衍生工具与风险管理第6章课件.ppt

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1、Chapter6:BasicOptionStrategiesI’mnotaseat-of-the-pantsperson,andoptionstradingisaseat-of-the-pantsbusiness.ElizabethMackayWomenoftheStreet(bySueHerera),1997,p.25D.M.ChanceCh.6:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter6Profitequ

2、ationsandgraphsforbuyingandsellingstock,buyingandsellingcalls,buyingandsellingputs,coveredcalls,protectiveputsandconversions/reversalsTheeffectofchoosingdifferentexercisepricesTheeffectofclosingoutanoptionpositionearlyversusholdingtoexpirationTerminologyandNotatio

3、nNotethefollowingstandardsymbolsC=currentcallprice,P=currentputpriceS0=currentstockprice,ST=stockpriceatexpirationT=timetoexpirationX=exercisepriceP=profitfromstrategyThenumberofcalls,putsandstockisgivenasNC=numberofcallsNP=numberofputsNS=numberofsharesofstockTerm

4、inologyandNotation(continued)Thesesymbolsimplythefollowing:NC,NP,orNS>0impliesbuying(goinglong)NC,NP,orNS<0impliesselling(goingshort)TheProfitEquationsProfitequationforcallsheldtoexpirationP=NC[Max(0,ST-X)-C]Forbuyerofonecall(NC=1)thisimpliesP=Max(0,ST-X)-CForsell

5、erofonecall(NC=-1)thisimpliesP=-Max(0,ST-X)+CTerminologyandNotation(continued)TheProfitEquations(continued)ProfitequationforputsheldtoexpirationP=NP[Max(0,X-ST)-P]Forbuyerofoneput(NP=1)thisimpliesP=Max(0,X-ST)-PForsellerofoneput(NP=-1)thisimpliesP=-Max(0,X-ST)+PTe

6、rminologyandNotation(continued)TheProfitEquations(continued)ProfitequationforstockP=NS[ST-S0]Forbuyerofoneshare(NS=1)thisimpliesP=ST-S0Forshortsellerofoneshare(NS=-1)thisimpliesP=-ST+S0TerminologyandNotation(continued)DifferentHoldingPeriodsThreeholdingperiods:T1<

7、T2

8、ecloseoutoptionpriceistakenfromtheBlack-ScholesmodelforagivenstockpriceatT1.TerminologyandNotation(continued)DifferentHoldingPeriods(continued)Similarca