期权期货与其他衍生产品课件第(1)

1、Chapter 1引引 言言Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20141What is a Derivative?A derivative is an instrument whose value depends on, or is derived from, the value of another asset.Examples: futures, forwards, swaps, options, exotics Options, Futures, and Other D

2、erivatives, 9th Edition, Copyright John C. Hull 20142为什么衍生产品如此重要为什么衍生产品如此重要在当今的经济环境下，衍生产品在转移风险方面扮演着关键角色标的资产包括股票、汇率、利率、大宗商品、债务工具、电力、保费、气候等等很多金融交易都嵌入了衍生产品在对项目进行分析与估值方面实物期权的方法已被广泛采用Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143如何交易衍生产品如何交易衍生产品交易所交易，例如：Chicago Board O

3、ptions Exchange (CBOE)场外交易市场(OTC) ，金融机构、基金经理和企业的资金部之间经常在场外市场进行衍生产品交易Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20144The OTC Market Prior to 2008很大程度上不受监管约束 金融机构常常是市场上流行产品的做市商，随时提供买入价和卖出价主协议通常都规定了双方如何处理交易但也有一些交易被递交到中央交易对手 (CCPs). 中央交易对手的作用如同交易所的清算中心Options, Futures,

4、and Other Derivatives, 9th Edition, Copyright John C. Hull 20145Since 2008场外市场的监管加强了，其目的在于:降低系统风险(业界事例1.2, page 3)增加透明度在美国和其他一些国家，场外标准衍生产品必须按互换交易执行场所 (SEFs) 中所述的方式进行交易，其方式与交易所交易类似对于大多数标准衍生产品交易，世界上许多地区都要求使用中央交易对手（CCPs） 所有交易都必须向登记中心提供备案Options, Futures, and Other Derivatives, 9th Edition, Copyright Jo

5、hn C. Hull 20146场外衍生产品市场和交易所交易市场的规模场外衍生产品市场和交易所交易市场的规模(图图 1.1, Page 4)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20147来源：国际清算银行。图表显示了场外市场交易的面值总和及同一时间段交易所合约中的标的资产的总价值。雷曼的破产雷曼的破产(业界事例业界事例1.1)2008年9月15日，雷曼兄弟向法庭提出破产保护，这是美国历史上最大的一起破产案。雷曼在场外衍生产品市场上非常活跃，但由于其运作大多依赖短期债务，当市场对

6、雷曼失去信心时，贷款人拒绝再将贷款进行延期，因此造成了它的破产雷曼的交易对手数量高达8000多个，交易数量在百万笔以上。在2007年，雷曼兄弟的杠杆比率高达31：1Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20148How Derivatives are UsedTo hedge risksTo speculate (take a view on the future direction of the market)To lock in an arbitrage profitTo c

7、hange the nature of a liabilityTo change the nature of an investment without incurring the costs of selling one portfolio and buying anotherOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20149Foreign Exchange Quotes for GBP, May 26, 2013 (See page 5)Options, Futures, an

8、d Other Derivatives, 9th Edition, Copyright John C. Hull 201410买入价卖出价即期1.55411.55451-month forward1.55381.55433-month forward1.55331.55386-month forward1.55261.5532远期价格远期价格远期合约的远期价格是使得该合约价值为零的交割价格。在签署远期合约协议的时刻，远期价格和交割价格是相同的。随着时间推移，远期价格有可能改变，而交割价格保持不变。Options, Futures, and Other Derivatives, 9th Edit

9、ion, Copyright John C. Hull 201411术语术语同意在将来某一时刻以某一约定价格买入资产的一方被称为多头同意在将来某一时刻以同一约定价格卖出资产的一方被称为空头Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201412Example (page 6)假定2013年5月6日，美国某企业的资金部主管进入了一远期合约多头，即以1.5532的汇率在6个月后买入100万英镑也就是说企业在2013年11月6日以155.32万美元的价格买入100万英镑可能会产生什么样的结果

10、？Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201413合约多头的收益合约多头的收益 (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201414Profit合约到期时的价格, STKProfit from a Short Forward Posit

11、ion (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201415ProfitPrice of Underlying at Maturity, STK期货合约期货合约(page 7)在将来某一指定时刻以约定价格买入或卖出某一产品的合约与远期相似不同的是，远期合约在场外交易而期货合约在交易所交易Options, Futures, and Other Deriv

12、atives, 9th Edition, Copyright John C. Hull 201416期货交易所期货交易所CME Group (formed when Chicago Mercantile Exchange and Chicago Board of Trade merged)NYSE Euronext (being acquired by bteh InterContinental Exchange)BM&F (Sao Paulo, Brazil)TIFFE (Tokyo)and many more (see list at end of book)Options, Fu

13、tures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201417期货合约的例子期货合约的例子Agreement to:Buy 100 oz. of gold US$1400/oz. in December Sell 62,500 1.5500 US$/ in MarchSell 1,000 bbl. of oil US$90/bbl. in AprilOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201418

14、1. Gold: An Arbitrage Opportunity?Suppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$1,500The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity? Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014192. Gold: Anot

15、her Arbitrage Opportunity?Suppose that:-The spot price of gold is US$1,400-The 1-year forward price of gold is US$1,400-The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201420黄金的远期价格黄金的远期价格(igno

16、res the gold lease rate) 如果黄金的即期价格为S ，一份期限为T年的远期合约的远期价格为F，那么 F = S (1+r )T这里r 为1年期无风险利率 （本国货币） 。在这个例子中， S = 1400，T = 1，r =0.05 那么， F = 1400(1+0.05) = 1470Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014211. Oil: An Arbitrage Opportunity?Suppose that:-The spot price o

17、f oil is US$95-The quoted 1-year futures price of oil is US$125-The 1-year US$ interest rate is 5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014222. Oil: Another Arbitrage Opportu

18、nity?Suppose that:-The spot price of oil is US$95-The quoted 1-year futures price of oil is US$80-The 1-year US$ interest rate is 5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20142

19、3期权期权看涨期权看涨期权有权在将来某一特定时间以某一确定价格（执行价格）买入某种资产看跌期权看跌期权有权在将来某一特定时间以某一确定价格（执行价格）卖出某种资产Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201424美式期权美式期权vs欧式期权欧式期权美式期权美式期权是指在到期前的任何时刻，期权持有人均可以行使权利欧式期权欧式期权是指期权持有人只能在到期这一特定时刻行使期权Options, Futures, and Other Derivatives, 9th Edition, Co

20、pyright John C. Hull 201425Google Call Option Prices from CBOE (May 8, 2013; Stock Price is bid 871.23, offer 871.37); See Table 1.2 page 8Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201426Strike PriceJun 2013 BidJun 2013 OfferSep 2013 BidSep 2013 OfferDec 2013 BidDe

21、c 2013Offer82056.0057.5076.0077.8088.0090.3084039.5040.7062.9063.9075.7078.0086025.7026.5051.2052.3065.1066.4088015.0015.6041.0041.6055.0056.30900 7.90 8.4032.1032.8045.9047.20920n.a.n.a.24.8025.6037.9039.40Google Put Option Prices from CBOE (May 8, 2013; Stock Price is bid 871.23, offer 871.37); Se

22、e Table 1.3 page 9Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201427Strike PriceJun 2013 BidJun 2013 OfferSep 2013 BidSep 2013 OfferDec 2013 BidDec 2013Offer8205.005.5024.2024.9036.2037.508408.408.9031.0031.8043.9045.1086014.3014.8039.2040.1052.6053.9088023.4024.4048

23、.8049.8062.4063.7090036.2037.3059.2060.9073.4075.00920n.a.n.a.71.6073.5085.5087.40期权期权vs远期远期期货期货期货或远期合约要求了其持有人以一定价格买入或卖出标的资产的义务期权合约赋予其持有人以一定价格买入或卖出标的资产的权利Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201428交易者的类型交易者的类型对冲者投机者套利者Options, Futures, and Other Derivatives, 9

24、th Edition, Copyright John C. Hull 201429对冲案例对冲案例(pages 10-11)一家美国的进口公司得知在3个月后将向一家英国供应商支付1000万英镑。该公司决定利用远期合约多头进行对冲 一投资者持有微软1000股股票，股票现价为$28。执行价格为 $27.50的两个月期看跌期权的价格为$1。投资者决定买入10份该期权合约来对冲 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201430Value of Microsoft Shares with

25、 and without Hedging (Fig 1.4, page 11)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143120,00025,00030,00035,00040,0002025303540Value of Holding ($)Stock Price ($)No HedgingHedging投机案例投机案例一个投机者认为亚马逊的股票在今后2个月要涨价。股票的当前价格为20美元，一个期权的执行价格为22.5美元，期限为2个月的看涨期权的当前价格为1美元。What are the alternative strategies? Options, Futures, and Other Derivatives, 9th Editio