第九章 期权市场机制

1、第九章第九章 期权市场机制期权市场机制Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20121期权的类型期权的类型 看涨期权 看跌期权 欧式期权 美式期权Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20122期权头寸期权头寸 看涨期权长头寸Long call 看跌期权长头寸Long put 看涨期权短头寸Short call 看跌期权短头寸Short putOptions, Fu

2、tures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20123Long Call Profit from buying one European call option: option price = $5, strike price = $100, option life = 2 monthsOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201243020100-5708090100110 120 130P

3、rofit ($)Terminalstock price ($)Short Call Profit from writing one European call option: option price = $5, strike price = $100Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20125-30-20-1005708090100110 120 130Profit ($)Terminalstock price ($)Long Put Profit from buying

4、 a European put option: option price = $7, strike price = $70Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201263020100-7706050408090100Profit ($)Terminalstock price ($)Short Put Profit from writing a European put option: option price = $7, strike price = $70Options, F

5、utures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20127-30-20-1070706050408090100Profit ($)Terminalstock price ($)Payoffs from OptionsWhat is the Option Position in Each Case? K = Strike price, ST = Price of asset at maturityOptions, Futures, and Other Derivatives, 8th Edition, Copy

6、right John C. Hull 20128PayoffPayoffSTSTKKPayoffPayoffSTSTKK标的资产标的资产 股票期权Stocks 外汇期权Foreign Currency 指数期权Stock Indices 期货期权FuturesOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20129Specification of Exchange-Traded Options 股票期权的特征股票期权的特征 到期日Expiration date 敲定价格Strike pr

7、ice 术语：实值期权，虚值期权，平值期权 股息及股票拆股 头寸限额与行使限额Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201210术语术语Terminology 期权类Option class 期权系列Option series 内涵价值Intrinsic value 时间价值Time valueOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201211Dividends &

8、amp; Stock Splits 股息及股票拆分股息及股票拆分 Suppose you own N options with a strike price of K :No adjustments are made to the option terms for cash dividendsWhen there is an n-for-m stock split,the strike price is reduced to mK/n the no. of options is increased to nN/mStock dividends are handled similarly to

9、stock splitsOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201212Dividends & Stock Splits(continued) Consider a call option to buy 100 shares for $20/share How should terms be adjusted:for a 2-for-1 stock split?for a 5% stock dividend?Options, Futures, and Other Der

10、ivatives, 8th Edition, Copyright John C. Hull 201213头寸限额和行使限额头寸限额和行使限额 这些限额是投资者在市场的一方中可持有的期权合约的最大数量。 看涨期权的长头寸和看跌期权的短头寸被认为是市场的同一方。 目的是为了防止个人或团体操作市场。Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201214交易交易 做市商：是一个当需要时会报出买入价和卖出价的人。卖出价一定会高出买入价，高于买入价的差价就是买卖差价(bid-offer-spread