期权期货及其衍生品.ppt

Put-Call Parity Results Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Summary of Key Results from Chapters 16 and 17 We can treat stock indices, currencies, and futures like a stock paying a dividend yield of q For stock indices, q is average dividend yield on the index over the option life For currencies, q = r? For futures, q = r Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 17Futures Options Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Options on Futures Referred to by the maturity month of the underlying futures The option is American and usually expires on or a few days before the earliest delivery date of the underlying futures contract Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Mechanics of Call Futures Options When a call futures option is exercised the holder acquires A long position in the futures A cash amount equal to the excess of the futures price at the time of the most recent settlement over the strike price Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Mechanics of Put Futures Option When a put futures option is exercised the holder acquires A short position in the futures A cash amount equal to the excess of the strike price over the futures price