Examen Final De Derivados Financieros

The intrinsic value of an option is the difference between the current price of the underlying asset and the strike price of the option. In this case, the price of the underlying asset closed at $23.75, and the strike price of the option is $22.00. Therefore, the intrinsic value is the difference between these two prices, which is $1.75.

Cuando las tasas de interés domésticas disminuyen, el tipo de cambio forward teórico tiende a disminuir. Esto se debe a que una disminución en las tasas de interés domésticas hace que la moneda doméstica sea menos atractiva para los inversores extranjeros, lo que a su vez reduce la demanda de la moneda y, por lo tanto, su valor. Como resultado, el tipo de cambio forward teórico disminuye para reflejar esta disminución en el valor de la moneda doméstica.

An option tipo call estará dentro del dinero cuando el precio del subyacente sea mayor que el precio de ejercicio. This means that the option will be profitable if the underlying asset's price is higher than the strike price. In such a scenario, the option holder can exercise the option and buy the asset at a lower price than its current market value, resulting in a profit.

The correct answer is $13.3769. To calculate the theoretical value of the forward exchange rate, we use the formula:

Forward Exchange Rate = Spot Exchange Rate * (1 + Domestic Interest Rate) / (1 + Foreign Interest Rate)

Plugging in the given values, we get:

Forward Exchange Rate = $13.00 * (1 + 5.10%) / (1 + 1.2%)
= $13.00 * (1.051) / (1.012)
= $13.3769

Therefore, the correct answer is $13.3769.

An option tipo put gives the holder the right to sell the underlying asset at a predetermined price (strike price) on or before the expiration date. In this case, the correct answer states that the option should be exercised when the price of the underlying asset is lower than the strike price. This means that the holder can sell the asset at a higher price in the market and make a profit.

Comprando Calls del dolar permite cubrir el riesgo cambiario de tener una posición corta en dólares. Al comprar Calls del dólar, se adquiere el derecho a comprar dólares a un precio fijo en el futuro. Si el tipo de cambio sube, el poseedor de las Calls puede ejercer su derecho y comprar los dólares a un precio más bajo del mercado, obteniendo así una ganancia. Esto compensa las pérdidas que podría experimentar al tener una posición corta en dólares.

The price of the call option is $1.85 and the exercise price is $9.00. In order for the investor to break even, the price of the underlying asset needs to be equal to the exercise price plus the price of the option. Therefore, the equilibrium price of the underlying asset would be $9.00 + $1.85 = $10.85.

The correct answer is $130,000 pesos. The question states that the size of the contract for the future of the dollar is $10,000. Since the spot exchange rate is given as $13.10, the value of one contract in pesos can be calculated by multiplying the size of the contract ($10,000) by the spot exchange rate ($13.10). This gives us $131,000 pesos. However, the question asks for the value in thousands, so the answer is $130,000 pesos.

A put option gives the holder the right to sell the underlying asset at a predetermined price (strike price) within a specific time period. In this case, the correct answer is "El precio del subyacente sea mayor que el precio de ejercicio" which means "The price of the underlying asset is greater than the strike price." This is because a put option is considered out of the money when the price of the underlying asset is higher than the strike price. In such a scenario, it would not be profitable for the holder to exercise the put option and sell the asset at a lower price than its market value.

La venta de futuros del dólar es una operación que permite cubrir una posición corta en dólares, por lo tanto, no se puede considerar como una excepción a la afirmación inicial.

Cuando el precio del subyacente de una opción tipo call es mayor que el precio de ejercicio, se dice que la opción está "dentro del dinero". En este caso, el precio del subyacente es de $33.00, mientras que el precio de ejercicio es de $30, lo cual indica que el precio del subyacente está por encima del precio de ejercicio. Por lo tanto, la opción está "dentro del dinero".

This statement is false. Buying a call option on the exchange rate is not equivalent to selling a future. While both strategies involve speculating on the exchange rate, they have different risk profiles. When buying a call option, the maximum loss is limited to the premium paid for the option. On the other hand, selling a future carries unlimited downside risk if the exchange rate moves against the position. Therefore, the statement is incorrect.

The correct answer is 165,844.20. This is the price of the premium that the company will have to pay to buy puts on the dollar to cover a long position of $200,000. The calculation takes into consideration the spot exchange rate, the strike price, the time to maturity, the domestic interest rate, the foreign interest rate, and the volatility.

La respuesta correcta es "Comprando puts del dolar". Cuando alguien tiene una posición larga en dólares, significa que tiene la expectativa de que el valor del dólar aumentará. Sin embargo, existe el riesgo de que el valor del dólar disminuya, lo que podría resultar en pérdidas. Para cubrir este riesgo, se puede comprar puts del dólar. Un put es un contrato que le da al comprador el derecho, pero no la obligación, de vender un activo (en este caso, dólares) a un precio acordado en el futuro. Si el valor del dólar disminuye, el comprador de los puts puede ejercer su derecho y vender los dólares a un precio más alto, lo que compensaría las pérdidas en la posición larga.

The correct answer is "Una perdida de $5,000 pesos". This is because the fund purchased 10 futures contracts of the IPC at a price of 24,100 and the settlement price at the end of the day was 24,050. The difference between the purchase price and the settlement price is 50 pesos per contract. Since the fund purchased 10 contracts, the total loss would be 50 pesos x 10 contracts = 500 pesos per contract. Therefore, the total loss would be 500 pesos x 10 contracts = 5,000 pesos.

Comprar futuros del dólar es una estrategia que permite a alguien asegurar el precio al que adquirirá dólares en el futuro, lo que es beneficioso si se espera que el precio del dólar aumente. Por lo tanto, esta estrategia no puede ser utilizada para cubrir una posición larga en dólares, ya que estaría aumentando la exposición al dólar en lugar de protegerla.

To prevent a call option from being exercised at the expiration date, the price of the underlying asset should be lower than the exercise price. This means that if the price of the underlying asset is higher than the exercise price, it would be more profitable for the option holder to exercise the option and buy the asset at a lower price. However, if the price of the underlying asset is lower than the exercise price, it would not be beneficial for the option holder to exercise the option and they would let it expire worthless.