银行管理学全套配套课件 ch11.ppt

《银行管理学全套配套课件 ch11.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、OPTIONS,CAPS,FLOORSANDMORECOMPLEXSWAPSChapter11BankManagement,5thedition.TimothyW.KochandS.ScottMacDonaldCopyright©2003bySouth-Western,adivisionofThomsonLearningThenatureofoptionsonfinancialfuturesAnoption…anagreementbetweentwopartiesinwhichonegivestheot

2、hertheright,butnottheobligation,tobuyorsellaspecificassetatasetpriceforaspecifiedperiodoftime.Thebuyerofanoption…paysapremiumfortheopportunitytodecidewhethertoeffectthetransaction(exercisetheoption)whenitisbeneficial.Theoptionseller(optionwriter)…receives

3、theinitialoptionpremiumandisobligatedtoeffectthetransactionifandwhenthebuyerexercisestheoption.TwotypesofoptionsCalloption…thebuyerofthecallhastherighttobuytheunderlyingassetataspecificstrikepriceforasetperiodoftime.thesellerofthecalloptionisobligatedtode

4、livertheunderlyingassettothebuyerwhenthebuyerexercisestheoption.Putoption…thebuyerhastherighttoselltheunderlyingassetataspecificstrikepriceforasetperiodoftime.thesellerofaputoptionisobligatedtobuytheunderlyingassetwhentheputoptionbuyerexercisestheoption.O

5、ptionsversusfuturesInafuturescontract,bothpartiesareobligatedtothetransactionAnoptioncontractgivesthebuyer(holder)theright,butnottheobligation,tobuyorsellanassetatsomespecifiedprice:calloption,therighttobuyputoption,therighttosellExerciseorstrikeprice…the

6、priceatwhichthetransactiontakesplaceExpirationdate…thelastdayinwhichtheoptioncanbeusedOptionvaluationTheoreticalvalueoftheoption:Vo=Max(Va-E,0)whereVa=marketpriceoftheassetE=Strikeorexerciseprice.Example:Optiontobuyahouseat$100,000Ifmarketvalueis$120,00

7、0:Vo=Max(120,000-100,000,0)=20,000Ifmarketvalueis80,000,Vo=0Options,marketpricesandstrikeprices…aslongasthereissometimetoexpiration,itispossibleforthemarketvalueoftheoptiontobegreaterthanitstheoreticalvalue.CallOptionsOutoftheMoneyMarketprice

8、ttheMoneyMarketprice=StrikepriceIntheMoneyMarketprice>StrikepricePutOptionsOutoftheMoneyMarketprice>StrikepriceAttheMoneyMarketprice=StrikepriceIntheMoneyMarketprice