程序代写案例-BAFI 2081
时间:2021-05-17



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Dr Thao Tran
School of Economics, Finance and Marketing
BAFI 2081 – Options, Futures and Risk Managements
Semester 1 – 2021
GROUP ASSIGNMENT
CASE STUDY
Suppose that you are a derivatives trading expert with three years of experience at Interactive
Brokers Group (IBG), an established leader in brokerage services. Along with normal
brokerage activities, IBG has also been providing professional fund management services. You
have been given the responsibility of handling the trading accounts of some individual clients.
Due to the lack of time and expertise, these clients do not trade in stock and derivatives markets
directly. Instead, they trust a brokerage company's trading expertise that provides them with
customized solutions for hedging equity price risks. The management requires you to complete
the following tasks, utilizing your in-depth knowledge of the markets and your derivatives
trading expertise.
Task 1 (5 marks)
Clearly explain to your non-technical clients why options are a special class of derivatives.

Task 2 (15 marks)
Any recommendation regarding option trading strategies requires understanding the behaviour
of underlying stock prices. Hence, you must analyze the market to finalize your opinion of how
the economy and stock market will perform over the next few months. In this task, you are
required to analyze how the Australian equity market has performed over the last one year (i.e.
from March 2020 to March 2021) and explore the primary reasons why market volatility was
relatively high during this period.
Note that your response needs to be backed by data/statistics and supporting citations.

Task 3 (20 marks)
Assuming that after your research in Task 2, you believe that market volatility will remain high
in the near future.



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a) In this task, you need to develop two appropriate options strategies that can exploit the
opinion regarding stock market uncertainty (regardless of the direction of the move). Explain
the differences between the two selected strategies to your client.
b) Using data information provided in Exhibit 1, construct numerical examples on each
strategy for S&P/ASX 200 options, to justify your arguments in Task (3a). Evaluate the
performance of the two option strategies created.
Hint: You should provide complete details for your strategies and use the spreadsheet
OptionStrategyAnalyzer10e.xlsm to provide profit diagrams for each strategy. Note that you
buy options at ask prices and sell options at bid prices. The multiplier on the index contract is
$10.
EXHIBIT 1: S&P/ASX 200 OPTION DATA FOR 24 MARCH, 2021 (OBSERVATION DATE)

Data source: Eikon

Task 4 (15 marks)

You have noticed that A2 Milk Company Limited share price has fallen heavily (nearly 50%)
over the last nine months. Moreover, according to the compan\¶s recent release, it has
experienced a significant decline in sales in the important daigou channel. Therefore, you
expect a further fall in A2 Milk share price in the next few months.



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a) What are the two option strategies you would recommend to benefit from the bearish view
on A2 Milk? Explain your recommendation. Discuss the advantages and disadvantages of each
strategy. Why would one be chosen over the other?
b) Using data information provided in Exhibit 2, construct numerical examples on each
strategy for A2 MILK options, to justify your arguments in Task (4a). Evaluate the
performance of two option strategies created.
Hint: You should provide complete details for your strategies and use the spreadsheet
OptionStrategyAnalyzer10e.xlsm to provide profit diagrams for each strategy. Note that you
buy options at ask prices and sell options at bid prices. The contract size of A2 Milk options is
100 shares.
EXHIBIT 2: A2 MILK OPTION DATA FOR 24 MARCH, 2021 (OBSERVATION DATE)

Data source: Eikon

Task 5 (40 marks)
Suppose today is 24th March 2021, when the CBA share is priced at $86.37. Consider a CBA
option that expires on 15 July 2021, with a strike price of $85. Assume no dividends are paid
on this stock. The annual standard deviation of CBA stocks is 15%. The risk-free rate is 2.9%
with annual compounding.
a) Using a three-step binomial tree model, calculate theoretical prices for a) a July American
call option, b) a July American put option, c) a July European call option, and d) a July



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European put option on CBA. Draw the trees and show all calculation workings at each node.
(15 marks)
b) Suppose that you observe that the market option prices of European call and put on this
stock are currently $4.76 and $3.37, respectively. Is there an arbitrage opportunity? If you see
the arbitrage opportunity, construct a strategy that leads to certain gain and no loss. (Construct
a table showing the cashflows at initiation and expiration to demonstrate that your strategy is
correct). (5 marks)
c) Now, you wish to connect the Binomial model to the continuous-time equivalent provided
by the Black-Scholes-Merton model. The continuously compounded equivalent of 2.9% is
2.86%. Calculate the theoretical option price of European calls and puts using the BSM model.
Show the formulas and calculations. (5 marks)
d) Compare the theoretical option price of European calls and puts obtained from the two
pricing models in Task (5a) and (5c). What do you notice? (5 marks)
e) What are the advantages and disadvantages of a binomial option pricing model relative to
BSM model? (10 marks)

Task 6: Report Overall Quality (5 marks)
The overall report quality will be marked based on the organization, presentation, writing and
referencing. Essential contents in your report:
‡ Page numbering
‡ Sections numbering
‡ E[ecXtiYe sXmmar\
‡ Table of contents
‡ Reference list





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Dr Thao Tran
ASSIGNMENT GUIDELINE
Due date: Friday, 21st May 2021, 5 pm Melbourne time. (Week 11). A late penalty will
apply for late submissions where special consideration has not been granted.
Weight: 40%
General requirements
1. Students are required to work in groups of no more than three students.
2. Students should not expect the lecturer to provide direct assistance on any questions.
Any questions of a general nature should be posted on the discussion board rather than
emailed to the lecturer so that the response is available for all students to see.
3. Once the group is registered, the group members will not be allowed to switch to
another group.
4. It is expected that each student contributes actively to the group work until it is
completed.
5. The group assignment should not exceed 3,500 words (show the word count on the
assignment's first page).
6. The marking rubric for the assignment is provided on the last 3 pages.
7. Assignments are to be prepared in MS Word and submitted in PDF on the Canvas.
Submit the PDF document only ± separate MS Word or EXCEL files are not acceptable
and will not be marked.
8. Remember to show all working/detailed steps (e.g. formulae) that lead to the final
answers. The accuracy of numerical results (due to rounding off) is not a significant
issue.
Submission Instructions
1. Only one Electronic copy of the Group Assignment is to be submitted per group.
2. EnsXre to attach the RMIT¶s Assignment CoYer Sheet (Zith all details filled) to the
front page of your submitted document. The Cover Sheet can be downloaded from this
link: https://www.rmit.edu.au/students/student-essentials/forms/assessment-forms
3. An assignment is to be prepared in MS Word and submitted in PDF form on Canvas in
the name with the following format: BAFI2081_PG_X.pdf. (eg. BAFI2081_PG_1.pdf)
X stands for your assigned group number, which can be found on Canvas under the
People Tab => Project Group.



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4. Upload the PDF file to the Turnitin/Canvas submission link under Assignment tab =>
Assessment Task 2: Group Assignment => Submit Assignment before the deadline.
Late Submissions
All assignments will be marked as if submitted on time. Late submissions of assignments
without special consideration or extension will be automatically penalized at a rate of 10% of
the total marks available per day (or part of a day) late.
Assessment Feedback
You will normally receive marks and feedback on in-course assessment tasks within ten
working days of the deadline for submission of that work, or, where an extension has been
granted, within ten working days of the agreed extended due date.
Reference:
Chance, D. M. and Brooks, R, An Introduction to Derivatives and Risk Management, tenth
edition, Thomson South-Western.
Sun, K. (2021).Where is the stock price of A2 Milk (ASX: A2M) going?. Sydney News Today,
https://sydneynewstoday.com/where-is-the-stock-price-of-a2-milk-asx-a2m-going/74729/.




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Criteria High Distinction
80-100%
Distinction
70-79%
Credit
60-69%
Pass
50-59%
Fail
0-49%
Pts
Task 1 Demonstrates a sophisticated
understanding of
options.
Demonstrates an
accomplished
understanding of
options.
Demonstrates an
acceptable
understanding of
options.
Demonstrates a limited
understanding of
options.
Demonstrates an
inadequate
understanding of
options.
5.0 pts
Task 2 Discussion and
explanation are very
interesting and related
to the most current
issues of subject
matters. The writing
uses very high-quality
information to
demonstrate thorough
investigations of the
Australian equity
market¶s performance.

Supports diagnosis and
opinions with strong
arguments and
evidence; presents a
balanced and critical
view; interpretation is
both reasonable and
objective.


Discussion and
explanation are
interesting and related
to current issues of
subject matters. The
writings do demonstrate
adequate investigation
of the Australian equity
market¶s performance.

Supports diagnosis and
opinions with
acceptable reasons and
evidence; presents a
fairly balanced view;
interpretation is both
reasonable and
objective.

Discussion and
explanation are related
to current issues of
subject matters. The
writings do demonstrate
reasonable investigation
of the Australian equity
market¶s performance.

Supports diagnosis and
opinions with reasons
and evidence.
Discussion and
explanation are related
to current issues of
subject matters. The
writing demonstrates
acceptable investigation
of the Australian equity
market¶s performance.

Supports diagnosis and
opinions with limited
reasons and evidence;
presents a somewhat
one-sided argument .

Discussion and
explanation are
somewhat related or not
at all related to current
issues of subject
matters. The writings do
demonstrate very
limited investigation of
the Australian equity
market¶s performance.

Supports diagnosis and
opinions with few
reasons and little
evidence; argument is
one-sided and not
objective.

15.0 pts
Task 3 and 4 Correctly identify two strategies for each
scenario with the
reasoning. Excellent
critical evaluation and
comprehensive
Correctly identify two
strategies for each
scenario with the
reasoning. Very good
critical evaluation and
comparison of each
Correctly identify two
strategies for each
scenario with the
reasoning. Reasonable
critical evaluation and
comparison of the two
Correctly identify two
strategies for each
scenario with reasoning.
Limited critical
evaluation and
comparison of the two
Incorrectly identify one
strategy or any strategy
for each scenario.
Limited reasoning
provided. Minimal or
unclear/unsounded
20 + 15 =35.0
pts



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comparison of each
pair. The discussion has
been extended beyond
the materials presented
in the course.
Arguments are
persuasively supported
by the correct
illustration of each
strategy using numeric
examples. Profit
diagrams for each
strategy with no errors
provided.

pair. Arguments are
well supported by the
correct illustration of
each strategy using
numeric examples.
Profit diagrams for each
strategy with minimal
errors provided.

methods. Arguments are
under-persuasively
supported by the correct
illustration of each
strategy using numeric
examples. Profit
diagrams for each
strategy with minor
errors provided.

methods. Arguments are
unclear and not well
supported by the
illustration of each
strategy using numeric
examples. Profit
diagrams for each
strategy with some
errors provided.

critical evaluation and
comparison of the two
methods. Many errors
with the illustration of
each strategy using
numeric examples.
Demonstrate an
inadequate
understanding of the
option strategies.

Task 5a Accurately determine
the theoretical price for
all options. 3-step
binomial trees are
complete and correct.
Steps of calculation are
shown clearly with
minimal error.

Accurately determine
the theoretical price for
two options or more. 3-
step binomial trees are
mostly complete and
partly incorrect. Steps
of calculation are
clearly shown with
minor errors.
Accurately determine
the theoretical price for
two options or more. 3-
step binomial trees are
complete and partly
incorrect. Steps of
calculation are clearly
shown with some errors.
Accurately determine
the theoretical price for
at least two options. 3-
step binomial trees are
incomplete or incorrect.
Steps of calculation are
unclearly shown with
many errors.
Failure to determine the
accurate theoretical
price for two options or
more. 3-step binomial
trees are mostly
incomplete or incorrect.
Calculation steps and
workings at each node
are not shown clearly.
15.0 pts
Task 5b Succeed to link the
issues to the relevant
theory with a
comprehensive
discussion.
Minimal minor mistakes
are made. Show a
mastery understanding
of the relevant theory.

Succeed to link the
issues to the relevant
theory with a very good
discussion. There are
several minor mistakes.
Show a good
understanding of the
relevant theory.

Make appropriate but
somewhat vague
connections between the
issues and concepts
studied in the course.
There are many minor
mistakes. Show a
reasonable
understanding of the
relevant theory.

Make limited
connections between the
issues and concepts
studied in the course.
There are several major
mistakes. Show a
limited understanding of
the relevant theory.


Make little or no
connection between the
issues identified and
concepts studied in the
course with a poor
discussion. There are
many significant
mistakes. Show an
inadequate
understanding of the
relevant theory.
5.0 pts



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Task 5c All the calculations
performed are correct
with reference to the
formulas and inputs.
Minimal minor mistakes
are made.

There are several minor
mistakes in terms of
misapplication of
formula or using the
wrong inputs.

There are many minor
mistakes in terms of
misapplication of
formula or using the
wrong inputs.

There are several major
mistakes in terms of
misapplication of
formula or using the
wrong inputs.

Failure to determine the
accurate theoretical
price for any option
using the BSM. There
are many significant
mistakes in terms of
misapplication of
formula or using the
wrong inputs.

5.0 pts
Task 5d+5e Comprehensive relevant
points identified and
discussed. Arguments
are clear and well
supported by evidence
and relevant theories.
Excellent critical
evaluation of the two
methods. The
discussion has been
extended beyond the
materials presented in
the course.
Very good relevant
points identified and
discussed. Arguments
are clear and well
supported by evidence
and relevant theories.
Very good critical
evaluation of the two
methods.

Good relevant points
identified and discussed.
Arguments are clear and
well supported by
evidence and relevant
theories. Sufficient
references provided.
Good relevant points
identified and discussed.
Basic arguments are
unclear or not well
supported by evidence
and relevant theories.
Limited references
provided.
Few relevant points
identified and discussed.
Arguments are lacking
or unsound, failure to
connect with relevant
theories. No reference
provided.
5+10=15 pts
Task 6: Clear and logical
structure &
organisation; precise
and concise writing.
Minimal errors in
expression, grammar
and spelling. Excellent
and comprehensive
referencing

Very good structure &
organisation; the report
are generally well
written. Occasional
minor flaws in
expression, grammar
and spelling. Correct
and good referencing

Generally coherent
structure & organisation
with occasional
deficiencies; reasonably
well written. Some
flaws in expression and
grammar, spelling.
Correct referencing.

Some defects in
structure and
organisation; writing
may be difficult to
follow in parts. Many
errors in expression,
grammar and spelling.
Incorrect or lack of
referencing.

Structure and
organisation incoherent
or lacking; poorly
written, difficult to
follow. Frequent or
repeated flaws in
expression, grammar
and spelling. Inadequate
or no referencing.

5.0 pts
Total points 100.0

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