HullRMFI3rdEdCh05risk management and financial institutions PPT教学文稿.pptVIP

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HullRMFI3rdEdCh05risk management and financial institutions PPT教学文稿.ppt

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HullRMFI3rdEdCh05risk management and financial institutions PPT教学文稿.ppt

Options A call option is an option to buy a certain asset by a certain date for a certain price (the strike price) A put option is an option to sell a certain asset by a certain date for a certain price (the strike price) Options trade on both exchanges and in the OTC market Risk Management and Financial Institutions, 3e, Chapter 5, Copyright ? John C. Hull 2012 * American vs European Options An American option can be exercised at any time during its life A European option can be exercised only at maturity Risk Management and Financial Institutions, 3e, Chapter 5, Copyright ? John C. Hull 2012 * Intel Option Prices: Apr. 25, 2011; Stock Price=19.58 (See Table 5.6; page 101) Strike Price Sept11 Call Oct11 Call Jan12 Call Sept11 Put Oct11 Put Jan12 Put 18 1.70 2.14 n.a. 0.09 0.57 n.a. 19 0.82 1.44 1.87 0.24 0.86 1.48 20 0.25 0.87 1.34 0.68 1.29 1.95 21 0.04 0.48 0.92 1.46 1.89 2.53 Risk Management and Financial Institutions, 3e, Chapter 5, Copyright ? John C. Hull 2012 * Options vs Futures/Forwards A futures/forward contract gives the holder the obligation to buy or sell at a certain price An option gives the holder the right to buy or sell at a certain price Risk Management and Financial Institutions, 3e, Chapter 5, Copyright ? John C. Hull 2012 * Hedging Examples A US company will pay ￡10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contract An investor owns 1,000 Microsoft shares currently worth $28 per share. A two-month put with a strike price of $27.50 costs $1. The investor decides to hedge by buying 10 contracts Risk Management and Financial Institutions, 3e, Chapter 5, Copyright ? John C. Hull 2012 * Options vs Forwards Forward contracts lock in a price for a future transaction Options provide insurance. They limit the downside risk while not giving up the upside potential For this reason options are more attractive to many corporate treasurers than forward contracts Risk Management and Fina