期权简介PPT课件

.,1,期权Options,Acalloptionisanoptiontobuyacertainassetbyacertaindateforacertainprice(thestrikeprice),Aputisanoptiontosellacertainassetbyacertaindateforacertainprice(thestrikeprice),.,2,LongCall,ProfitfrombuyingaEuropeancalloption,optionprice=$5,strikeprice=$60,.,3,ShortCall,ProfitfromwritingaEuropeancalloption,optionprice=$5,strikeprice=$60,.,4,LongPut,ProfitfrombuyingaEuropeanputoption,optionprice=$7,strikeprice=$90,.,5,ShortPut,ProfitfromwritingaEuropeanputoption,optionprice=$7,strikeprice=$90,.,6,PayoffsfromOptionsWhatistheOptionPositioninEachCase?,K=Strikeprice,ST=Priceofassetatmaturity,.,7,期权的标的资产,股票外汇股指债券衍生产品,.,8,期权的要素,到期日敲定价欧式或美式看涨或看跌,.,9,一些术语,按价值:平值At-the-moneyoption实值In-the-moneyoption虚值Out-of-the-moneyoption内在价值Intrinsicvalue时间Timevalue,.,10,权证Warrants,权证是由公司自己发的期权，除非到期或被实施，其数量不变，一般只有一个到期日和敲定价。看涨权证实施时，一般由公司发行新的股份,.,11,可转债ConvertibleBonds,可转债是由公司发行的有权按事先约定比例转成公司股票的公司债券通常可转债是可召回的以强制转股，有时也含有回售条款它与分离式的有很大不同,.,12,股票期权的性质,.,13,记号,c:欧式看涨期权价格p:欧式看跌期权价格S0:今天股价K:敲定价T:到期日:股价波动率,C:美式看涨期权价格P:美式看跌期权价格ST:到期日股价D:期权存续期内股票红利的现值r:无风险连续复利,.,14,单个因素对期权价格影响,c,p,C,P,+,+,+,+,+,+,+,+,+,+,+,+,+,+,.,15,欧式和美式期权价格比较,因为有更多权利，所以CcPp,.,16,欧式看涨期权:有套利机会吗?,假设c=3S0=20T=1r=10%K=18D=0是否存在套利机会?,.,17,无红利时欧式看涨期权的下界,cS0Ke-rT,.,18,无红利时欧式看跌期权的上界,pKe-rTS0,.,19,无红利时欧式看涨看跌期权平价公式,考虑2个投资组合:PortfolioA:欧式看涨+敲定价现值的现金PortfolioB:欧式看跌+股票在到期日它们都值MAX(ST,K)因此现值应该相等，即c+Ke-rT=p+S0,.,20,美式期权的提前实施,通常美式期权可能被提前实施一个例外是无红利时美式股票看涨期权，它不应被提前实施。美式看跌期权可能被提前实施,.,21,没有任何损失延迟支付敲定价持有期权比持有股票保险,无红利时美式股票看涨期权不应被提前实施的原因,.,22,与期权有关的交易策略,.,23,3种策略,期权+标的资产多个同类型期权看涨看跌期权组合,.,24,期权+标的资产,Profit,ST,K,Profit,ST,K,Profit,ST,K,Profit,ST,K,(a),(b),(c),(d),.,25,BullSpreadUsingCalls,K1,K2,Profit,ST,.,26,BullSpreadUsingPuts,.,27,BearSpreadUsingCalls,K1,K2,Profit,ST,.,28,BearSpreadUsingPuts,.,29,ButterflySpreadUsingCalls,.,30,奇异期权ExoticOptions,.,31,奇异期权的类型,PackageNonstandardAmericanoptionsForwardstartoptionsCompoundoptionsChooseroptionsBarrieroptions,BinaryoptionsLookbackoptionsShoutoptionsAsianoptionsOptionstoexchangeoneassetforanotherOptionsinvolvingseveralassets,.,32,打包Packages,PortfoliosofstandardoptionsExamples:bullspreads,bearspreads,straddles,etcOftenstructuredtohavezerocostOnepopularpackageisarangeforwardcontract,.,33,非标美式,在一些特定日期可实施(Bermudans)在一段特定日期可实施（有锁定期）敲定价在不同时期可变,.,34,未来开始生效的期权,在未来某个时刻T1常用于员工激励敲定价通常为那时的股价,.,35,复合期权,Optiontobuy/sellanoptionCalloncallPutoncallCallonputPutonput,.,36,选择期权“AsYouLikeIt”,期权在0时刻生效,到期日为T2在时刻T1(0KattimeT,otherwisepays0.,.,39,回望期权LookbackOptions,LookbackcallpaysSTSminattimeT其本质是让期权买方以一段时间的最低股价买入股票LookbackputpaysSmaxSTattimeT其本质是让期权买方以一段时间的最高股价卖出股票,.,40,呼喊期权ShoutOptions,BuyercanshoutonceduringoptionlifeFinalpayoffiseitherUsualoptionpayoff,max(STK,0),orIntrinsicvalueattimeofshout,StKPayoff:max(STSt,0)+StKSimilartolookbackoptionbutcheaper,.,41,亚式期权AsianOptions,收益与平均股价有关平均股价期权:max(SaveK,0)(call),ormax(KSave,0