本人后天考试 但老师留的练习题很多不会 跪求高人解答
1.Suppose the spot exchange rate between the US dollar and Canadian dollar is US$0.75/C$. The Canadian dollar and US dollar risk-free rates are 2.5% and 1.5% per annum, respectively, compounded annually. The price of a two-year European call option with an exercise price of US$0.76/C$ is US$0.03. What is the price of the option in US dollars if it is a put?



2.Suppose that the US dollar interest rate is 2% per annum and Canadian dollar interest rate is 3% per annum for all maturities, annually compounded. The current exchange rate is US$0.75/ C$. Under the terms of a swap agreement, a bank receives 4% per annum in Canadian dollars and pays 5% per annum in US dollars. Payments are exchanged every year, with one exchange having just taken place. The principal amounts are C$14 million and US$10 million. The swap will last two more year.


3.A portfolio consists of 400 shares of stock and 200 calls on that stock. If the delta for the call is 0.6, what would be the dollar change in the value of the portfolio in response to a $1 decline in the stock price?