THE INTERNATIONAL UNIVERSITY (IU) – VIETNAM NATIONAL UNIVERSITY – HCMC

FINAL EXAMINATION

Date: January 21, 2022 (1:00 pm)

Duration: 1 day

Deadline: 1:00 pm, January 22, 2022

Student ID: .................................. Name: ..............................................

SUBJECT: Derivatives and Risk Management

School of Business Administration Lecturers

Signature: Signature:

Full name: Vo Xuan Hong

INSTRUCTIONS:

You are allowed to work alone or in a team (up to 4 members) and email me your answer
before 1:00 pm, January 22, 2022. My email is vxhong@hcmiu.edu.vn. Your work must be
original, which means you are not allowed to copy a single sentence. Otherwise, you will
get zero for your final exam.

GOOD LUCK!

1|Page Version 1
Part I. Problem solving (30 points)
Show all your calculations.

An investor buys 4 ABC June 60 put for $0.5, sells 4 ABC June 65 put for $2, sells 4 ABC June
70 put for $5, and at the same time buys 4 ABC June 75 put for $9. Suppose that the investor
holds options until the expiration.
a. Calculate the profit/loss of the strategy if the stock price at expiration is $78 per share? (6
points)
b. Calculate the profit/loss of the strategy if the stock price at expiration is $ 67 per share?
(6 points)
c. Calculate the profit/loss of the strategy if the stock price at expiration is $ 55 per share?
(6 points)
d. Determine the breakeven price, maximum loss, and maximum profit at expiration. Show
all your calculations. (3 points)
e. Draw the payoff graph for the above strategy at expiration. (9 points)

Part II. Essay (70 points)

Analyze the Vietnamese derivatives market during the Covid-19 period and then provide
possible trading strategies.

What was your contribution to this exam?

Member (name) Parts? %contribution

END OF TEST

2|Page Version 1