投资学第9章 期权投资理论.ppt

HarryMarkowitz,1952,1990年诺贝尔经济学奖资产组合理论WillamSharp,1964,1990年诺贝尔经济学奖CAPMEugeneFama,1965，？年诺贝尔经济学奖EMH?,1973,1997年诺贝尔经济学奖StephenA.Ross,1976APT1

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本章结构、框架3

9.1期权及其到期价值9.1.1期权及其相关概念期权是目前为止创造出来的应用最广泛、最灵活的衍生金融工具。期权(Option)是授予持有人〔买方或多头〕一项在未来确定的一段时间内〔有效期〕以确定的价格〔执行价格或履约价格〕购置或出售确定资产〔标的资产〕的权力。期权使买方有能力防止“不确定性〞中坏的结果，同时从好的结果中获益。但是期权不是免费的，买方需要事先支付一笔费用给卖方〔期权费〕。4

期权的根本逻辑

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Buy-Long：期权合约的购置者或HolderSell–Short：期权合约的出售者或WriterCalloption：看涨期权或买方期权，即期权出售者给予期权持有者在将来确定的时间内以执行价格购置标的资产的权利Putoption：看跌期权或卖方方期权，即期权出售者给予期权持有者在将来确定的时间内以执行价格出售标的资产的权利期权自身四种根本组合：BuyCallBuyPutSell〔Write〕CallSell〔Write〕PutOptionTerminology6

IntheMoney〔实值期权〕：exerciseoftheoptionwouldbeprofitable.Call:marketpriceexercisepricePut:exercisepricemarketpriceOutoftheMoney〔虚值期权〕：exerciseoftheoptionwouldnotbeprofitable.Call:marketpriceexercisepricePut:exercisepricemarketpriceAttheMoney〔平值期权〕：exercisepriceandassetpriceareequal.MarketandExercisePriceRelationships7

AmericanOptions:theoptioncanbeexercisedatanytimebeforeexpirationormaturity.EuropeanOptions:theoptioncanonlybeexercisedontheexpirationormaturity.问：同等条件下，美式期权和欧式期权哪一种期权价值高？Americanvs.EuropeanOptions8

StockOptionsIndexOptionsFuturesOptionsForeignCurrencyOptionsInterestRateOptionsDifferentTypesofOptions9

Figure20.1StockOptionsonIBM10

PayoffsandProfitsatExpiration——CallsNotationStockPrice=STExercisePrice=XPayofftoCallHolder (ST-X)ifSTX 0 ifSTXPayoffofCallHolder=Max〔ST-X、0〕ProfittoCallHolder Payoff-Premium〔PurchasePrice〕

9.1.2期权的到期价值

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Figure20.3PayoffandProfittoCallHolders

atExpiration12

PayofftoCallWriter -(ST-X)ifSTX 0 ifSTXPayoffofCallWriter=-Max〔ST-X、0〕ProfittoCallWriter Payoff+PremiumPayoffsandProfitsatExpiration——Calls13

Figure20.4PayoffandProfittoCallWritersatExpiration