HullRMFI2ndEdCh05金融风险管理.pptVIP

Intel Option Prices: Apr. 27, 2008; Stock Price=23.45 (See Table 5.6; page 95) Strike Price Sept08 Call Oct08 Call Jan09 Call Sept08 Put Oct08 Put Jan09 Put 22 1.65 2.10 n.a. 0.21 0.63 n.a. 23 0.90 1.44 n.a. 0.47 0.97 n.a. 24 0.39 0.92 1.69 0.96 1.45 2.21 25 0.12 0.54 1.27 1.68 2.06 2.78 Risk Management and Financial Institutions, 2e, Chapter 5, Copyright ? John C. Hull 2009 * Options vs Futures/Forwards A futures/forward contract gives the holder the obligation to buy or sell at a certain price An option gives the holder the right to buy or sell at a certain price Risk Management and Financial Institutions, 2e, Chapter 5, Copyright ? John C. Hull 2009 * Financial Markets (pages 83-84) Exchange traded Traditionally exchanges have used the open-outcry system, but increasingly they are switching to electronic trading Contracts are standard; there is virtually no credit risk Over-the-counter (OTC) A computer- and telephone-linked network of dealers at financial institutions, corporations, and fund managers Contracts can be non-standard; there is some small amount of credit risk Risk Management and Financial Institutions, 2e, Chapter 5, Copyright ? John C. Hull 2009 * Short Selling (Pages 85-86) Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way At some stage you must buy the securities back so they can be replaced in the account of the client Risk Management and Financial Institutions, 2e, Chapter 5, Copyright ? John C. Hull 2009 * Short Selling (continued) You must pay dividends and other benefits the owner of the securities receives The cash flows from a short position that is entered into at time T1 and closed out at time T2 are the opposite of those from a long position where asset is bought at time T1 and sold at time T2,except that there may be a small fee for borrowing the asset Risk Management and Financial Institutions, 2e, Chapter 5, Copyright