期货期权及其衍生品配套课件全34章Ch08.ppt

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1、Mechanics of Options Markets,Chapter 8,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1,残纳讨淑棕敖洞锑收索僻拘才撅邵垃束植劝魏狂季含厨意酝憨弧怠纠割疵期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Review of Option Types,A call is an option to buyA put is an option to s

2、ellA European option can be exercised only at the end of its lifeAn American option can be exercised at any time,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,2,个煞挂残仙赔桅胡簧柱铁易甥壁腥仓往沉民死汕曙曝供推遍驯使拨腔檬堂期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7

3、e,Option Positions,Long callLong putShort callShort put,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,3,钧猪嘱率洼技孩哎帖仪考讨猴簧呵页探仑扇碉召按夷驻痹蒲萍拽号努趣防期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Long Call(Figure 8.1,Page 180),Profit from buying one E

4、uropean call option:option price=$5,strike price=$100,option life=2 months,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,4,汐躯湃澜绚玛盒条迅夸伊热寂椒印个泪凌孝内蹈擞汛墟宿好赏檬茂僧潮李期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Short Call(Figure 8.3,page 182),Prof

5、it from writing one European call option:option price=$5,strike price=$100,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,5,兄咀躇愁烷琴狮谦琴贫婉葫俘狠韭批疡坦讯淑剖闰芋掀朴莆瘸雏既咯适屡期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Long Put(Figure 8.2,page 181),Profit

6、 from buying a European put option:option price=$7,strike price=$70,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,6,管戊究宦侦式蛊簿蛤筹膝杰翔秩阎超椎筛袋狈旱彭抨亡晶与聚瘸划壁抉拿期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Short Put(Figure 8.4,page 182),Profit from

7、writing a European put option:option price=$7,strike price=$70,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,7,驮肌戊付扬侵靡楚唉碴嘶蚊壬贮稚移瘫除洛翟疫忠保碎堡蔷绣怂嚣坷逊黄期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Payoffs from OptionsWhat is the Option Position

8、in Each Case?,K=Strike price,ST=Price of asset at maturity,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,8,Payoff,Payoff,直揖莲募孕寓嫉截统征颜屈密芬届疼空岂赌鉴幕考羞抵入寝悸魄囚秧札肢期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Assets UnderlyingExchange-Traded Optio

9、nsPage 183-184,StocksForeign CurrencyStock IndicesFutures,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,9,辖社侍撩隐空督额蜜栽弗迹隘缓叛坝胶眯蹦援镜暇筑购汀技睬早鬃拖钒新期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Specification ofExchange-Traded Options,Expiration da

10、teStrike priceEuropean or AmericanCall or Put(option class),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,10,醉刽修汐涕俘湖并浴庞蜂馒剧纳扇殖可姜瘟搂赋墙各摸佩潜然豆拷摩德眉期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Terminology,Moneyness:At-the-money optionIn-the-mo

11、ney optionOut-of-the-money option,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,11,玄丘墅褐磐件蛋趟阂吁殃偏骇怂亚镇探玫捷阶隆莎职刀千馅伦拢劳瀑红铜期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Terminology(continued),Option class Option series Intrinsic value Time value

12、,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,12,潘活讼窜方令等氮蕴诣染慨姨像蹭监盒妊泳篇寨腊帝誉酵遂正牡箔值撕仆期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Dividends&Stock Splits(Page 186-188),Suppose you own N options with a strike price of K:No adjustments are ma

13、de to the option terms for cash dividendsWhen there is an n-for-m stock split,the strike price is reduced to mK/n the no.of options is increased to nN/mStock dividends are handled in a manner similar to stock splits,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hul

14、l 2008,13,卒戚雄岗澡刑佣椎庆呢毖突啄妈嚼苦蛆杜捕枫骇颖顶硷电甚妄廖奔是端鹤期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Dividends&Stock Splits(continued),Consider a call option to buy 100 shares for$20/shareHow should terms be adjusted:for a 2-for-1 stock split?for a 5%stock dividend?,Options,Futures,and Other De

15、rivatives,7th International Edition,Copyright John C.Hull 2008,14,经愈操读褥键烧代槽荣滔遮尼鹃顷彭薪肖睹嫌苹基侍彝枫接堰域负撩蛊晤期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Market Makers,Most exchanges use market makers to facilitate options tradingA market maker quotes both bid and ask prices when requestedTh

16、e market maker does not know whether the individual requesting the quotes wants to buy or sell,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,15,盒犊挺镶穴鼻庚芝阳求痢桩六氧涨槐奶睡加同暂髓商实计怕恤扛拧屿阁仙期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Margins(Page 19

17、0-191),Margins are required when options are soldWhen a naked option is written the margin is the greater of:A total of 100%of the proceeds of the sale plus 20%of the underlying share price less the amount(if any)by which the option is out of the moneyA total of 100%of the proceeds of the sale plus

18、10%of the underlying share priceFor other trading strategies there are special rules,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,16,像渔检徒短蛛即柠痕且御聚采燃渗鹰夜祖气匝煞妨召站鸣刨环骑煤鼠匪识期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Warrants,Warrants are opt

19、ions that are issued by a corporation or a financial institutionThe number of warrants outstanding is determined by the size of the original issue and changes only when they are exercised or when they expire,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1

20、7,砌榨瑰苛抬虞汀送媒镶澜污坍唤海匠屈希属宠挪拥决诚遣眶墅押毒建俩斥期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Warrants(continued),The issuer settles up with the holder when a warrant is exercisedWhen call warrants are issued by a corporation on its own stock,exercise will usually lead to new treasury stock bein

21、g issued,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,18,歪查惯匈袱兜烙弘搽台墒炮敌勇拧妓床绵丫瑚筷僳汹眼苍鞭俊步邓射纤泊期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Executive Stock Options,Executive stock options are a form of remuneration issued by a company to its

22、 executivesThey are usually at the money when issuedWhen options are exercised the company issues more stock and sells it to the option holder for the strike price,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,19,蹄捶沧斟撵蓑硒幸使件综勃当牌嗽跌掏元泌仆燃抵疾糯瑟惨掸功散大痹秉期货期权及其衍生品配

23、套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Executive Stock Options continued,They become vested after a period of time(usually 1 to 4 years)They cannot be soldThey often last for as long as 10 or 15 yearsAccounting standards now require the expensing of executive stock options,Options,Fut

24、ures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,20,疏导便饱孙苦畔嚣煽巫泌限桂挛冕捆汞哉狈辐并丫试怒拱逛贤忙治辈涸啤期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,Convertible Bonds,Convertible bonds are regular bonds that can be exchanged for equity at certain times in the future acc

25、ording to a predetermined exchange ratioVery often a convertible is callableThe call provision is a way in which the issuer can force conversion at a time earlier than the holder might otherwise choose,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,21,览撩嵌悠殿奶瓮走伎嚎零宏署钦贰搜嘛永疮拧猴汽郑幌牧吟欢沏厕替闪府期货期权及其衍生品配套课件（全34章）Ch08Options,Futures,and Other Derivatives,7e,