ACCA40636 – Derivatives Markets

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ACCA40636 – Derivatives Markets
Assessment Brief
Module: ACCA40636 – Derivatives Markets
Submission deadline: Sunday 18th of July 2021, 11:00PM (23:00)
Word Limit: 4,000 words
Task
Please, complete both parts of the assessment as stand-alone sections, each with
their own reference list at the end of each task. Both parts count equally towards
your final mark. You can distribute your 4,000 words as you prefer across the
tasks. Only the overall word count of the assessment is capped at 4,000.
Part A (approx. 2,000 words)
Pick a call option reported on CBOE (http://www.cboe.com/) characterised by a
positive open interest. Using the most up to date data, determine the “BlackScholes-Merton price” (without dividends) of the option you picked and compare it
with the actual price reported on CBOE. You should report all the intermediate steps
of the calculations and discuss whether the assumption underlying the BlackScholes formula are fulfilled. Discuss from where the difference in your calculated
price and the observed market price might have arisen. In addition, report how you
derived the volatility used to find the Black-Scholes-Merton price.
Please start your answer by reporting the following values as demonstrated below
(examples are in italics):
• Ticker Symbol: AA (Alcoa Corporation)
• Strike Price: $36.00
• Bid and ask price of the option: $1.29 – $1.37
• Price of the underlying asset: 36.95
• Expiration date: Fri June 18 2021
• Date accessed: Tue June 15 2021, accessed at 10:10
Alcoa Corporation Option Quote collected on the 15th of June 2021
Part B (approx. 2,000 words)
Discuss the benefits of options, swaps, forwards and futures and comment on the
negative aspects by making references to past crises and events that triggered
instability in global markets. Conclude your discussion on an evaluation on whether
the benefits outweigh the negative aspects.
(turn page for important assessment information)
IMPORTANT ASSESSMENT INFORMATION FOR STUDENTS
(PLEASE READ)
Definitions of Assessment Offences
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You can get advice from your module tutors and personal tutors should you wish to
clarify anything contained in this statement.
(turn page for assessment matrix)

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