期权相关知识.pdfVIP

期权（Options） 孟生旺 中国人民大学统计学院 1 期权的基本概念 期权 （option ）：赋予买方在规定期限内按约定价格购买 或出售一定数量标的资产的权利。The right to buy or sell an asset. 期权的买方 （buyer ）：拥有在合约规定的时间购买或出 售标的资产的权利。 期权的卖方（seller ）：承担在规定时间内根据买方要求履 行合约的义务。 2 看涨期权 （call option ）：赋予期权买方以执行价格购买标 的资产的权利。A contract where the buyer has the right to buy, but not the obligation to buy. Example: suppose that the call buyer agrees to pay $1020 for the SR index in 6 months but is not obligated to do so. (the buyer has purchased a call option.) If in 6 months the SR price is $1100, the buyer will pay $1020 and receive the index. This is a payoff of $80 per unit of the index. If the SR price is $900, the buyer walks away. 3 Example: If in 6 months the SR price is $1100, the seller will receive $1020 and give up an index worth more, for a loss of $80 per unit of the index. If the SR price is less than $1020, the buyer will not buy, so the seller has no obligation. Thus, at expiration, the seller will have a payoff which is zero (if the SR price is less than $1020) or negative (if the SR price is greater than $1020). 期权费 （premium ，期权价格option price ）：买方支付 给卖方一定的费用，作为对卖方承担义务的补偿 。 看跌期权 （put option ）：赋予期权买方以执行价格出 售标的资产的权利。A contract where the seller has the right to sell, but not the obligation to sell. 4 期权交易中的双重买卖关系 看涨期权 看跌期权 以执行价格买入标 以执行价格卖出标 期权买方 的资产的权利 的资产的权利 以执行价格卖出标 以执行价格买入标 期权卖方 的资产的义务 的资产的义务