期货期权及其衍生品配套课件全34章Ch25.ppt
Weather,Energy,and Insurance Derivatives,Chapter 25,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1,操费态他挥扰雀敝缉硒链蝗刊材蜀扔咏敞戊寞炎腊秽呻歼齐睫捡艰嫡步蝗期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Pricing Issues(page 573),To a good approximation many underlying variables in insurance,weather,and energy derivatives contracts can be assumed to have zero systematic risk.This means that we can calculate expected payoff in the real world and discount at the risk-free rate,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,2,冤募尔行勤打檄点暮病柬范状晓竖匆箕钩堵嚷谣告潘脖壬碴够椽踊贱缝眼期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Weather Derivatives:Definitions(page 574),Heating degree days(HDD):For each day this is max(0,65 A)where A is the average of the highest and lowest temperature in F.Cooling Degree Days(CDD):For each day this is max(0,A 65)Contracts specify the weather station to be used,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,3,闹齐御暖抒倒翘擞蒂糠泳虎赢减策鼎肛更雍会怎涤雕纳氰凶邻统徽早绍逮期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Weather Derivatives:Products,A typical product is a forward contract or an option on the cumulative CDD or HDD during a monthWeather derivatives are often used by energy companies to hedge the volume of energy required for heating or cooling during a particular monthHow would you value an option on August CDD at a particular weather station?,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,4,农病广鼠尖浸疯遥沈患邑蓉遥丝疽焙袭哎舷孵带烘诲把唆撮巾爹绿荡袄碾期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Energy Derivatives(page 575-578),Main energy sources:OilGasElectricity,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,5,搔袱晤巩势拂襟辑氨赏梁正唉强君娱捞车狞悟墅躇纱蓉怠奉踏灸档扁滚厢期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Oil Derivatives(page 575-76),Virtually all derivatives available on stocks and stock indices are also available in the OTC market with oil as the underlying assetFutures and futures options traded on the New York Mercantile Exchange(NYMEX)and the International Petroleum Exchange(IPE)are also popular,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,6,娜捏溪龋灵刑二倦漫仿惜材炽辰咋社度链隋膝堪盔铬腑曳垢淌邮经唯敖趁期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Natural Gas Derivatives(page 576),A typical OTC contract is for the delivery of a specified amount of natural gas at a roughly uniform rate to specified location during a month.NYMEX and IPE trade contracts that require delivery of 10,000 million British thermal units of natural gas to a specified location,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,7,胆昏飘冲翻舟虱冻柠零心板宁艺咒报长檄人其敌藏煤蔚自匹夷砰仓怪挥衔期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Electricity Derivatives(page 576-77),Electricity is an unusual commodity in that it cannot be storedThe U.S is divided into about 140 control areas and a market for electricity is created by trading between control areas.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,8,丑跑剑铅夸强缴垢篙悄叠搞茫长羹临讨馁铜寅孜僧系淋箭据掌僵暑稻照亚期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Electricity Derivatives continued,A typical contract allows one side to receive a specified number of megawatt hours for a specified price at a specified location during a particular monthTypes of contracts:5x8,5x16,7x24,daily or monthly exercise,swing options,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,9,稽氰蛰末诬寇晶怨撬潭申示骨睁滓吧史翌舍锑鹿涌扳拓贼拖掩涡蓟难粟创期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,How an Energy Producer Hedges Risks,Estimate a relationship of the formY=a+bP+cT+ewhere Y is the monthly profit,P is the average energy prices,T is temperature,and e is an error termTake a position of b in energy forwards and c in weather forwards.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,10,塞肢俯甚停文岳加事砖醒铅铝牧恫醉哆胎蛙绢癸雾遗三铸伊取开况审羌驼期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Modeling Energy Prices(equation 25.1,page 577),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,11,For oil a is about 0.5 and s is about 20%;for natural gas these parameters are about 1.0 and 40%;for electricity they are about 15 and 150%.,蝉阜筛悉庄引舞法脱静杰汞悔暑淄国巢晰睹句讽咎肚桔讨郸哉谷失症屈蔽期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,Insurance Derivatives(page 578),CAT bonds are an alternative to traditional reinsuranceThis is a bond issued by a subsidiary of an insurance company that pays a higher-than-normal interest rate.If claims of a certain type are above a certain level the interest and possibly the principal on the bond are used to meet claims,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,12,怎幼胺阅掇紫宏最互慈颈痹至猾懒荡误鸥溺忍疏院沏刁博鸵役存伊绒针猪期货期权及其衍生品配套课件（全34章）Ch25Options,Futures,and Other Derivatives,7e,
