期货期权及其衍生品配套课件（全3章）Ch17.pptVIP

* * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 The Greek Letters Chapter 17 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Example A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit? Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Naked Covered Positions Naked position Take no action Covered position Buy 100,000 shares today Both strategies leave the bank exposed to significant risk Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Stop-Loss Strategy This involves: Buying 100,000 shares as soon as price reaches $50 Selling 100,000 shares as soon as price falls below $50 This deceptively simple hedging strategy does not work well Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Delta (See Figure 17.2, page 353) Delta (D) is the rate of change of the option price with respect to the underlying Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Option price A B Slope = D Stock price Delta Hedging This involves maintaining a delta neutral portfolio The delta of a European call on a non-div