期权期货及其他衍生产品第9版赫尔_1.pptVIP

* * * * Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Chapter 3Hedging Strategies Using Futures Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Long Short Hedges A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price A short futures hedge is appropriate when you know you will sell an asset in the future and want to lock in the price Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Arguments in Favor of Hedging Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables Arguments against Hedging Shareholders are usually well diversified and can make their own hedging decisions It may increase risk to hedge when competitors do not Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Basis Risk Basis is usually defined as the spot price minus the futures price Basis risk arises because of the uncertainty about the basis when the hedge is closed out Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Long Hedge for Purchase of an Asset Define F1 : Futures price at time hedge is set up F2 : Futures price at time asset is purchased S2 : Asset price at time of purchase b2 : Basis at time of purchase Options, Futures, and Other Derivatives, 9th Edition, Copyright ?