ChTheGreekLetters(金融工程华东师范大学汤银才)教程方案.ppt

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ChTheGreekLetters(金融工程华东师范大学汤银才)教程方案.ppt

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The Greek LettersChapter 13 Example A FI has SOLD for $300,000 a European call on 100,000 shares of a non-dividend paying stock: S0 = 49 X = 50 r = 5% s = 20% m = 13% T = 20 weeks The Black-Scholes value of the option is $240,000 How does the FI hedge its risk? Naked Covered Positions Naked position (裸期权头寸策略) Take NO action Covered position(抵补期权头寸策略) Buy 100,000 shares todayBoth strategies leave the FI exposed to significant risk Stop-Loss Strategy This involves Fully covering the option as soon as it moves in-the-money Staying naked the rest of the time This deceptively simple hedging strategy does NOT work well !!! Transactions costs, discontinuity of prices, and the bid-ask bounce kills it Delta Delta (D) is the rate of change of the option price with respect to the underlying Figure 13.2 (p. 311) Option Price A B Stock Price Slope = D ? Delta Hedging This involves maintaining a delta neutral portfolio The delta of a European call on a stock paying dividends at a rate q is The delta of a European put is The hedge position must be frequently rebalanced Delta hedging a written option involves a 揃UY high, SELL low?trading rule ? Delta Neutral Portfolio Example(in-the-money) Cum. Cost of Cost Stock Shares Shares Incl. Int. Week Price Delta Purch. Purch. Interest Cost 0 49.000 0.522 52,200 2,557.8 2,557.8 2.5 1 48.120 0.458 (6,400) (308.0) 2,252.3 2.2 2 47.370 0.400 (5,800) (274.7) 1,979.8 1.9 18 54.620 0.990 1,200 65.5 5,197.3 5.0 19 55.870 1.000 1,000 55.9 5,258.2 5.1 20 57.250 1.000 0 0.0 5,263.3 ? ? ? ? ? ? ? Table 13.2 (p. 314) ? Delta Neutral Portfolio Example(out-of-the-money) Cum. Cost of Cost Stock Shares Shares Incl. Int