期权期货及其他衍生产品第9版赫尔_4.pptVIP

* * * * * * * * 16 17 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 2Mechanics of Futures Markets Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Futures Contracts Available on a wide range of assets Exchange traded Specifications need to be defined: What can be delivered, Where it can be delivered, When it can be delivered Settled daily Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Convergence of Futures to Spot (Figure 2.1, page 29) Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Time Time (a) (b) Futures Price Futures Price Spot Price Spot Price Margins A margin is cash or marketable securities deposited by an investor with his or her broker The balance in the margin account is adjusted to reflect daily settlement Margins minimize the possibility of a loss through a default on a contract Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Margin Cash Flows A trader has to bring the balance in the margin account up to the initial margin when it falls below the maintenance margin level A member of the exchange clearing house only has an initial margin and is required to bring the balance in its account up to that level every day. These daily margin cash flows are referred to as variation margin A member is also required to contribute to a default fund Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Example of a Futures Trade (29) An investor takes a long position in 2 December gold futures contracts on June 5 contract size is 100 oz. futures price is US$1,450 initia