Develop an arbitrage and delta-neutral strategy

Reference no: EM131519431

Options, Futures and Risk Management Assignment

You are expected to work in groups of two to three members.
Submit ALL reports in hardcopy form to myself by the start of the second intensive.
Make SURE you keep a copy of ALL of your work. It may be required for proof of submission if it is lost.
You must determine transaction costs used for all transactions you do with evidence it is a realistic figure.

Identify a CALL or PUT option / warrant (in any market in the world) that you believe is OVERPRICED. Explain and illustrate clearly why you think the instrument is mispriced. If you have completed the EVA assignment that required you to collect data for stocks you could pick one of these stocks as a follow-on from EVA.

Develop an arbitrage, delta-neutral strategy that will make money from the mispriced derivative. Specifically, detail the minimum costs of undertaking this strategy and pursuing it. You can use as much money as you like. Given that the strategy is theoretically risk free, you should not lose any money anyway!

Every week you are responsible for adjusting your delta-neutral portfolio. Make a record of all transactions and profit / loss of the strategy. You are required to show evidence of at least two adjustments.

REPORT WRITING -

The report must document a list of transactions and dates they were executed. The document must then discuss everything from the process including such items as:

How mispriced options were identified
How risk neutral portfolios were formed and why
Explanations and reasons for the performances
When would have been the best time to close out positions
Performance analysis and discussions of how things could have been improved.

I would suggest your report would be a MAXIMUM of 10 pages, including all discussion, graphs, tables and references.

Attachment:- Assignment Files.rar

Reference no: EM131519431

Questions Cloud

Prepare a literate environment in your classroom : How you would create a literate environment in your classroom to support the literacy needs of the students described in your selected grade level.

Middle adulthood phases of the life span : How does choice theory explain the human behavior of individuals in the young and middle adulthood phases of the life span?

For each accounts indicate credit is used to increase : For each of the following accounts, indicate whether a debit or credit is used to increase ( +) or decrease ( -) the balance of the account.

A health crisis can occur at any phase : A health crisis can occur at any phase in an individual's life span. General health concerns, however, tend to increase with age.

Develop an arbitrage and delta-neutral strategy : Develop an arbitrage, delta-neutral strategy that will make money from the mispriced derivative. Identify a CALL or PUT option / warrant

How do you feel it has affected education : From kitchen appliances, to computers, to communication - technological innovations have affected everyone. How do you feel it has affected education?

Fill in the blanks below with the word debit or credit : The balance of an asset account increases with a _________and decreases with a _________.

Explain motivating individuals to stay engaged : Explain Motivating individuals to stay engaged. Monitoring employee performance through the control function of management.

Example on the topic of cyber security : As an alternative, if you have a better example on the topic of Cyber Security from work or a personal experience

Reviews

len1519431

6/6/2017 3:52:13 AM

Please confirm asap, Do you do derivatives assignment? Please see attached. Past EVA will contain my previous modules, yet it has all the stock prices data (we would be using this for assignment). The assignment is in the word document attached. (Past assignment data and calculation attached to show you our lecturer standard. it hasn't included the excel so we need the calculations to be in excel. Basically We would need a better one than the one attached). Please let me know how fast you can do this? Excel calculation and report. (If needed I would also attach the lecture notes in the next email if you have taken this assignment up).

Write a Review

Required(*) Message

User Account

All Pages