定义是什么？金融学是研究个人、组织和政府如何有效地获取、使用和管理资金的学科。
2. 金融市场的功能有哪些？金融市场的功能包括资金配置、风险管理、信息传递和资源分配等。
3. 金融市场的分类有哪些？金融市场可以分为货币市场和资本市场两大类。
4. 金融机构的作用是什么？金融机构的作用包括资金的中介、风险管理、信息传递和支付清算等。
5. 金融工具的种类有哪些？金融工具的种类包括股票、债券、期货、期权等。
第二章：金融市场与金融机构1. 什么是货币市场？货币市场是指短期资金融通和短期证券交易的市场，包括银行间市场、票据市场等。
2. 什么是资本市场？资本市场是指长期资金融通和长期证券交易的市场，包括股票市场、债券市场等。
3. 金融机构的分类有哪些？金融机构可以分为商业银行、证券公司、保险公司等。
4. 什么是金融创新？金融创新是指金融机构和金融市场不断推出新的金融产品和服务的过程。
5. 金融市场的发展对经济有什么影响？金融市场的发展可以促进经济的增长和稳定，并提高资源配置的效率。
第三章：金融工具与金融市场1. 什么是股票？股票是一种代表股东所有权的金融工具，它代表了对公司所有资产和收益的权益。
2. 什么是债券？债券是一种代表债权人债权的金融工具，它代表了债务人对债权人的偿还承诺。
3. 什么是期货？期货是一种标准化合约，约定在未来某个时间以约定价格交割一定数量的标的资产。
4. 什么是期权？期权是一种购买或出售标的资产的权利，但并不是义务。
5. 金融市场的价格形成机制有哪些？金融市场的价格形成机制包括竞价定价、议价定价和指数定价等。
金融学 第十五章 货币需求 习题及答案
第十五章货币需求第十五章货币需求一、判断题1-5：××√×√ 6-10：√×××√11-15：√√×√√二、单选题1-5：B C B A A 6-10: D C A A A11-15:D A B C B三、多选题1-5：AB BC ACD BCD AC一、判断题1、货币需求就是人们持有货币的愿望，而不考虑人们是否有足够的能力来持有货币。
2、根据凯恩斯流动性偏好理论，当预期利率上升时，人们就会抛出货币而持有债券。
3、凯恩斯认为，由交易动机和预防动机决定的货币需求取决于收入水平。
4、凯恩斯认为，人们投机动机的货币需求取决于收入水平。
5、信用制度越完善、越发达，货币需求量越少。
6、当一定时期的利率水平降低到不能再低时，人们就会产生利率上升的预期，从而货币需求弹性会变得无限大，即出现“流动性陷阱”。
7、在现金交易说中，k为以货币形式持有的收入与财富占总收入与总财富的比例。
8、交易方程式中的P值主要取决于V值的变化。
9、弗里德曼认为，人力财富在总财富中所占比例较高时，人们的货币需求会下降。
10、凯恩斯认为货币需求是不稳定的。
11、费雪认为货币仅仅是一种交易的媒介。
12、一般而言，收入水平越高，人们持有的货币量越多。
13、利率水平越高，人们持有的货币量越多。
14、收入间隔期越长，货币需要量越多。
15、弗里德曼认为，影响货币需求最主要的因素是永恒收入，货币需求对利率不敏感。
二、单选题1、在正常情况下，货币需求与市场利率成（）。
A.正相关B.负相关C.正负相关都可能D.不相关2、提出现金交易数量说的经济学家是（）。
A.凯恩斯B.马歇尔C.费雪D.庇古3、M=KPY是属于（）的理论。
A.现金交易数量说B.现金余额数量说C.可贷资金说D.流动性偏好说4、根据流动性偏好理论，当预期利率上升时，人们就会（）。
A.抛售债券而持有货币B.抛出货币而持有债券C.只持有货币D.只持有债券5、一般地说，价格水平上涨，货币需求会随之（）。
米什金 货币金融学 英文版习题答案chapter 15英文习题
Economics of Money, Banking, and Financial Markets, 11e, Global Edition (Mishkin) Chapter 15 The Money Supply Process15.1 Three Players in the Money Supply Process1) The government agency that oversees the banking system and is responsible for the conduct of monetary policy in the United States isA) the Federal Reserve System.B) the United States Treasury.C) the U.S. Gold Commission.D) the House of Representatives.Answer: AAACSB: Reflective Thinking2) Individuals that lend funds to a bank by opening a checking account are calledA) policyholders.B) partners.C) depositors.D) debt holders.Answer: CAACSB: Reflective Thinking3) The three players in the money supply process includeA) banks, depositors, and the U.S. Treasury.B) banks, depositors, and borrowers.C) banks, depositors, and the central bank.D) banks, borrowers, and the central bank.Answer: CAACSB: Reflective Thinking4) Of the three players in the money supply process, most observers agree that the most important player isA) the United States Treasury.B) the Federal Reserve System.C) the FDIC.D) the Office of Thrift Supervision.Answer: BAACSB: Reflective Thinking15.2 The Fed's Balance Sheet1) Both ________ and ________ are Federal Reserve assets.A) currency in circulation; reservesB) currency in circulation; securitiesC) securities; loans to financial institutionsD) securities; reservesAnswer: CAACSB: Reflective Thinking2) The monetary liabilities of the Federal Reserve includeA) securities and loans to financial institutions.B) currency in circulation and reserves.C) securities and reserves.D) currency in circulation and loans to financial institutions.Answer: BAACSB: Reflective Thinking3) Both ________ and ________ are monetary liabilities of the Fed.A) securities; loans to financial institutionsB) currency in circulation; reservesC) securities; reservesD) currency in circulation; loans to financial institutionsAnswer: BAACSB: Reflective Thinking4) The sum of the Fed's monetary liabilities and the U.S. Treasury's monetary liabilities is calledA) the money supply.B) currency in circulation.C) bank reserves.D) the monetary base.Answer: DAACSB: Reflective Thinking5) The monetary base consists ofA) currency in circulation and Federal Reserve notes.B) currency in circulation and the U.S. Treasury's monetary liabilities.C) currency in circulation and reserves.D) reserves and Federal Reserve Notes.Answer: CAACSB: Reflective Thinking6) Total reserves minus bank deposits with the Fed equalsA) vault cash.B) excess reserves.C) required reserves.D) currency in circulation.Answer: AAACSB: Analytical Thinking7) Reserves are equal to the sum ofA) required reserves and excess reserves.B) required reserves and vault cash reserves.C) excess reserves and vault cash reserves.D) vault cash reserves and total reserves.Answer: AAACSB: Analytical Thinking8) Total reserves are the sum of ________ and ________.A) excess reserves; borrowed reservesB) required reserves; currency in circulationC) vault cash; excess reservesD) excess reserves; required reservesAnswer: DAACSB: Reflective Thinking9) Excess reserves are equal toA) total reserves minus discount loans.B) vault cash plus deposits with Federal Reserve banks minus required reserves.C) vault cash minus required reserves.D) deposits with the Fed minus vault cash plus required reserves.Answer: BAACSB: Analytical Thinking10) Total Reserves minus vault cash equalsA) bank deposits with the Fed.B) excess reserves.C) required reserves.D) currency in circulation.Answer: AAACSB: Analytical Thinking11) The amount of deposits that banks must hold in reserve isA) excess reserves.B) required reserves.C) total reserves.D) vault cash.Answer: BAACSB: Reflective Thinking12) The percentage of deposits that banks must hold in reserve is theA) excess reserve ratio.B) required reserve ratio.C) total reserve ratio.D) currency ratio.Answer: BAACSB: Reflective Thinking13) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, eight million dollars on deposit with the Federal Reserve, and one million dollars in required reserves. Given this information, we can say First National Bank has ________ million dollars in excess reserves.A) threeB) nineC) tenD) elevenAnswer: BAACSB: Analytical Thinking14) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, eight million dollars on deposit with the Federal Reserve, and one million dollars in required reserves. Given this information, we can say First National Bank faces a required reserve ratio of ________ percent.A) tenB) twentyC) eightyD) ninetyAnswer: AAACSB: Analytical Thinking15) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, eight million dollars on deposit with the Federal Reserve, and nine million dollars in excess reserves. Given this information, we can say First National Bank has ________ million dollars in required reserves.A) oneB) twoC) eightD) tenAnswer: AAACSB: Analytical Thinkingvault cash, eight million dollars on deposit with the Federal Reserve, and nine million dollars in excess reserves. Given this information, we can say First National Bank faces a required reserve ratio of ________ percent.A) tenB) twentyC) eightyD) ninetyAnswer: AAACSB: Analytical Thinking17) Suppose that from a new checkable deposit, First National Bank holds eight million dollars on deposit with the Federal Reserve, one million dollars in required reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars in excess reserves.A) twoB) eightC) nineD) tenAnswer: CAACSB: Analytical Thinking18) Suppose that from a new checkable deposit, First National Bank holds eight million dollars on deposit with the Federal Reserve, one million dollars in required reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars in vault cash.A) twoB) eightC) nineD) tenAnswer: AAACSB: Analytical Thinking19) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, nine million dollars in excess reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars in required reserves.A) oneB) twoC) eightD) tenAnswer: AAACSB: Analytical Thinkingvault cash, nine million dollars in excess reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars on deposit with the Federal Reserve.A) oneB) twoC) eightD) tenAnswer: CAACSB: Analytical Thinking21) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, one million dollars in required reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars in excess reserves.A) oneB) twoC) nineD) tenAnswer: CAACSB: Analytical Thinking22) Suppose that from a new checkable deposit, First National Bank holds two million dollars in vault cash, one million dollars in required reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has ________ million dollars on deposit with the Federal Reserve.A) oneB) twoC) eightD) tenAnswer: CAACSB: Analytical Thinking23) Suppose that from a new checkable deposit, First National Bank holds eight million dollars on deposit with the Federal Reserve, nine million dollars in excess reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has________ million dollars in required reserves.A) oneB) twoC) nineD) tenAnswer: AAACSB: Reflective Thinkingon deposit with the Federal Reserve, nine million dollars in excess reserves, and faces a required reserve ratio of ten percent. Given this information, we can say First National Bank has________ million dollars in vault cash.A) oneB) twoC) nineD) tenAnswer: BAACSB: Analytical Thinking25) The interest rate the Fed charges banks borrowing from the Fed is theA) federal funds rate.B) Treasury bill rate.C) discount rate.D) prime rate.Answer: CAACSB: Reflective Thinking26) When banks borrow money from the Federal Reserve, these funds are calledA) federal funds.B) discount loans.C) federal loans.D) Treasury funds.Answer: BAACSB: Reflective Thinking15.3 Control of the Monetary Base1) The monetary base minus currency in circulation equalsA) reserves.B) the borrowed base.C) the nonborrowed base.D) discount loans.Answer: AAACSB: Analytical Thinking2) The monetary base minus reserves equalsA) currency in circulation.B) the borrowed base.C) the nonborrowed base.D) discount loans.Answer: AAACSB: Analytical Thinking3) High-powered money minus reserves equalsA) reserves.B) currency in circulation.C) the monetary base.D) the nonborrowed base.Answer: BAACSB: Analytical Thinking4) High-powered money minus currency in circulation equalsA) reserves.B) the borrowed base.C) the nonborrowed base.D) discount loans.Answer: AAACSB: Analytical Thinking5) Purchases and sales of government securities by the Federal Reserve are calledA) discount loans.B) federal fund transfers.C) open market operations.D) swap transactions.Answer: CAACSB: Written and oral communication6) When the Federal Reserve purchases a government bond from a primary dealer, reserves in the banking system ________ and the monetary base ________, everything else held constant.A) increase; increasesB) increase; decreasesC) decrease; increasesD) decrease; decreasesAnswer: AAACSB: Analytical Thinking7) When the Federal Reserve sells a government bond to a primary dealer, reserves in the banking system ________ and the monetary base ________, everything else held constant.A) increase; increasesB) increase; decreasesC) decrease; increasesD) decrease; decreasesAnswer: DAACSB: Analytical Thinking8) When a primary dealer sells a government bond to the Federal Reserve, reserves in the banking system ________ and the monetary base ________, everything else held constant.A) increase; increasesB) increase; decreasesC) decrease; increasesD) decrease; decreasesAnswer: AAACSB: Analytical Thinking9) When a primary dealer buys a government bond from the Federal Reserve, reserves in the banking system ________ and the monetary base ________, everything else held constant.A) increase; increasesB) increase; decreasesC) decrease; increasesD) decrease; decreasesAnswer: DAACSB: Analytical Thinking10) When the Fed buys $100 worth of bonds from a primary dealer, reserves in the banking systemA) increase by $100.B) increase by more than $100.C) decrease by $100.D) decrease by more than $100.Answer: AAACSB: Analytical Thinking11) When the Fed sells $100 worth of bonds to a primary dealer, reserves in the banking systemA) increase by $100.B) increase by more than $100.C) decrease by $100.D) decrease by more than $100.Answer: CAACSB: Analytical Thinking12) When the Fed extends a $100 discount loan to the First National Bank, reserves in the banking systemA) increase by $100.B) increase by more than $100.C) decrease by $100.D) decrease by more than $100.Answer: AAACSB: Analytical Thinking13) All else the same, when the Fed calls in a $100 discount loan previously extended to the First National Bank, reserves in the banking systemA) increase by $100.B) increase by more than $100.C) decrease by $100.D) decrease by more than $100.Answer: CAACSB: Analytical Thinking14) When the Federal Reserve extends a discount loan to a bank, the monetary base ________ and reserves ________.A) remains unchanged; decreaseB) remains unchanged; increaseC) increases; increaseD) increases; remain unchangedAnswer: CAACSB: Analytical Thinking15) When the Federal Reserve calls in a discount loan from a bank, the monetary base ________ and reserves ________.A) remains unchanged; decreaseB) remains unchanged; increaseC) decreases; decreaseD) decreases; remains unchangedAnswer: CAACSB: Analytical Thinking16) If the Fed decides to reduce bank reserves, it canA) purchase government bonds.B) extend discount loans to banks.C) sell government bonds.D) print more currency.Answer: CAACSB: Analytical Thinking17) There are two ways in which the Fed can provide additional reserves to the banking system: it can ________ government bonds or it can ________ discount loans to commercial banks.A) sell; extendB) sell; call inC) purchase; extendD) purchase; call inAnswer: CAACSB: Analytical Thinking18) A decrease in ________ leads to an equal ________ in the monetary base in the short run.A) float; increaseB) float; decreaseC) Treasury deposits at the Fed; decreaseD) discount loans; increaseAnswer: BAACSB: Analytical Thinking19) The monetary base declines whenA) the Fed extends discount loans.B) Treasury deposits at the Fed decrease.C) float increases.D) the Fed sells securities.Answer: DAACSB: Analytical Thinking20) An increase in ________ leads to an equal ________ in the monetary base in the short run.A) float; decreaseB) float; increaseC) discount loans; decreaseD) Treasury deposits at the Fed; increaseAnswer: BAACSB: Analytical Thinking21) Suppose a person cashes his payroll check and holds all the funds in the form of currency. Everything else held constant, total reserves in the banking system ________ and the monetary base ________.A) remain unchanged; increasesB) decrease; increasesC) decrease; remains unchangedD) decrease; decreasesAnswer: CAACSB: Analytical Thinking22) Suppose your payroll check is directly deposited to your checking account. Everything else held constant, total reserves in the banking system ________ and the monetary base ________.A) remain unchanged; remains unchangedB) remain unchanged; increasesC) decrease; increasesD) decrease; decreasesAnswer: AAACSB: Analytical Thinking23) The Fed does not tightly control the monetary base because it does NOT completely controlA) open market purchases.B) open market sales.C) borrowed reserves.D) the discount rate.Answer: CAACSB: Reflective Thinking24) Subtracting borrowed reserves from the monetary base obtainsA) reserves.B) high-powered money.C) the nonborrowed monetary base.D) the borrowed monetary base.Answer: CAACSB: Analytical Thinking25) The relationship between borrowed reserves (BR), the nonborrowed monetary base (MB n), and the monetary base (MB) isA) MB = MB n - BR.B) BR = MB n - MB.C) BR = MB - MB n.D) MB = BR - MB n.Answer: CAACSB: Analytical Thinking26) Explain two ways by which the Federal Reserve System can increase the monetary base. Why is the effect of Federal Reserve actions on bank reserves less exact than the effect on the monetary base?Answer: The Fed can increase the monetary base by purchasing government bonds and by extending discount loans. Because the Fed cannot control the distribution of the monetary base between reserves and currency, it has less control over reserves than the base.AACSB: Reflective Thinking15.4 Multiple Deposit Creation: A Simple Model1) When the Fed supplies the banking system with an extra dollar of reserves, deposits increase by more than one dollar—a process calledA) extra deposit creation.B) multiple deposit creation.C) expansionary deposit creation.D) stimulative deposit creation.Answer: BAACSB: Reflective Thinking2) When the Fed supplies the banking system with an extra dollar of reserves, deposits ________ by ________ than one dollar—a process called multiple deposit creation.A) increase; lessB) increase; moreC) decrease; lessD) decrease; moreAnswer: BAACSB: Reflective Thinking3) If the required reserve ratio is equal to 10 percent, a single bank can increase its loans up to a maximum amount equal toA) its excess reserves.B) 10 times its excess reserves.C) 10 percent of its excess reserves.D) its total reserves.Answer: AAACSB: Analytical Thinking4) In the simple deposit expansion model, if the Fed purchases $100 worth of bonds from a bank that previously had no excess reserves, the bank can now increase its loans byA) $10.B) $100.C) $100 times the reciprocal of the required reserve ratio.D) $100 times the required reserve ratio.Answer: BAACSB: Analytical Thinking5) In the simple deposit expansion model, if the Fed purchases $100 worth of bonds from a bank that previously had no excess reserves, deposits in the banking system can potentially increase byA) $10.B) $100.C) $100 times the reciprocal of the required reserve ratio.D) $100 times the required reserve ratio.Answer: CAACSB: Analytical Thinking6) In the simple deposit expansion model, if the Fed extends a $100 discount loan to a bank that previously had no excess reserves, the bank can now increase its loans byA) $10.B) $100.C) $100 times the reciprocal of the required reserve ratio.D) $100 times the required reserve ratio.Answer: BAACSB: Analytical Thinking7) In the simple deposit expansion model, if the Fed extends a $100 discount loan to a bank that previously had no excess reserves, deposits in the banking system can potentially increase byA) $10.B) $100.C) $100 times the reciprocal of the required reserve ratio.D) $100 times the required reserve ratio.Answer: CAACSB: Analytical Thinking8) In the simple model of multiple deposit creation in which banks do not hold excess reserves, the increase in checkable deposits equals the product of the change in reserves and theA) reciprocal of the excess reserve ratio.B) simple deposit expansion multiplier.C) reciprocal of the simple deposit multiplier.D) discount rate.Answer: BAACSB: Analytical Thinking9) The simple deposit multiplier can be expressed as the ratio of theA) change in reserves in the banking system divided by the change in deposits.B) change in deposits divided by the change in reserves in the banking system.C) required reserve ratio divided by the change in reserves in the banking system.D) change in deposits divided by the required reserve ratio.Answer: BAACSB: Analytical Thinking10) If reserves in the banking system increase by $100, then checkable deposits will increase by $1000 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.10.C) 0.05.D) 0.20.Answer: BAACSB: Analytical Thinking11) If reserves in the banking system increase by $100, then checkable deposits will increase by $500 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.10.C) 0.05.D) 0.20Answer: DAACSB: Analytical Thinking12) If the required reserve ratio is 10 percent, the simple deposit multiplier isA) 5.0.B) 2.5.C) 100.0.D) 10.0Answer: DAACSB: Analytical Thinking13) If the required reserve ratio is 15 percent, the simple deposit multiplier isA) 15.0.B) 1.5.C) 6.67.D) 3.33.Answer: CAACSB: Analytical Thinking14) If the required reserve ratio is 20 percent, the simple deposit multiplier isA) 5.0.B) 2.5.C) 4.0.D) 10.0.Answer: AAACSB: Analytical Thinking15) If the required reserve ratio is 25 percent, the simple deposit multiplier isA) 5.0.B) 2.5.C) 4.0.D) 10.0.Answer: CAACSB: Analytical Thinking16) A simple deposit multiplier equal to one implies a required reserve ratio equal toA) 100 percent.B) 50 percent.C) 25 percent.D) 0 percent.Answer: AAACSB: Analytical Thinking17) A simple deposit multiplier equal to two implies a required reserve ratio equal toA) 100 percent.B) 50 percent.C) 25 percent.D) 0 percent.Answer: BAACSB: Analytical Thinking18) A simple deposit multiplier equal to four implies a required reserve ratio equal toA) 100 percent.B) 50 percent.C) 25 percent.D) 0 percent.Answer: CAACSB: Analytical Thinking19) In the simple deposit expansion model, if the banking system has excess reserves of $75, and the required reserve ratio is 20%, the potential expansion of checkable deposits isA) $75.B) $750.C) $37.50.D) $375.Answer: DAACSB: Analytical Thinking20) In the simple deposit expansion model, if the required reserve ratio is 20 percent and the Fed increases reserves by $100, checkable deposits can potentially expand byA) $100.B) $250.C) $500.D) $1,000.Answer: CAACSB: Analytical Thinking21) In the simple deposit expansion model, if the required reserve ratio is 10 percent and the Fed increases reserves by $100, checkable deposits can potentially expand byA) $100.B) $250.C) $500.D) $1,000.Answer: DAACSB: Analytical Thinking22) In the simple deposit expansion model, an expansion in checkable deposits of $1,000 when the required reserve ratio is equal to 20 percent implies that the FedA) sold $200 in government bonds.B) sold $500 in government bonds.C) purchased $200 in government bonds.D) purchased $500 in government bonds.Answer: CAACSB: Analytical Thinking23) In the simple deposit expansion model, an expansion in checkable deposits of $1,000 when the required reserve ratio is equal to 10 percent implies that the FedA) sold $1,000 in government bonds.B) sold $100 in government bonds.C) purchased $1000 in government bonds.D) purchased $100 in government bonds.Answer: DAACSB: Analytical Thinking24) In the simple deposit expansion model, a decline in checkable deposits of $1,000 when the required reserve ratio is equal to 20 percent implies that the FedA) sold $200 in government bonds.B) sold $500 in government bonds.C) purchased $200 in government bonds.D) purchased $500 in government bonds.Answer: AAACSB: Analytical Thinking25) In the simple deposit expansion model, a decline in checkable deposits of $1,000 when the required reserve ratio is equal to 10 percent implies that the FedA) sold $1,000 in government bonds.B) sold $100 in government bonds.C) purchased $1,000 in government bonds.D) purchased $100 in government bonds.Answer: BAACSB: Analytical Thinking26) In the simple deposit expansion model, a decline in checkable deposits of $500 when the required reserve ratio is equal to 10 percent implies that the FedA) sold $500 in government bonds.B) sold $50 in government bonds.C) purchased $50 in government bonds.D) purchased $500 in government bonds.Answer: BAACSB: Analytical Thinking27) In the simple deposit expansion model, a decline in checkable deposits of $500 when the required reserve ratio is equal to 20 percent implies that the FedA) sold $250 in government bonds.B) sold $100 in government bonds.C) sold $50 in government bonds.D) purchased $100 in government bonds.Answer: BAACSB: Analytical Thinking28) If reserves in the banking system increase by $100, then checkable deposits will increase by $400 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.10.C) 0.20.D) 0.25.Answer: DAACSB: Analytical Thinking29) If reserves in the banking system increase by $100, then checkable deposits will increase by $667 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.05.C) 0.15.D) 0.20.Answer: CAACSB: Analytical Thinking30) If reserves in the banking system increase by $100, then checkable deposits will increase by $100 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.10.C) 0.20.D) 1.00.Answer: DAACSB: Analytical Thinking31) If reserves in the banking system increase by $100, then checkable deposits will increase by $2,000 in the simple model of deposit creation when the required reserve ratio isA) 0.01.B) 0.05.C) 0.10.D) 0.20.Answer: BAACSB: Analytical Thinking32) If reserves in the banking system increase by $200, then checkable deposits will increase by $500 in the simple model of deposit creation when the required reserve ratio isA) 0.04.B) 0.25.C) 0.40.D) 0.50.Answer: CAACSB: Analytical Thinkingreserve requirement is 20 percent, then the bank has actual reserves ofA) $16,000.B) $20,000.C) $26,000.D) $36,000.Answer: CAACSB: Analytical Thinking34) If a bank has excess reserves of $20,000 and demand deposit liabilities of $80,000, and if the reserve requirement is 20 percent, then the bank has total reserves ofA) $16,000.B) $20,000.C) $26,000.D) $36,000.Answer: DAACSB: Analytical Thinking35) If a bank has excess reserves of $5,000 and demand deposit liabilities of $80,000, and if the reserve requirement is 20 percent, then the bank has actual reserves ofA) $11,000.B) $20,000.C) $21,000.D) $26,000.Answer: CAACSB: Analytical Thinking36) If a bank has excess reserves of $15,000 and demand deposit liabilities of $80,000, and if the reserve requirement is 20 percent, then the bank has total reserves ofA) $11,000.B) $21,000.C) $31,000.D) $41,000.Answer: CAACSB: Analytical Thinking37) If a bank has excess reserves of $4,000 and demand deposit liabilities of $100,000, and if the reserve requirement is 15 percent, then the bank has actual reserves ofA) $17,000.B) $19,000.C) $24,000.D) $29,000.Answer: BAACSB: Analytical Thinkingreserve requirement is 10 percent, then the bank has actual reserves ofA) $14,000.B) $19,000.C) $24,000.D) $29,000.Answer: AAACSB: Analytical Thinking39) If a bank has excess reserves of $7,000 and demand deposit liabilities of $100,000, and if the reserve requirement is 15 percent, then the bank has actual reserves ofA) $17,000.B) $22,000.C) $27,000.D) $29,000.Answer: BAACSB: Analytical Thinking40) If a bank has excess reserves of $7,000 and demand deposit liabilities of $100,000, and if the reserve requirement is 10 percent, then the bank has actual reserves ofA) $14,000.B) $17,000.C) $22,000.D) $27,000.Answer: BAACSB: Analytical Thinking41) A bank has excess reserves of $6,000 and demand deposit liabilities of $100,000 when the required reserve ratio is 20 percent. If the reserve ratio is raised to 25 percent, the bank's excess reserves will beA) -$5,000.B) -$1,000.C) $1,000.D) $5,000.Answer: CAACSB: Analytical Thinking42) A bank has excess reserves of $4,000 and demand deposit liabilities of $100,000 when the required reserve ratio is 20 percent. If the reserve ratio is raised to 25 percent, the bank's excess reserves will beA) -$5,000.B) -$1,000.C) $1,000.D) $5,000.Answer: BAACSB: Analytical Thinking。
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第十五章课后答案翻译1.a.如果你持有多头：价值为s的股票为基础资产发行的，执行价格为E的欧式卖出期权的收益曲线为：卖出期权的收益曲线为：2．持有一份欧式卖出期权和一份欧式买入期权的投资组合的收益图（E＝100）：3．a ．为了保证你至少能够收回你初始的一百万美元，你需要投资在till 股票上。
你可以购买的期权。
104股指的报酬线斜率是4807.69，正如图表所显示的。
B ．4．a.要复制一个面值为100美元的纯贴现债券，应买一份股票：其欧式买入期权价格和欧式卖出期权价格均为100。
b. S = $100, P = $10, and C = $15.E/(1+r) = S + P- C$100/(1+r) = $100 + $10 - $15 = $95 r = 100/95 -1 =0 .053 or 5.3%c.如果1年期无风险利率小于b 的答案，则说明纯贴现债券的价格过高，人们便会通过便宜购买综合性产品（一份其欧式买入期权价格和欧式卖出期权价格均为100的股票）来替换价格较高的纯贴现债券以从中套利。
5．用P = -S + E/(1+r)T + C 这个表达式来表示卖出期权S 是股价，P 是卖出的执行价，C 是买入期权的价格，E 是执行价格，既然政府债券是以9855日元每10000日元的价格出售，这就是计算执行价格现值的贴现率，而无须用风险利率进行折现。
用平价的替代等式来计算，我们可以得到：P = -2,400 + 500 x .9855 +2,000 = 92.75 yen6．a.根据卖出－买入平价，Gekko 投资组合中买入期权的价格： C = S - E/(1+r)T + P = $215 - $50 ×0 .9901 + $25 = $190.495b. Gekko 的投资组合的总价值：10 x $990.10 + 200 x $190.495 = $48,000，而300股股票的总价值：$64,500。
所以我们应该拒绝Gekko 的提议。
7．a 利用卖出-买入平价，我们可以如下推算出美国政府债券的收益率大概为8.36%:购买股票,卖出期权以及卖出买入期权的投资策略与购买一年期面值为E 的政府债券是等价的.因此这样的政府债券价格应该是184.57美圆: E/(1+r)T=S+P-C=500+84.57-400=184.5746.538,961$04.1000,000,1$1000,000,1$=+=+f r 69.4807854.461,38$10008.46.538,961$000,000,1$==⨯-1+r=200/184.57=1.0836 r=0.0836 or 8.36%b 当前"一价原则"被破坏,利用这一状况进行套利的方法有很多种.由于现行收益率是9%,而复制投资组合中隐含的利率却是8.36%,所以我们可以卖出复制投资组合,并投资于政府债券.比如说,在现行价格下,卖出一个单位的包括卖出期权和一股股票的投资组合并签下一份买入期权,就可以马上获得184.57美圆.你卖出去的投资组合从现在起每年将减少你200美圆的应收帐款.但如果你将184.57投资于1年期政府债券,从现在起每年你将获得1.09*184.57=201.18美圆.因此,你将赚取无风险收入1.18美圆,并且无须你掏出一分钱. 8．我们通过构造一个综合性卖出期权为卖出期权定价.我们卖出部分股票(卖出的股票的比例为a),并借入无风险借款b 美圆.用S 表示股票价格,P 表示卖出期权的价格.股价上涨时记股票价格为U*S,股价时记股票价格为d*S.在这两种可能的结局下,卖出期权的价格分别记为Pu 和Pd.无风险利率为r. -U*S*a+(1+r)*b=Pu -d*S*a+(1+r)*b=Pd 得到a=-(Pu-Pd)/[(U-d)*S]b=(U*Pd-d*Pu)/[(U-d)*(1+r)] 所以卖出期权的价格为P=-a*S+b=[1/(1+r)]*{[(1+r-d)/(U-d)]*Pu+[(U-1-r)/(U-d)*Pd]} 9．如果90天后DBM 股票的价格上涨到150美圆,买入期权的预期价值将为65美圆.但如果DBM 股票下跌到50美圆,买入期权的预期价值将为0.利用双状态期权定价模型,我们可以算出买入期权的价值为32.82美圆: 150*X-1.01*Y=65 50*X-1.01*Y=0用股票和无风险借款复制买入期权,我们买入X 股股票和借入Y.我们建立两个等式来求取X 和Y 的值.算出等式的结果为X=0.65和Y=32.5/1.01=32.18美圆.因此我们可以通过购买0.65股股票(成本为65美圆)和借入32.18美圆来复制买入期权.买入期权的价格是32.82美圆: C=65*100-32.18=32.82美圆 10，a. 买入期权价格是 $3.987. 既然其基础资产为但前价格为50美元的无股利股票, 我们可以列出 Black-Scholes 公式:b.标准正态分布中小于d1的随即变量的概率分布等于N(d1), 也就是你买的股份数 , 而借款的总额是 N(d2)乘于基础资产的现值. 为了找到 N(d1) 和 N(d2)， 你必须计算 d1 和 d2 ，然后利用N( ) 函数计算其标准正态分布. 你可以利用Excel 的 NORMDIST 工具算出.这个比例是0.54, 表示你会用$27买 0.54 的股票. 而借款总额是$23.C ．通过卖出－买入平价关系式得出: P = -S + E e 0.02 + C = -$50 + $51.01 + $4 =4$5.504.4.4.=⨯⨯⨯=⨯⨯⨯=T S C σ$5.0111，利用Black-Scholes 公式, 若S = $55, E = $50, σ= .2, T = 25/365, r = .05. 得出C = $5.20. 这个值远远小于$30, 所以这是不值得购买的.12，a.90天后公司的当前资产总价值是E1 = max (V1 -B, 0) ，V1是公司90天后公布的资产的价值,且B是债务的面值.当前资产的现值是:E = xV -y,x是这个等式中为复制报酬所必须购买的公司的部分资产，y 是必须通过借贷得到的总额. 通过联立上面两个方程得出x和y,（one for each of the possible payoffs of the equity 90 days from now）:170000x -y(1+r) = 120,00045000x -y(1+r) = 0答案是x = 120/125 =0.96 ，y = $43,200/(1+r), r 是90天期的无风险资产利率. 因此, 通过购买96% 的公司资产(成本$96,000) ，借入现值为$43,200的金额来复制这个资产. 当前资产的现值变成:E = $96,000 -$43,200/(1+r)b.和a类似. 买入期权类似资产总值, 股票价格类似于负债, 执行价格类似于公司负债的面值. 结果,股东持有公司资产的买入期权, 也就是他们可以通过偿还债务的面值得到的.c.根据有限公司负债的现值,90天后公司债权人的实际总收益D1就是:D1 = min (V1,B).d.公司的债券和无违约风险债券在价值上的不同，等于公司资产的欧式卖出期权的值. 这个关系意味着股东要根据债券的面值来出售公司资产, 也意味着无风险资产的价值等于风险资产和抵押资产价值总和.13．在第一种情况下，GAG总资产的价值是$160,000-$80,000=$80,000 在第二种情况下，GAG总资产的价值是$130,000-$80,000=$50,000.在第三种情况下，GAG总资产的价值是0.a.假设该投资组合包括x 单位的GAG 资产, y 单位的YY 资产, 和z 单位的国债(面值$100,000). 这个投资组合的盈利和GAG资产的投资组合收益相等：:160,000x + 100,000y + 100,000z = 80,000130,000x + 100,000y + 100,000z = 50,00020,000x + 40,000y +100,000z = 0解得x = 1, y = -1, z = 0.2b.我们定义三种类型的（pure contingent claims）: 一年以后, AD1 支付$1当且仅当Rupert Murdoch 成功地购买了华盛顿出版俱乐部，并将其转变成一个喜剧沙龙; AD2支付$1当且仅当Murdoch 买下了俱乐部但是没有改变其业务; AD3支付$1 当且仅当Murdoch 在另外一个地方建立了沙龙. 假定the prices as of today of the three pure contingent claims 是p1，p2，p3, 它们分别是.根据GAG资产，YY资产，国债的等式，我们得到:GAG: 160,000p1 + 130,000p2 + 20,000p3 = 120,000 YY: 100,000p1 + 100,000p2 + 40,000p3 = 85,725 国债: 100,000p1 + 100,000p2 + 100,000p3 = 100,000/(1+10%) = 90,909解得p1 = 0.3774, p2=0.4453, p3=0.0864GAG资产净值是80,000p1 + 50,000p2 = $52457每股当前市场价格是$5.25.c.国债的价值和资产净值累计为资产的价值,因此,V bond = V asset– V equity = 120,000 – 52547 = $67543每股这样债券到期收益率是(80,000-67543)/67543 = 18.4%。