第三章-JOHN-HULL-期权与期货市场基本原理第七版.pptVIP

* * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Hedging Strategies Using Futures Chapter 3 * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 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 want to lock in the price * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Arguments in Favor of Hedging 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 * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 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 * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Convergence of Futures to Spot(Hedge initiated at time t1 and closed out at time t2) Time Spot Price Futures Price t1 t2 * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Basis Risk Basis is the difference between spot futures Basis risk arises because of the uncertainty about the basis when the hedge is closed out * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Long Hedge Suppose that F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price You hedge the future purchase of an asset by entering into a long futures contract Cost of Asset=S2 – (F2 – F1) = F1 + Basis * Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright ? John C. Hull 2010 Short Hedge Su