期权期货15章.ppt

股指期权与货币期权 第15章 * * * * * * * * * * Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 * Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 股指期权 美国最流行的股票指数期权： SP100指数 (OEX是史坦普尔一百种股价指数and XEO是)期权 SP500指数 (SPX)期权 道琼斯工业平均指数 (DJX)期权 纳斯法克100指数(NDX)期权 股指期权合约的标的为指数值的100倍; 股指期权是以现金形式结算; OEX 是美式期权; XEO 和其它形式为欧式期权； * Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 * 利用股指期权确保证券组合收益 假定股指当前价格 S0,执行价格K 某管理人经营一个完全分散化的证券组合，该证券组合的b系数为1, 对证券组合中每100S0买入一份看跌股指期权，那么证券组合价值在股指价格低于K时得到保护。 如果 b 系数不是 1.0, 证券组合的管理人对证券组合中的每100S0 买入b份看跌期权。 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 * 例 1 b=1.0 证券组合的当前价值为 $500,000 股指当前价格为S0=$1000 那我们采取怎样的交易来确保组合的3个月的价值不低于$450,000? 答：我们可以买入5份3个月期的看跌期权，执行价格为$900。假定当股指价格下跌到$880时,期权收益为5*(900-880)=$10000,证券组合的的价值大约为$44000,那么我们确保了证券组合的总价值为$450000. Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 * 例2 b=2.0 证券组合的当前价值为 $500,000 股指当前价格为S0=$1000 无风险利率r=12%每年 证券组合与股指的收益率平均为4% 那么我们因该买入多少看跌期权合约？ Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008 * 3个月后股指价格1040 3个月股指价格变化所得收益40/1000=4% 3个月后股指股息 股指的整体收益5%=4%+1% 股指超出无风险利率的额外收益=2% 证券组合超出无风险利率的额外收益% 证券组合预期增值=4+3-1=6% 证券组合期望值= 计算3个月后证券组合价值和股指价格 Options, Futures, and Other Derivatives, 7th Edition, Copyright ? Joh