期权期货及其衍生产品_Hull_17章讲义期权期货及其衍生产品_Hull_17章讲义.pdf

Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008 1 The Greek LettersThe Greek Letters ChChaptter 1717 Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008 2 ExampleExampleExampleExample AA bbankk hhas soldld ffor $300$300,000000 a EEuropean call option on 100,000 shares of a non- dividend ppayyingg stock S0 = 49, K = 50, r = 5%, σ = 20%, T = 20 weeks, μ = 13% The Black-Scholes value of the option is $240,000 HHow ddoes ththe bbankk hheddge itits riiskk tto llockk in a $60,000 profit? Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008 3 NakedNakedNakedNaked CoveredCoveredCoveredCovered PositionsPositionsPositionsPositions NakedNaked positionposition Take no action CoveredCovered positionposition Buy 100,000 shares today Both strategies leave the bank exposed toto significantsignificant riskrisk Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008 4 StopStopStopStop--LossLossLossLoss StrategyStrategyStrategyStrategy This involves: Buying 100,000 shares as soon as priceprice reachesreaches $50$50 Selling 100,000 shares as soon as pprice falls below $$50 This decep