\

Mid term Dérivatives 2021

Exercice 1

| l I I
o l 2 3
290.000 G. Cooltanks :

F? =
1.55$ 1 gallon
4=290 cost of storage
'

So d.
5$ ( gallon
eoo
D= =
5%
rois = 0,25%

ccaltanhschagefreengas@mcstfc-stcriy2gcioooj.for
a) Hou much could
3 months ?

By no
arbitrage :

F. =
ls .
+ a) É
" " " " ""
(Sots)
'

rt
Fo é =
s = F. e- -
So = 1.55 e- _ 1.5 = qoçgs /Gallon .

PVXostgreenpyt-ttuxl.co/tenhscandharp-- 0,049×290
'
000 =
'
14 210 $*
We can also compute the
profit T of battants :

Lost of
story for cooltanks :

1) 5471.6$
""
le
'
" 5
29C
'
coco A. 5 × -
=

Is Because Gcttunks do not have to

the commodity
Buy .

Imax (odtunks 14210 -

5471.6 = 8738.4
#
b) En collants make
arbitrage prof:b ?

Collantes :

tous ) 0,25
gérons
-

Fra =
Sa ét est .
= Sa érxsst = 1. =
1.5198$ #

F?
Fm .
=
1.5198 C 1.55 = Over valued
,
we reed to short ?
Arbitrage opportun ity :

t= o E- 3. months

Short Futur contrat o Fo -

St

So
Golonvg Ethanol ST
-

Brrcw So EST -
çoertstt

Fo - So était
= FNA
Profit withmt rist
.
= 1.55 -

1-5198 =
0,0302 #

Maximum that caltant can More = 2. SG million ,

Henie
they can create 2.9 million
ça
= 10 Futur contract .

↳ total arbitrage 580$

'

=
x. zgoeoo (1.55-1-5198) =
87

Exercice 2 :

Shortposition
1oiooo8hanesofMcft@So--5oslshaoeJnitiuellagin--8oy.xSo
=

Maintenance Harpin =
701 - ×
Se

a) Maximum
possible profit ?
Since they Short
profit 10 $
'

,
maximum = 000×50 = S'oéooo
,

ii ) Price has no
boundary finaux , ttuaefone ,
maximum

Kssiseenbcrcndedii tifzqueezedout@2o.l aximumprcpit -

=
n' oee

3 cc ' ca
+
(50-20)
c

unbandit
maximum
profit = .
b) Minimum Security price that lead te
amarra
cale ?

Han much the cash can rire befone a

margin
call :

A L
Cash 5001000 stock oued socio 00

T bills 4cal Initial 40C

'
coo
margin coco
-

( 400 oootjoéooo
'

-
10000 St) = 0,710
'

000 St

gcciooo =
St ( 1710cal =p Et =
Soo '
coco
= 5522.94
,
$
Æo
If the police increaseshgher
"
than P Ne

call ?
pt a
margin

c) PM it initial ammnt would have been zoo

-
ooo ?

( 50C '
OU
'
+500 Coo -
# St ) = 0,710
'
000 St

ft l'000 58,82$ #
'
= 000
=

'
1- Ooo

d) Initial margin = J' ooox 0,85 × 50×0,9=191.250 ,

Profit from décreuse l' ntteuh price =

look (50-45)=50
'
000
,

Excess cash to maintenance margin = N'000 0,8-50

-
-
n' ooo# C-7*45
=
85000
,

Minimum Cash = 191.250 -

50000 -851000

=
561250$
F-
Exercice 3

Pay alt Call

(a)
long

-
a-
K ST

St -
K
p

Kart put :
site the right b- set .

Puyo # long Lad (ft

= c)
max -
K ,

Puy 4f shortpeut 4- K a) = min -

Total max Ht K a) ( St K
payait = -

,
+ min -

,
o )

if St $ le = St K -
to

if 4- LK =
0 + St - K

Puy # = St K -

b) Inonder A- this the

price portfolio ne me
put cale
-

because this
party portfolio corresponds to the
put
-
call
party :

Craig luy put

a call and short a .

(t -
Pe = St -
PKK) .
Exercice 4

a) So -
50$ r = 0,05

""
52.56$
"
f. = Sae =
Joe =

• Value of the contrat :

No cash
exchange @ Ihebginniyofth contrat

Value of the contrat at to is zero .

b) Sa >
55$ r -405
-

F- 0,5

"" " "

Fois =
55 e = 56.39$

c) @ E- ois

" "" " "

Fo = Joe =
51.26 c 56.39 trnderpriced

t-on E-
f- a
Maturity
layfawarn o o f- Fo
that stock 0 + St -

S ,

fterH-HStetH-tt_fVahre@t--Oi5i.St
Invest @ Kf 0 -
St

-=374 $
" "
-
F. èr = 55 -
zz .
Exercice 5 cale Putt
"

Cui
Call 18
(36-18,18-36)
=
=
36 Max
G) y ✓ "
"

X 24 -
1g max ( 18 - 18
,
18 -
18 ) = o = indifférent in .

¥
16 / cale Putt
12 - Putt
"

Pdd "
9 max ( S -

18,1g _

g) = = s

)
Mh ( 0,1 -
O 0,5

Disk neutral
percha d ect d
-

ptn 0.75
q
= =
e
-

=
-
-

u d d 1.5 475
µ
-
-
-

1.5 0,4017
de
2¥
= =
=
,

D= 0,75

"" ""

Y
=
e- [ que (d- 91in ) [0,401718-11-9401770] è

[
-

6.878
,
""
""
[ g) f- e- Lacotte t ananas]
-

Z = e-
g.
gin - t -
Pdd -
-

=
5.12
×
""
Price omet
[ q y
"

Canat 6.878 th-oiatt5.cz]

"

× = : e- -
+ A- g) z ] = è -

= 5.543
,

b- Z 6- 878 5.12
DD 0.146
-

= =
=

ftp.qq 11 .

5 -
0,75116

b) Strike 26 =
?
Call
36 Max (36-26,26-36) = 10 =D

× Y ,
18 max (ds -26,26-181=8 =D Put
16
£ Put
9 mur (9-26,26-9)=17 =D

q is shih the same

since we are not indifférent it the stock

trinquer =
,

we need to check with

otratgy impies the bughest
espérance .
 [q texto]
""
e- to =
3.82
En
-

[q
""

ypup
-
-
è -

o t t -

9) 8) = 4.553
"

ta tatie 6 monter
Then we chose a
putin .

lgpmt y
-

2- = e-
""
[ 98 tu -

g) 17J
= 12.732 "

ftp.ypptlt-qtZJ-fq
"" ""
X = e- .

4,555+(1-9112.732) è

DS 9¥
4.553-12.732=8-986,1
-0.6821,
= =
=

(U
-

d) So (1. sec # 1g ,

C) b- node : 4,5537 (26-24)=2 → donut exercice

d- mode : 12.732 L (26-12)=14 → exercices

95
PA "'
'

=
[ (9-4,553)+11 gyu ] -

,
e-

=
9,707
Initial price of an american -

style is -9,707$
-