Đề thi môn chứng khoán phái sinh trường ĐH kinh tế - Luật sử dụng các mô hình Black scholes model, Binomial options pricing model, excel, ngôn ngữ lập trình R. Bài viết có nội dung về chứng khoán phái sinh các sản phẩm covered warrant, future contract là tài liệu tham khảo hữu ích cho những người đang quan tâm đến lĩnh vực chứng khoán phái sinh và các bạn sinh viên đang có nhu cầu tìm tài liệu ôn tập cuối kỳ.
Trang 1DERIVATIVES
Trang 2
PART 1: DERIVATIVES AND CORPORATE RISK MANAGEMENT
Case study: Assume that you have just been hired as a financial analyst by
Tropical Sweets Inc., a midsized California Company that specializes in creating exotic candies from tropical fruits such as mangoes, papayas, and dates The firm's CEO, George Yamaguchi, recently returned from an industry corporate executive Conference
in San Francisco One of the sessions he attended was on the pressing need for smaller companies to institute corporate risk management programs As no one at Tropical Sweets is familiar with the basics of derivatives and corporate risk management, Yamaguchi has asked you to prepare a brief report that the firm's executives can use to gain at least a cursory understanding of the topics
To begin, you gather some outside materials on derivatives and corporate risk management and use those materials to draft a list of pertinent questions that need to be answered In fact, one possible approach to the paper is to use a question and answer format Now that the questions have been drafted, you must develop the answers
1 Why might stockholders be indifferent to whether a firm reduces the volatility of its cash flows?
Answer:
When stockholders diversifying their portfolios, they can eliminate the risk of volatile cash flows (If volatility in cash flows is not caused by systematic risk) Thus they are indifferent as to who does the hedging
2 What are seven reasons risk management might increase the value of
corporation
Answer:
- The firms can maintain their optimal capital budget
- Reduce both the risks and costs of borrowing by using swaps
- Avoid financial distress costs
- Hedging certain types of risk because managers have a comparative advantage other
- Hedging relative to the hedging ability of individual investors
- Reduces the higher taxes that result from fluctuating earnings
Trang 3- Reduced volatility reduces bankruptcy risk, which enables the firm to increase its debt capacity
3 What is an option? What is the single most important characteristic of an
- Put option: A put option is a contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying security at a pre-determined price within a specified time frame
- Exercise price or strike price: The strike price is defined as the price at which the holder of an options can buy (in the case of a call option) or sell (in the case of a put option) the underlying security when the option is exercised Hence, strike price is also known as exercise price
- Option price: Option contract’s market price
- Expiration date: The date the option matures
- Exercise value: The exercise value is the value that an option buyer will get from the option on exercising it
- Covered option: an option written against stock held in an investor’s portfolio
- Naked (uncovered) option: An option written without the stock to back it up
- In-the-money call: An in the money call option means the option holder has the opportunity to buy the security below its current market price
- Out-of-the-money call: A call option whose exercise price exceeds the current stock price
Trang 4- LEAPS: Similar to normal options, but they are longer-term options with maturities of up to 2½ years
5 Consider Tropical Sweets’s call option with a $25 strike price The following table contains historical values for this option at different stock prices:
Stock Price Call Option Price
5.1 Create a table that shows the (a) Stock price, (b) Strike price, (c) Exercise value,
(d) Option price, and (e) Premium of option price over exercise value
Answer:
Exercise value = Stock price - Strike price
Premium = Option price - Exercise value
Stock
price (a)
Strike price (b)
5.2 What happens to the premium of option price over exercise value as the stock
price rises? Why?
Answer:
When the stock price increases the premium of the option price over the exercise value declines Because of leveraged finance is declining
Trang 56 In 1973, Fischer Black and Myron Scholes developed the Black-Scholes Option Pricing Model (OPM)
6.1 What assumptions underlie this model?
Answer:
- Buy, sell, and short any quantities or percentages
- No corresponding fees or costs
- Borrow and lend at the risk-free rate
- No transaction costs (e.g., market impact is not incurred during trading)
6.2 Write the three equations that constitute the model
/2(r)P/X
V = Current value of a call option with time t until expiration
P = Current price of the underlying stock
N(di) = Probability that a deviation less than di will occur in a standard normal distribution
e 2.7183
ln(P/X) = Natural logarithm of P/X
t = Time until the option expires (the option period)
rRF = Risk-free interest rate
Trang 6 = Standard deviation of the rate of return on the stock
X = Strike price of the option
6.3 What is the value of the following call option according to the OPM?
3317 0 (
.5) 0.11/2)](0 [(0.06
/$25) 27
d2 = d1 - (0.3317)(0.7071) = 0.3391
N(d1) = N(0.5736) = 0.7168 N(d2) = N(0.3391) = 0.6327
V = P[N(d 1 ) - XerRFt[N(d 2 )]
V = 27(0.7168) - 25e-0.03(0.6327) = 4.00$
7 Disregard the information in parf f Determine the value of a firm's call option using the binomial approach by creating a riskless hedge given the following information A firms current stock price is $15 per share Options exist that permit the holder to buy one share of the firms stock at an exercise price of $15 These options expire in 6 months, at which time the firms stock will be selling at one of two prices, $10 or $20 The risk-free rate is 6% What is the value of this firms call option?
Trang 7Answer:
- Calculate the value of the portfolio at the end of 6 months
Value of portfolio = Ending Stock price * 0.5 + Ending option value
When investor sells at $10 Value of portfolio = $10 *0.5 + 0 = $5
When investor sells at $20 Value of portfolio = $20 * 0.5 - $5 = $5
- The present value of the riskless portfolio today
PV =
=
= $4.86 Cost of stock in portfolio = % of stock in portfolio x Stock price
= 0.5 * $15
= $7.5 Price of option = Cost of stock - PV of portfolio
Trang 8- Variability of the stock price: The greater the variance in the underlying stock price, the greater the possibility that the stock's price will exceed the strike price
A contract in which the parties agree
to exchange the asset for cash at a fixed price and at a future specified date, is known as future contract
Traded on Over the counter, i.e there is no
No such probability
What is it? It is a tailor made contract It is a standardized contract
10 Explain briefly how swaps work
Answer:
A swap is a derivative contract through which two parties exchange the cash flows or liabilities from two different financial instruments Most swaps involve cash flows based
Trang 9on a notional principal amount such as a loan or bond, although the instrument can be almost anything
11 Exlplain briefly how a firm can use futures and swaps to hedge risks
If a company knows that it will be selling a certain item, it should take a short position
in a futures contract to hedge its position
12 What is corporate risk management? Why is it important to all firms?
Answer:
Corporate risk management refers to all of the methods that a company uses to minimize financial losses Risk managers, executives, line managers and middle managers, as well as all employees, perform practices to prevent loss exposure through internal controls of people and technologies
Risk management is important in an organisation because without it, a firm cannot possibly define its objectives for the future If a company defines objectives without taking the risks into consideration, chances are that they will lose direction once any of these risks hit home
Trang 10PART 2: SHOW YOUR UNDERSTANDING OF FUTURE AND
COVERED WARRANTS IN VIETNAM
FUTURE CONTRACT
1 What is a futures contract?
A futures contract is an agreement between two parties to buy or sell an asset at a specified day in future and at a predetermined price
At the time when the agreement is established, the purchasers and sellers of the futures contract will know:
- What type of assets / goods, or basic assets, that they will buy / sell;
- Volume and quality of assets that the seller will transfer and the buyer will receive;
- The time when the underlying assets are purchased/sold or the time of contractual payment between the parties;
- The price that the buyer and seller will apply to pay for the underlying asset
2 Stock Index futures contract
Stock Index futures is a type of futures contract where the underlying asset is a stock index Similar to other types of futures, stock index futures are instruments that are traded on a centralized exchange with standardized terms Those standardized factors are basically detailed in the contract characterization
01 Contract name VN30 index future
02 Trading sessions
Opening periodical order-matching session, continuous order-matching session and closing periodical order-matching session
Trang 11+ Continuous order-matching session: 13h00 – 14h30 + Closing periodical order-matching session: 14h30 – 14h45
04 Contract code
According to regulations on trading code of HNX, for example: VN30F1706
05 Underlying asset VN30 index
06 Contract size VND 100,000 × VN30 Index point
10 Tick size 0.1 index point
11 Margin 10% of the contract value
12 Tick size 0.1 index point
13 Trading unit 01 contract
17 Final trading day
The final trading day is the third Thursday of the expiry month In case it is a holiday, it will be the previous trading day
Trang 1220 Multiplier 100,000 VND
3 The clearing house is Vietnam Securities Depository in Vietnam, and clearing members
- General Clearing member:
SSI Securities Corporation
YUANTA Securities Vietnam Joint Stock Company
Bank for Investment and Development of Vietnam Securities Joint Stock
Company
VNDirect Securities company
- Direct Clearing member:
Tan Viet Securities Joint Stock Company
KB Securities Vietnam Joint Stock Company
MB Securities Joint Stock Company
ACB Securities Company Ltd
Vietnam Bank for Industry and Trade Securities Joint Stock Company
Vietcombank Securities Company Limited
Ho Chi Minh City Securities Corporation
VPS Securities JSC
Viet Dragon Securities Corporation
KIS Vietnam Securities Corporation
FPT Securities Joint Stock Company
Viet Capital Securities Joint Stock Company
Mirae Asset Securities Ltd Company (Vietnam)
4 Activities of Trading and Payment for Derivatives
- An investor must have a derivatives trading account at a trading member and an escrow deposit account at a designated clearing member
Trang 13- Before placing a trading order, during the period of holding a position, and when implementing a contract, the investor must maintain the level of the escrow deposit required by the clearing member
- Trading orders of the investor are matched on the trading system of an SE After the orders have been matched, the investor is deemed to have participated in a derivatives contract and has all rights and is solely liable to perform the obligations arising from such contract;
- The investor must ensure that the position on the trading account falls within the position limit in accordance with regulations of the VSD
1 Total trading volume Contract 1.106.353 19.697.764 15.245.004
2 Average trading volume
/session
Contract 10.954 78.791 104.284
3 OI volume Contract 8.077 21.653 21.653
Trang 14COVERED WARRANTS
1 What is covered warrants?
A covered warrant is a secured asset issued by a securities company that gives the holder the right to buy or sell an underlying asset at a specified price on or before a specified date
2 Conditions for listed shares to be underlying securities for securities
- They belong to the VN30 or HNX30 index or an equivalent replacement index
- The average daily capitalization value in the last six (6) months calculated up to data pegging date is VND 5,000 billion or more
- Having been listed for six (6) months or more calculated up to the date of consideration
- The business operational results of the issuer of the underlying securities are profitable and without any accumulated losses, calculated on the basis of the financial statements at the most recent time compared to the date of consideration
- The total volume of transactions in the last 6 months calculated up to data pegging date is a minimum 25% of the average quantity of freely transferable shares in the last 6 months
- The ratio of freely transferable shares as at data pegging date is 20% or higher
- Not currently subject to a warning, under control or special control, temporary suspension of trading nor in the delisting category pursuant to Rules of the SE
3 Type of warrant
- Call option: The right to buy the underlying securities in futures
- Put option: The right to sell the underlying securities in futures
Trang 154 Trading regulation
Regulation on Covered Warrant Trading on the Hochiminh Stock Exchange
Last trading date The last trading date comes two days before the
expiry date of covered warrant
Trading time - Opening periodical order matching : 09:00 – 09:15
- Morning continuous order matching : 09:15 – 11:30
- Afternoon continuous order matching :13:00 –14:30
- Closing periodical order matching :14:30 – 14:45
- Put-through :09:00 – 15:00 Settlement price The price calculated and announced by HOSE on the
expiry date of warrant
Warrant type Call warrant
Underlying asset Stock
Issuing organization Securities company
Multiplier 10 CW
Tick size 10 VND for all price steps
Trading method Order-matching and put-through
Expiry date The last day the warrant holder can exercise the right
Settlement method Settled in cash
5 Leverage of covered warrants
CW has high leverage, can be up to 7-10 times, with a life cycle of 3-24 months Securities companies will issue the price of CW lower than the stock price, meaning that the investment capital is lower so investors have a chance to get higher profits
6 Moneyness of covered warrants
- In-the-money (ITM) is a call warrant whose exercise price (exercise index) is lower
than the market price (index) of the underlying securities or a put warrant whose exercise price (exercise index) is higher than the price (index) of the underlying securities