期权、期货及其他衍生产品课件8金融工程学.ppt

8.1 Mechanics of Options Markets Chapter 8 8.2 Review of Option Types A call is an option to buy A put is an option to sell A European option can be exercised only at the end of its life An American option can be exercised at any time 8.3 Option Positions Long call Long put Short call Short put 8.4 Long Call on eBay(Figure 8.1, Page 182) Profit from buying one eBay European call option: option price = $5, stock price=$98,strike price = $100, option life = 2 months 8.5 Short Call on eBay (Figure 8.3, page 184) Profit from writing one eBay European call option: option price = $5, strike price = $100 8.6 Long Put on IBM (Figure 8.2, page 183) Profit from buying an IBM European put option: option price = $7, strike price = $70,stock price=$65 8.7 Short Put on IBM (Figure 8.4, page 184) Profit from writing an IBM European put option: option price = $7, strike price = $70 8.8 Payoffs from OptionsWhat is the Option Position in Each Case? (不包括初始成本) K = Strike price, ST = Price of asset at maturity Payoff Payoff ST ST K K Payoff Payoff ST ST K K 8.9 Assets UnderlyingExchange-Traded Options186 Stocks（通常以100股为单位交易） Foreign Currency（合约大小取决于货币种类） Stock Indices Futures（期货合约的到期日通常在其对应的期货期权的到期日之后。看涨期权买方行权时，获得标的期货合约的多头+期货价格超过执行价的收益；看跌期权买方行权时，获得标的期货合约的空头+执行价格超过期货价格的收益） 8.10 Specification of Exchange-Traded Options Expiration date 1月、4月、7月、10月； 2月、5月、8月、11月； 3月、6月、9月、12月； 当前月份到期日之前，交易的期权包括：当月到期期权、下月到期期权、当前月循环中的下两个到期月期权；当前月份到期日之后，交易的期权包括：下月到期期权、再下月到期期权、当前月循环中的下两个到期月期权 European or American Call or Put (option class) Strike price 8.11 股票价格范围 执行价格变动间隔 $5~$25 $2.5 $25~$200 $5 $200 $10 10月份，某期权刚开始交易，股票价格为$84，交易所提供的最初的看涨期权和看跌期权的执行价格为分别为$80、$85和$90。 如果股票价格上升到$90以上，交易所将提供执行价格为$95的期权，如果股价跌到$80以下，交易所将提供执行价为$75的期权。 8.12 Terminology Moneyness : At-the-money option（平价期权） In-the-money option（实值期权） Out-of-the-money option（虚值期权） 8.13 Terminology(continued) Option class Option series（给定期权类中具有相同到期日和执行价格的所有期权） Intrinsic value（call， ; put ,