期货期权其衍生品配套课件（全34章）Ch20.pptVIP

* * * * * * * * * * * * * * * * * * * * * * Example Consider an investment in options on Microsoft and ATT. Suppose the stock prices are 120 and 30 respectively and the deltas of the portfolio with respect to the two stock prices are 1,000 and 20,000 respectively As an approximation where Dx1 and Dx2 are the percentage changes in the two stock prices Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Skewness (See Figures 20.3, 20.4 , and 20.5) The linear model fails to capture skewness in the probability distribution of the portfolio value. Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Quadratic Model  For a portfolio dependent on a single stock price it is approximately true that this becomes Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Quadratic Model continued With many market variables we get an expression of the form where This is not as easy to work with as the linear model Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Monte Carlo Simulation (457) To calculate VaR using M.C. simulation we Value portfolio today Sample once from the multivariate distributions of the Dxi Use the Dxi to determine market variables at end of one day Revalue the portfolio at the end of day Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Monte Carlo Simulation Calculate DP Repeat many times to build up a probability distribution for DP VaR is the appropriate fractile of the distribution times square root of N For example, with 1,000 trial the 1 percentile is the 10th worst case. Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Speeding Up Monte Carlo Use the quadratic approximation to calculate DP Options, Futures, and Other Derivatives,