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1、CHAPTER2derivativesInthisChapter...•thedefinitionsofbasicderivativeinstruments•optionjargon•howtodrawpayoffdiagrams•noarbitrageandput-callparity•simpleoptionstrategies2.1INTRODUCTIONThepreviouschapterdealtwithsomeofthebasicsoffinancialmarkets.Ididn’tgointoanydetail,justgivingt
2、hebarestoutlineandsettingthesceneforthischapter.HereIintroducethethemethatiscentraltothebook,thesubjectofoptions,a.k.a.derivativesorcontingentclaims.Thischapterisnontechnical,beingadescriptionofsomeofthemostcommonoptioncontracts,andexplanationofthemarket-standardjargon.Itisi
3、nlaterchaptersthatIstarttogettechnical.Optionshavebeenaroundformanyyears,butitwasonlyon26thApril1973thattheywerefirsttradedonanexchange.ItwasthenthatTheChicagoBoardOptionsExchange(CBOE)firstcreatedstandardized,listedoptions.Initiallytherewerejustcallson16stocks.Putsweren’teven
4、introduceduntil1977.IntheUSoptionsaretradedonCBOE,theAmericanStockExchange,thePacificExchangeandthePhiladelphiaStockExchange.Worldwide,thereareover50exchangesonwhichoptionsaretraded.2.2OPTIONSIfyouarereadingthebookinalinearfashion,fromstarttofinish,thenthelasttopicsyoureadabou
5、twillhavebeenfuturesandforwards.Theholderoffutureorforwardcontractsisobligedtotradeatthematurityofthecontract.Unlessthepositionisclosedbeforematuritytheholdermusttakepossessionofthecommodity,currencyorwhateveristhesubjectofthecontract,regardlessofwhethertheassethasrisenorfal
6、len.Wouldn’titbeniceifweonlyhadtotakepossessionoftheassetifithadriseninvalue?26PartOnemathematicalandfinancialfoundationsThesimplestoptiongivestheholdertherighttotradeinthefutureatapreviouslyagreedpricebuttakesawaytheobligation.Soifthestockfalls,wedon’thavetobuyitafterall.Aca
7、lloptionistherighttobuyaparticularassetforanagreedamountataspecifiedtimeinthefutureAsanexample,considerthefollowingcalloptiononMicrosoftstock.ItgivestheholdertherighttobuyoneofMicrosoftstockforanamount$25inonemonth’stime.Today’sstockpriceis$24.5.Theamount‘25’whichwecanpayfort
8、hestockiscalledtheexercisepriceorstrikeprice.Thedateonwhichwemustexerciseou
