期权、期货和其他衍生品英文课件：Ch16 Options on Stock Indices and Currencies.pptVIP

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期权、期货和其他衍生品英文课件：Ch16 Options on Stock Indices and Currencies.ppt

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* * * * * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 16Options on Stock Indices and Currencies Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Index Options (347) The most popular underlying indices in the U.S. are The SP 100 Index (OEX and XEO) The SP 500 Index (SPX) The Dow Jones Index times 0.01 (DJX) The Nasdaq 100 Index (NDX) Exchange-traded contracts are on 100 times index; they are settled in cash; OEX is American; the XEO and all others are European Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Index Option Example Consider a call option on an index with a strike price of 880 Suppose 1 contract is exercised when the index level is 900 What is the payoff? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Using Index Options for Portfolio Insurance Suppose the value of the index is S0 and the strike price is K If a portfolio has a b of 1.0, the portfolio insurance is obtained by buying 1 put option contract on the index for each 100S0 dollars held If the b is not 1.0, the portfolio manager buys b put options for each 100S0 dollars held In both cases, K is chosen to give the appropriate insurance level Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example 1 Portfolio has a beta of 1.0 It is currently worth $500,000 The index currently stands at 1000 What trade is necessary to pr