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ID:3919702
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时间:2017-11-25
《北美精算考试soa第二门fm(derivative markets衍生品市...》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、NameGraphDescriptionPayoffProfitCommentsLongForwardCommitmenttopurchaseST-FST–FNopremiumcommodityatsomepointAssetpricecontingency:Alwaysinthefutureatapre-MaximumLoss:-FspecifiedpriceMaximumGain:UnlimitedShortSeeaboveCommitmenttosellF-STF-STNopremiumForwardcommodityatsomepointAs
2、setpricecontingency:Alwaysinthefutureatapre-MaximumLoss:UnlimitedspecifiedpriceMaximumGain:FLongCallRight,butnotobligation,Max[0,ST–K]Max[0,ST–Premiumpaid(PurchasedtobuyacommodityatK]–FV(PC)Assetpricecontingency:ST>KCall)somefuturedateMaximumLoss:-FV(PC)MaximumGain:UnlimitedCO
3、B:CallisanOptiontoBuy“Callmeup”:CallpurchaserbenefitsifpriceofunderlyingassetrisesShortCallCommitmenttosella-Max[0,ST–-Max[0,ST–Premiumreceived(WrittenCall)commodityatsomeK]K]+FV(PC)Assetpricecontingency:ST>KfuturedateiftheMaximumLoss:FV(PC)purchaserexercisestheMaximumGain:FV(PC
4、)optionLongPutRight,butnotobligation,Max[0,K-ST]Max[0,K-ST]Premiumpaid(Purchasedtosellacommodityat-FV(PP)Assetpricecontingency:K>STPut)somefuturedateMaximumLoss:-FV(PP)MaximumGain:K-FV(PP)POS:PutisanOptiontoSell“Putmedown”:PutpurchaserbenefitsifpriceofunderlyingassetfallsShort
5、withrespecttounderlyingassetbutlongwithrespecttoderivative1ShortPutCommitmenttobuya-Max[0,K--Max[0,K-Premiumreceived(WrittenPut)commodityatsomeST]ST]+FV(PP)Assetpricecontingency:K>STfuturedateiftheMaximumLoss:-K+FV(PP)purchaserexercisestheMaximumGain:FV(PP)optionLongwithrespectt
6、ounderlyingassetbutshortwithrespecttoderivativeFloorLongPositioninAsset+UsedtoinsurealongpositionagainstPurchasedPutpricedecreasesProfitgraphisidenticaltothatofapurchasedcallPayoffgraphscanbemadeidenticalbyaddingazero-couponbondtothepurchasedcallCapShortPositioninAsset+Usedtoinsu
7、reashortpositionagainstPurchasedCallpriceincreasesProfitgraphisidenticaltothatofapurchasedputPayoffgraphscanbemadeidenticalbyaddingazero-couponbondtothepurchasedputCoveredcallLongPositioninAsset+LongIndexPayoffGraphsimilartothatofawrittenputwritingSellaCallOption+{-max[0,ST–K]+FV(
8、PC)}Coveredp
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