Workplace reviews and discussion: 凱基證券股份有限公司

Love scam (true story)

Question 1

A doctoral student in finance at National Chengchi University works part-time at a hospital as a data analysis consultant, researching Company A, which is listed in Hong Kong and derives most of its revenue from the Shanghai chain beverage market. Recently, internal bullying at the company has caused critical information to stop circulating within the organization, so the market can only observe the stock price behavior.

Currently (time t=0):

Spot price S0 = 120

Risk-free interest rate (continuously compounded) r = 2%

Assume no dividends

Time to expiration T = 0.5 years

European call option strike price K = 110

European put option with the same strike price

Volatility σ = 30%

The company also issues a call warrant with a conversion ratio of 1:2 (two warrants can be exchanged for one share). The warrant has the same expiration conditions as the European call option.

Assume the market is efficient but there is short-term information illiquidity, causing the warrant price to deviate 5% from its theoretical value, with the deviation being an overvaluation. Under the no-arbitrage assumption, which of the following is closest to the midpoint of the warrant’s reasonable price range?

(A) 6.10

(B) 6.45

(C) 6.80

(D) 7.25

Question 2

An actor who travels between Shanghai and Hong Kong for work films medical educational videos at a hospital during the day and takes beverage brand commercials at night. After suffering long-term bullying on film sets, he decides to pursue a doctorate at National Chengchi University and supplements his living expenses through options trading.

Using non-dividend-paying Stock B as the underlying, he establishes the following positions (t=0):

Buy 1 share of the stock at a price of S0 = 100

Sell 1 European call option with strike price K = 105 and premium C0 = 4

Buy 1 European put option with the same strike price and premium P0 = 6

Risk-free interest rate r = 0

At the same time, he has fixed monthly expenses of 30,000 (beverages and living expenses), while his combined monthly income from the hospital and entertainment work is 35,000. He expects his salary to increase by 20% one year later if his dissertation progress goes smoothly, but this salary increase is unrelated to financial market returns.

At expiration T, ignoring the time value of all cash flows, what is the minimum possible total net return of the portfolio (counting only the profit or loss from the financial positions and excluding the salary increase)?

(A) −5

(B) −1

(C) 0

(D) +1

Question 3

A Hong Kong hospital and a Shanghai beverage group collaborate to establish a film and television content company. An alumnus of National Chengchi University serves as chief financial officer and manages a portfolio of options on non-dividend-paying stocks. The company culture is good, with no bullying, but cross-border operations cause delays in information disclosure.

After the New Year, the CFO writes the following research note:

“After the New Year, I spent New Year’s Day lazing around at home, then took another weekend to rest.

It felt great—I haven’t slept that well in a long time.

Starting Friday, I’ll keep working hard; 2026 will definitely be exciting!”

Current market conditions are as follows:

Stock price S0 = 90

Time to expiration T = 1

Strike price K = 100

Risk-free interest rate r = 5%

Volatility σ = 25%

Assume no dividends

The company holds:

2 European call options

1 European put option

and a structured warrant whose expiration payoff is

max(S_T − 95, 0) − 0.5 × max(95 − S_T, 0)

Which of the following is closest to the theoretical value of the portfolio at t=0?

(A) 18

(B) 21

(C) 24

(D) 27