期权期货及其衍生品第18弹.ppt

* * * * * * * * Scenario Analysis A scenario analysis involves testing the effect on the value of a portfolio of different assumptions concerning asset prices and their volatilities Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Greek Letters for European Options on an Asset that Provides a Yield at Rate q Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Greek Letter Call Option Put Option Delta Gamma Theta Vega Rho Futures Contract Can Be Used for Hedging The delta of a futures contract on an asset paying a yield at rate q is e(r?q)T times the delta of a spot contract The position required in futures for delta hedging is therefore e?(r?q)T times the position required in the corresponding spot contract Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Hedging vs Creation of an Option Synthetically When we are hedging we take positions that offset delta, gamma, vega, etc When we create an option synthetically we take positions that matchdelta, gamma, vega, etc Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Portfolio Insurance In October of 1987 many portfolio managers attempted to create a put option on a portfolio synthetically This involves initially selling enough of the portfolio (or of index futures) to match the D of the put option Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Portfolio Insurancecontinued As the value of the portfolio increases, the D of the put becomes less negative and some of the original portfolio is repurchased As the value of the portfolio decreases, the D of the put becomes more negative and more of the portfolio must be sold Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Portfolio Insurancecontinued The strategy did not work well on October 19, 1987... Options, Futures, and Other Deriv