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期权,期货与其衍生品第18弹课件
Chapter 18 The Greek Letters;Example;Naked Covered Positions;Stop-Loss Strategy;Stop-Loss Strategy continued;Delta (See Figure 18.2, page 381);Hedge;Delta Hedging;The Costs in Delta Hedging continued;First Scenario for the Example: Table 18.2 page 384;Second Scenario for the Example Table 18.3, page 385;Theta;Theta for Call Option: K=50, s = 25%, r = 5% T = 1;Gamma;Gamma for Call or Put Option: K=50, s = 25%, r = 5% T = 1;Gamma Addresses Delta Hedging Errors Caused By Curvature (Figure 18.7, page 389) ;Interpretation of Gamma;Relationship Between Delta, Gamma, and Theta (page 393);Vega;Vega for Call or Put Option: K=50, s = 25%, r = 5% T = 1;Taylor Series Expansion (Appendix to Chapter 18);Managing Delta, Gamma, Vega;Example;Example continued;Rho;Hedging in Practice;Scenario Analysis; Greek Letters for European Options on an Asset that Provides a Yield at Rate q;Futures Contract Can Be Used for Hedging;Hedging vs Creation of an Option Synthetically;Portfolio Insurance;Portfolio Insurance continued;Portfolio Insurance continued
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