金融工程第十章ppt期权交易策略

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1、第10章期权交易策略TradingstrategiesinvolvingoptionEvaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.内容简介10.1包含单一期权与股票的策略10.2差价策略10.3组合策略Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.10.1包含单一

2、期权与股票的策略strategiesinvolvingasingleoptionandastock备保看涨期权系列：该策略的组合方式一个看涨期权的短头寸一个股票长头寸（以保护期权短头寸的损失）与备保看涨期权系列相反的策略一个看涨期权的长头寸一个股票短头寸Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.盈利STK盈利STK(a)(b)股票长头寸看涨期权短头寸看涨期权长头寸组合盈利组合盈利股票短头寸类似于看跌期权短头寸类似

3、于看跌期权长头寸Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.ProfitSTKProfitSTK(c)(d)股票长头寸看跌期权长头寸看跌期权短头寸股票短头寸组合盈利组合盈利类似于看涨期权长头寸类似于看涨期权短头寸Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.10.

4、2差价spreads2.1牛市差价bullspreads牛市差价长头寸希望股价上涨，持有如下组合：买入一个具有确定执行价格的看涨期权；卖出一个具有相同标的和到期日，但执行价格更高的看涨期权Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.K1K2ProfitST看涨期权短头寸看涨期权长头寸牛市差价Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.

5、2.0.0.Copyright2004-2011AsposePtyLtd.牛市差价盈利表示例10-1P153Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.9Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.牛市差价控制风险的特点控制了投资者的风险同时也限制了投资者的盈利

6、，为此，投资者得到了卖空执行价为K2的期权费补偿。3种类型的牛市差价：逐渐趋于保守两个虚值期权：成本低，收到高收益的概率小实值看涨期权+虚值看涨期权两个实值期权Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.牛市差价另一组合K1K2ProfitST买入看跌期权K1卖出看跌期权K2初期会有正的现金流Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5

7、.2.0.0.Copyright2004-2011AsposePtyLtd.2.2熊市差价bearspreads熊市差价长头寸希望股价下跌，持有如下组合：买入一个具有确定执行价格的看跌期权；卖出一个具有相同标的和到期日，但执行价格更低的看跌期权Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile5.2.0.0.Copyright2004-2011AsposePtyLtd.K1K2ProfitST买入看跌期权K2卖出看跌期权K1初期会有负的现金流Evalua