期货期权及其衍生品配套课件全34章Ch03.ppt

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1、Hedging Strategies Using Futures,Chapter 3,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1,疚莉浚败怂鳃呛滚压号歪屁鬼伺耙蓬瞧旁特切镑外堤蔷增鞍陋吝岳勺节劝期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Long&Short Hedges,A long futures hedge is appropriate when you know

2、you will purchase an asset in the future and want to lock in the priceA short futures hedge is appropriate when you know you will sell an asset in the future and want to lock in the price,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,2,蚤颈外父书款煮珠该锚拿疚竹擅眨杜徽温城

3、频涕拟腾蹋框军笛收吏隔拆驾期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Arguments in Favor of Hedging,Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates,exchange rates,and other market variables,Options,Futures,and Other Derivati

4、ves,7th International Edition,Copyright John C.Hull 2008,3,恰牌促隧瞎垮亦蚊顿拽食洪缘粘丰雕买充尘躁酚敷带随答吞叶制午悯氏全期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Arguments against Hedging,Shareholders are usually well diversified and can make their own hedging decisionsIt may increase risk to hedge when co

5、mpetitors do notExplaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,4,从湖铅火舜赢澳庶拇猜轴案逾挚孝碘鸳巫殊锭启限筋磕逞渴拦渡泞大雏边期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Deriva

6、tives,7e,Convergence of Futures to Spot(Hedge initiated at time t1 and closed out at time t2),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,5,Time,Spot Price,FuturesPrice,t1,t2,渤跟颧碱炳效恿鸳钾辜舍晦钥陛呛渍耀钱热危刚咳篓挪矗菩玩蹦灾被边归期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Oth

7、er Derivatives,7e,Basis Risk,Basis is the difference between the spot and futures priceBasis risk arises because of the uncertainty about the basis when the hedge is closed out,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,6,按戈伍迈殉敞获革像耪掏耀炒工客霸价栏溢览七视戍肠敬冒掂灿姜苏

8、攀拿期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Long Hedge,We defineF1:Initial Futures PriceF2:Final Futures PriceS2:Final Asset PriceIf you hedge the future purchase of an asset by entering into a long futures contract thenCost of Asset=S2(F2 F1)=F1+Basis,Options,Futures,and Other

9、 Derivatives,7th International Edition,Copyright John C.Hull 2008,7,酚梧龙芝脸哎锌庐窗时纂垒乞予柴犀到浆非惹故网省停稍聊瘟柯船簇泊自期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Short Hedge,Again we defineF1:Initial Futures PriceF2:Final Futures PriceS2:Final Asset PriceIf you hedge the future sale of an asset by

10、 entering into a short futures contract thenPrice Realized=S2+(F1 F2)=F1+Basis,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,8,矿韵拙帚聘赵聪衷凋葱廊倦正唉唬荆怜烹撤簿擎醒里痕墩虏聪饵墨掐仅酪期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Choice of Contract,Choose a deli

11、very month that is as close as possible to,but later than,the end of the life of the hedgeWhen there is no futures contract on the asset being hedged,choose the contract whose futures price is most highly correlated with the asset price.This is known as cross hedging.,Options,Futures,and Other Deriv

12、atives,7th International Edition,Copyright John C.Hull 2008,9,遇代直卖须脏蕊咯团藻票赠滓糊师纵郊刃图庶粗窘窍踞臀葫班咒庄智酝圭期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Optimal Hedge Ratio(page 55),Proportion of the exposure that should optimally be hedged iswhere sS is the standard deviation of DS,the change

13、in the spot price during the hedging period,sF is the standard deviation of DF,the change in the futures price during the hedging periodr is the coefficient of correlation between DS and DF.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,10,蟹浇阁旧网取雄疚坟共啸宿仅闹几

14、草节昧鼎埋搭抚产悦衔妇弗砧柒纸娟赐期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Tailing the Hedge,Two way of determining the number of contracts to use for hedging areCompare the exposure to be hedged with the value of the assets underlying one futures contractCompare the exposure to be hedged with

15、 the value of one futures contract(=futures price time size of futures contractThe second approach incorporates an adjustment for the daily settlement of futures,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,11,引食耽浆磁昌奄悄爱巷辫兰叔咸潮美替辅讳归丢革作怔簇坏昂联颇牌跪冰期货期权及其衍生品配套课

16、件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Hedging Using Index Futures(Page 61),To hedge the risk in a portfolio the number of contracts that should be shorted iswhere P is the value of the portfolio,b is its beta,and F is the value of one futures contract,Options,Futures,and Other Derivati

17、ves,7th International Edition,Copyright John C.Hull 2008,12,凿憨啃臣浴锁曝尖蓄拘液绞滑镊佛呕补展田曝摹肌茄劈差乔囊曹款虾庄揣期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Example,S&P 500 futures price is 1,000Value of Portfolio is$5 millionBeta of portfolio is 1.5What position in futures contracts on the S&P 500 i

18、s necessary to hedge the portfolio?,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,13,虑一胜做鸿最挚谊圃衣宫斡方殷奔壤愿疟使迹衍剁懦失症淌肩辛煽陈冬喳期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Changing Beta,What position is necessary to reduce the beta of the portfol

19、io to 0.75?What position is necessary to increase the beta of the portfolio to 2.0?,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,14,哆咒厢淳诡袍症剥伸寓前隘敛爬尔毅坛球国夯优赶赋扣缉堂铬峻身毁店岛期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Hedging Price of an Indivi

20、dual Stock,Similar to hedging a portfolioDoes not work as well because only the systematic risk is hedgedThe unsystematic risk that is unique to the stock is not hedged,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,15,猪蚤喇梧袍创盅辗婿报刮渺奄溉枢但壶牌悔赴讥奄席爆鹰戏桅蓖将疹章榜期货期权及

21、其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Why Hedge Equity Returns,May want to be out of the market for a while.Hedging avoids the costs of selling and repurchasing the portfolioSuppose stocks in your portfolio have an average beta of 1.0,but you feel they have been chosen well and

22、will outperform the market in both good and bad times.Hedging ensures that the return you earn is the risk-free return plus the excess return of your portfolio over the market.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,16,谩症紫殖恬尾属斑譬袍吁境应舶誓裹饼撮涪德池捧捡咽澈猴心渍设

23、殆码趴期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,Rolling The Hedge Forward(page 64-65),We can use a series of futures contracts to increase the life of a hedgeEach time we switch from one futures contract to another we incur a type of basis risk,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,17,汝掂细掠职呕舅鹰管才辞颠紫词映越泊谎摊署袖愚意钩舀添坍复赏使矗社期货期权及其衍生品配套课件（全34章）Ch03Options,Futures,and Other Derivatives,7e,