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ACCA40636 – Derivatives Markets
Module: ACCA40636 – Derivatives Markets
Submission deadline: Sunday 18th of July 2021, 11:00PM (23:00)
Word Limit: 4,000 words
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
Definitions of Assessment Offences
Plagiarism is when you present someone else’s work, words, images, opinions or
discoveries, whether published or not, as your own. It is also when you take the
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You can commit plagiarism in examinations, but it is most likely to happen in
coursework, assignments, portfolios, essays, dissertations and so on.
Examples of plagiarism include:
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work or images, without saying where this is from.
• Using information from the internet or electronic media (such as DVDs and
CDs) which belongs to someone else, and presenting it as your own.
• Rewording someone else’s work, without referencing them.
• Handing in something for assessment which has been produced by another
student or person.
It is important that you do not plagiarise – intentionally or unintentionally – because
the work of others and their ideas are their own. There are benefits to producing
original ideas in terms of awards, prizes, qualifications, reputation and so on. To
use someone else’s work, words, images, ideas or discoveries is a form of theft.
Collusion is similar to plagiarism as it is an attempt to present another’s work as
your own. In plagiarism the original owner of the work is not aware you are using
it, in collusion two or more people may be involved in trying to produce one piece of
work to benefit one individual, or plagiarising another person’s work.
Examples of collusion include:
• Agreeing with others to cheat.
• Getting someone else to produce part or all of your work.
• Copying the work of another person (with their permission).
• Submitting work from essay banks.
• Paying someone to produce work for you.
• Allowing another student to copy your own work.
Cheating is when someone aims to get unfair advantage over others.
Examples of cheating include:
• Taking unauthorised material into the examination room.
• Inventing results (including experiments, research, interviews and
• Handing your own previously graded work back in.
• Getting an examination paper before it is released.
• Behaving in a way that means other students perform poorly.
• Pretending to be another student.
• Trying to bribe members of staff or examiners.
Help in avoiding offences
Most of our students are honest and want to avoid making assessment offences.
We have a variety of resources, advice and guidance available to help make sure
you can develop good academic skills. We will make sure that we make available
consistent statements about what we expect throughout all modules.
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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