history of derivatives金融衍生品历史

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1、DerivativesMarketPracticeinHistoricalPerspectiveProfessorDr.EspenGaarderHaug7-CityLondon1OptiontradersnowandthenMyth1:PeopleDidnotProperlypriceoptionsbeforeBlack-Scholes-Merton.Myth2:OptiontraderstodayusetheBlack-Scholes-Mertonformula.2Put-CallParityExtremelyRobustArbitragePrin

2、cipleF=call-putAccordingtosomemoderntextbooksandfamousProfessorsput-callparityinvented1969!3JosephdelaVega1688“Wesayofthosewhobuymeansofaforwardcallcontractandsellatfixedtermorofthosewhosellbymeansofaputcontractandbuyatafixedtermthattheyshiftthecourseoftheirspeculation.”Reprint

3、inthebook“ExtraordinaryPopularDelusionsandtheMadnessofCrowds&ConfusiondeConfusiones”1996JohnWiley&Sons,editedbyMartinFridson4Put-CallParityearly1900A)Aspurearbitrageconstrain.B)Toconvertcallstoputs,andputsandcallstostraddlesforhedgingpurpose.Optionswithoptions.Optionpricesaffec

4、tedbysupplyanddemandofoptions.5Higgins1902/Nelson1904“Itmaybeworthyofremarkthat‘calls’aremoreoftendealtthan‘puts’thereasonprobablybeingthatthemajorityof‘punters’instocksandsharesaremoreinclinedtolookatthebrightsideofthings,andthereforemoreoften‘see’arisethanafallinprices.Thissp

5、ecialinclinationtobuy‘calls’andtoleavethe‘puts’severelyalonedosenot,however,tendtomake‘calls’dearand‘puts’cheap,foritcanbeshownthattheadroitdealerinoptionscanconverta‘put’intoa‘call,’a‘call’intoa‘put’,a‘callo’more’intoa‘put-and-call,’infactanyoptionintoanother,bydealingagainsti

6、tinthestock.Wemaythereforeassume,withtolerableaccuracy,thatthe‘call’ofastockatanymomentcoststhesameasthe‘put’ofthatstock,andhalfasmuchasthePut-and-Call.“6Higgins1902:•1.ThataCallofacertainamountofstockcanbeconvertedintoaPut-and-Callofhalfasmuchbysellingone-halfoftheoriginalamou

7、nt.•2.ThataPutofacertainamountofstockcanbeconvertedintoaPut-and-Callofhalfasmuchbybuyingone-halfoftheoriginalamount.•3.ThataCallcanbeturnedintoaPutbysellingallthestock.•4.ThataPutcanbeturnedintoaCallbybuyingallthestock.•5.and6.ThataPut-and-Callofacertainamountofastockcanbeturne

8、dintoeitheraPutortwiceasmuchbysellingthewholeamount,or