期權(quán)期貨與其他衍生產(chǎn)品課件第(1)

1、Chapter 1引引 言言O(shè)ptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20141What is a Derivative?A derivative is an instrument whose value depends on, or is derived from, the value of another asset.Examples: futures, forwards, swaps, options, exotics Options, Futures, and Other D

2、erivatives, 9th Edition, Copyright John C. Hull 20142為什么衍生產(chǎn)品如此重要為什么衍生產(chǎn)品如此重要在當(dāng)今的經(jīng)濟環(huán)境下，衍生產(chǎn)品在轉(zhuǎn)移風(fēng)險方面扮演著關(guān)鍵角色標(biāo)的資產(chǎn)包括股票、匯率、利率、大宗商品、債務(wù)工具、電力、保費、氣候等等很多金融交易都嵌入了衍生產(chǎn)品在對項目進行分析與估值方面實物期權(quán)的方法已被廣泛采用Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143如何交易衍生產(chǎn)品如何交易衍生產(chǎn)品交易所交易，例如：Chicago Board O

3、ptions Exchange (CBOE)場外交易市場(OTC) ，金融機構(gòu)、基金經(jīng)理和企業(yè)的資金部之間經(jīng)常在場外市場進行衍生產(chǎn)品交易Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20144The OTC Market Prior to 2008很大程度上不受監(jiān)管約束 金融機構(gòu)常常是市場上流行產(chǎn)品的做市商，隨時提供買入價和賣出價主協(xié)議通常都規(guī)定了雙方如何處理交易但也有一些交易被遞交到中央交易對手 (CCPs). 中央交易對手的作用如同交易所的清算中心Options, Futures,

4、and Other Derivatives, 9th Edition, Copyright John C. Hull 20145Since 2008場外市場的監(jiān)管加強了，其目的在于:降低系統(tǒng)風(fēng)險(業(yè)界事例1.2, page 3)增加透明度在美國和其他一些國家，場外標(biāo)準(zhǔn)衍生產(chǎn)品必須按互換交易執(zhí)行場所 (SEFs) 中所述的方式進行交易，其方式與交易所交易類似對于大多數(shù)標(biāo)準(zhǔn)衍生產(chǎn)品交易，世界上許多地區(qū)都要求使用中央交易對手（CCPs） 所有交易都必須向登記中心提供備案Options, Futures, and Other Derivatives, 9th Edition, Copyright Jo

5、hn C. Hull 20146場外衍生產(chǎn)品市場和交易所交易市場的規(guī)模場外衍生產(chǎn)品市場和交易所交易市場的規(guī)模(圖圖 1.1, Page 4)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20147來源：國際清算銀行。圖表顯示了場外市場交易的面值總和及同一時間段交易所合約中的標(biāo)的資產(chǎn)的總價值。雷曼的破產(chǎn)雷曼的破產(chǎn)(業(yè)界事例業(yè)界事例1.1)2008年9月15日，雷曼兄弟向法庭提出破產(chǎn)保護，這是美國歷史上最大的一起破產(chǎn)案。雷曼在場外衍生產(chǎn)品市場上非?；钴S，但由于其運作大多依賴短期債務(wù)，當(dāng)市場對

6、雷曼失去信心時，貸款人拒絕再將貸款進行延期，因此造成了它的破產(chǎn)雷曼的交易對手?jǐn)?shù)量高達8000多個，交易數(shù)量在百萬筆以上。在2007年，雷曼兄弟的杠桿比率高達31：1Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20148How Derivatives are UsedTo hedge risksTo speculate (take a view on the future direction of the market)To lock in an arbitrage profitTo c

7、hange the nature of a liabilityTo change the nature of an investment without incurring the costs of selling one portfolio and buying anotherOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20149Foreign Exchange Quotes for GBP, May 26, 2013 (See page 5)Options, Futures, an

8、d Other Derivatives, 9th Edition, Copyright John C. Hull 201410買入價賣出價即期1.55411.55451-month forward1.55381.55433-month forward1.55331.55386-month forward1.55261.5532遠期價格遠期價格遠期合約的遠期價格是使得該合約價值為零的交割價格。在簽署遠期合約協(xié)議的時刻，遠期價格和交割價格是相同的。隨著時間推移，遠期價格有可能改變，而交割價格保持不變。Options, Futures, and Other Derivatives, 9th Edit

9、ion, Copyright John C. Hull 201411術(shù)語術(shù)語同意在將來某一時刻以某一約定價格買入資產(chǎn)的一方被稱為多頭同意在將來某一時刻以同一約定價格賣出資產(chǎn)的一方被稱為空頭Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201412Example (page 6)假定2013年5月6日，美國某企業(yè)的資金部主管進入了一遠期合約多頭，即以1.5532的匯率在6個月后買入100萬英鎊也就是說企業(yè)在2013年11月6日以155.32萬美元的價格買入100萬英鎊可能會產(chǎn)生什么樣的結(jié)果

10、？Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201413合約多頭的收益合約多頭的收益 (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201414Profit合約到期時的價格, STKProfit from a Short Forward Posit

11、ion (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201415ProfitPrice of Underlying at Maturity, STK期貨合約期貨合約(page 7)在將來某一指定時刻以約定價格買入或賣出某一產(chǎn)品的合約與遠期相似不同的是，遠期合約在場外交易而期貨合約在交易所交易Options, Futures, and Other Deriv

12、atives, 9th Edition, Copyright John C. Hull 201416期貨交易所期貨交易所CME Group (formed when Chicago Mercantile Exchange and Chicago Board of Trade merged)NYSE Euronext (being acquired by bteh InterContinental Exchange)BM&F (Sao Paulo, Brazil)TIFFE (Tokyo)and many more (see list at end of book)Options, Fu

13、tures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201417期貨合約的例子期貨合約的例子Agreement to:Buy 100 oz. of gold US$1400/oz. in December Sell 62,500 1.5500 US$/ in MarchSell 1,000 bbl. of oil US$90/bbl. in AprilOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201418

14、1. Gold: An Arbitrage Opportunity?Suppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$1,500The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity? Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014192. Gold: Anot

15、her Arbitrage Opportunity?Suppose that:-The spot price of gold is US$1,400-The 1-year forward price of gold is US$1,400-The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201420黃金的遠期價格黃金的遠期價格(igno

16、res the gold lease rate) 如果黃金的即期價格為S ，一份期限為T年的遠期合約的遠期價格為F，那么 F = S (1+r )T這里r 為1年期無風(fēng)險利率 （本國貨幣） 。在這個例子中， S = 1400，T = 1，r =0.05 那么， F = 1400(1+0.05) = 1470Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014211. Oil: An Arbitrage Opportunity?Suppose that:-The spot price o

17、f oil is US$95-The quoted 1-year futures price of oil is US$125-The 1-year US$ interest rate is 5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014222. Oil: Another Arbitrage Opportu

18、nity?Suppose that:-The spot price of oil is US$95-The quoted 1-year futures price of oil is US$80-The 1-year US$ interest rate is 5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20142

19、3期權(quán)期權(quán)看漲期權(quán)看漲期權(quán)有權(quán)在將來某一特定時間以某一確定價格（執(zhí)行價格）買入某種資產(chǎn)看跌期權(quán)看跌期權(quán)有權(quán)在將來某一特定時間以某一確定價格（執(zhí)行價格）賣出某種資產(chǎn)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201424美式期權(quán)美式期權(quán)vs歐式期權(quán)歐式期權(quán)美式期權(quán)美式期權(quán)是指在到期前的任何時刻，期權(quán)持有人均可以行使權(quán)利歐式期權(quán)歐式期權(quán)是指期權(quán)持有人只能在到期這一特定時刻行使期權(quán)Options, Futures, and Other Derivatives, 9th Edition, Co

20、pyright John C. Hull 201425Google Call Option Prices from CBOE (May 8, 2013; Stock Price is bid 871.23, offer 871.37); See Table 1.2 page 8Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201426Strike PriceJun 2013 BidJun 2013 OfferSep 2013 BidSep 2013 OfferDec 2013 BidDe

21、c 2013Offer82056.0057.5076.0077.8088.0090.3084039.5040.7062.9063.9075.7078.0086025.7026.5051.2052.3065.1066.4088015.0015.6041.0041.6055.0056.30900 7.90 8.4032.1032.8045.9047.20920n.a.n.a.24.8025.6037.9039.40Google Put Option Prices from CBOE (May 8, 2013; Stock Price is bid 871.23, offer 871.37); Se

22、e Table 1.3 page 9Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201427Strike PriceJun 2013 BidJun 2013 OfferSep 2013 BidSep 2013 OfferDec 2013 BidDec 2013Offer8205.005.5024.2024.9036.2037.508408.408.9031.0031.8043.9045.1086014.3014.8039.2040.1052.6053.9088023.4024.4048

23、.8049.8062.4063.7090036.2037.3059.2060.9073.4075.00920n.a.n.a.71.6073.5085.5087.40期權(quán)期權(quán)vs遠期遠期期貨期貨期貨或遠期合約要求了其持有人以一定價格買入或賣出標(biāo)的資產(chǎn)的義務(wù)期權(quán)合約賦予其持有人以一定價格買入或賣出標(biāo)的資產(chǎn)的權(quán)利Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201428交易者的類型交易者的類型對沖者投機者套利者Options, Futures, and Other Derivatives, 9

24、th Edition, Copyright John C. Hull 201429對沖案例對沖案例(pages 10-11)一家美國的進口公司得知在3個月后將向一家英國供應(yīng)商支付1000萬英鎊。該公司決定利用遠期合約多頭進行對沖 一投資者持有微軟1000股股票，股票現(xiàn)價為$28。執(zhí)行價格為 $27.50的兩個月期看跌期權(quán)的價格為$1。投資者決定買入10份該期權(quán)合約來對沖 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201430Value of Microsoft Shares with

25、 and without Hedging (Fig 1.4, page 11)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143120,00025,00030,00035,00040,0002025303540Value of Holding ($)Stock Price ($)No HedgingHedging投機案例投機案例一個投機者認(rèn)為亞馬遜的股票在今后2個月要漲價。股票的當(dāng)前價格為20美元，一個期權(quán)的執(zhí)行價格為22.5美元，期限為2個月的看漲期權(quán)的當(dāng)前價格為1美元。What are the alternative strategies? Options, Futures, and Other Derivatives, 9th Editio