【PPT精品课件】货币金融学7版英文课件--13-大学课件2

Chapter13FinancialDerivatives©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.13-2HedgingHedge:engageinafinancialtransactionthatreducesoreliminatesriskBasichedgingprinciple:Hedgingriskinvolvesengaginginafinancialtransactionthatoffsetsalongpositionbytakingashortposition,oroffsetsashortpositionbytakingaadditionallongposition©2005PearsonEducationCanadaInc.13-3BuyingandWritingCalls•Acalloptionisanoptionthatgivestheownertheright(butnottheobligation)tobuyanassetataprespecifiedexercise(orstriking)pricewithinaspecifiedperiodoftime.•Sinceacallrepresentsanoptiontobuy,thepurchaseofacallisundertakenifthepriceoftheunderlyingassetisexpectedtogoup.•Thebuyerofacallissaidtobelonginacallandthewriterissaidtobeshortinacall.•Thebuyerofacallwillhavetopayapremium(calledcallpremium)inordertogetthewritertosignthecontractandassumetherisk.©2005PearsonEducationCanadaInc.13-4ThePayofffromBuyingaCallTounderstandcalls,let'sassumethatyouholdaEuropeancallonanassetwithanexercisepriceofXandacallpremiumofα.•Ifattheexpirationdate,thepriceoftheunderlyingasset,S,islessthanX,thecallwillnotbeexercised,resultinginalossofthepremium.•AtapriceaboveX,thecallwillbeexercised.Inparticular,atapricebetweenXandX+α,thegainwouldbeinsufficienttocoverthecostofthepremium,whileatapriceaboveX+αthecallwillyieldanetprofit.•Infact,atapriceaboveX+α,each$1riseinthepriceoftheassetwillcausetheprofitofthecalloptiontoincreaseby$1.©2005PearsonEducationCanadaInc.13-5ThePayofffromWritingaCallThepayofffunctionfromwritingthecalloptionisthemirrorimageofthepayofffunctionfrombuyingthecall.Notethatthewriterofthecallreceivesthecallpremium,α,upfrontandmuststandreadytoselltheunderlyingassettothebuyerofthecallattheexerciseprice,X,ifthebuyerexercisestheoptiontobuy.©2005PearsonEducationCanadaInc.13-6SummaryandGeneralizationIngeneral,thevalueofacalloption,C,atexpirationwithassetpriceS(atthattime)andexercisepriceXisC=max(0,S-X)Inotherwords,thevalueofacalloptionatmaturityisS-X,orzero,whicheverisgreater.•IfSX,thecallissaidtobeinthemoney,andtheownerwillexerciseitforanetprofitofC-α.•IfSX,thecallissaidtobeoutofthemoneyandwillexpireworthless.•AcallwithS=Xissaidtobeatthemoney(ortradingatpar).©2005PearsonEducationCanadaInc.13-7BuyingandWritingPutsAsecondtypeofoptioncontractistheputoption.Itgivestheownertheright(butnottheobligation)tosellanassettotheoptionwriterataprespecifiedexerciseprice.•Asaputrepresentsanoptiontosellratherthanbuy,itisworthbuyingaputwhenthepriceoftheunderlyingassetisexpectedtofall.•Aswithcalls,theownerofaputissaidtobelonginaputandthewriterofaputissaidtobeshortinaput.•Also,aswithcalls,thebuyerofaputoptionwillhavetopayapremium(calledtheputpremium)inordertogetthewritertosignthecontractandassumetherisk.©2005PearsonEducationCanadaInc.13-8ThePayofffromBuyingaPutConsideraputwithanexercisepriceofXandapremiumofβ.•AtapriceofXorhigher,theputwillnotbeexercised,resultinginalossofthepremium.•AtapricebelowX-β,theputwillyieldanetprofit.•Infact,betweenX-βandX,theputwillbeexercised,butthegainisinsufficienttocoverthecostofthepremium.©2005PearsonEducationCanadaInc.13-9ThePayofffromWritingaPutThepayofffunctionfromwritingaputisthemirrorimageofthatfrombuyingaput.Aswithwritingacall,thewriterofaputreceivestheputpremium,β,upfrontandmustselltheassetunderlyingtheoptionifthebuyeroftheputexercisestheoptiontosell.©2005PearsonEducationCanadaInc.13-10SummaryandGeneralizationIngeneral,thevalueofaputoption,P,attheexpirationdatewithexercisepriceXandassetpriceS(atthattime)isP=max(X-S,0)Thatis,thevalueofaputatmaturityisthedifferencebetweentheexercisepriceoftheoptionandthepriceoftheassetunderlyingtheoption,X-S,orzero,whicheverisgreater.•IfSX,theputissaidtobeoutofthemoneyandwillexpireworthless.•IfSX,theputissaidtobeinthemoneyandtheownerwillexerciseitforanetprofitofP-β.•IfS=X,theputissaidtobeatthemoney.©2005PearsonEducationCanadaInc.13-11FactorsAffectingPremium1.Higherstrikepricelowerpremiumoncalloptionsandhigherpremiumonputoptions2.Greatertermtoexpirationhigherpremiumsforbothcallandputoptions3.Greaterpricevolatilityofunderlyinginstrumenthigherpremiumsforbothcallandputoptions©2005PearsonEducationCanadaInc.13-12Spot,Forward,andFuturesContracts•Aspotcontractisanagreement(attime0)whentheselleragreestodeliveranassetandthebuyeragreestopayfortheassetimmediately(now)•Aforwardcontractisanagreement(attime0)betweenabuyerandasellerthatanassetwillbeexchangedforcashatsomelaterdateatapriceagreeduponnow•Afuturescontractissimilartoaforwardcontractandisnormallyarrangedthroughanorganizedexchange(i.e.,ME,CBT)Themaindifferencebetweenafuturesandaforwardcontractisthatthepriceofaforwardcontractisfixedoverthelifeofthecontract,whereasfuturescontractsaremarked-to-marketdaily.©2005PearsonEducationCanadaInc.13-13FinancialFuturesMarketsFinancialfuturesareclassifiedas•Interest-ratefutures•Stockindexfutures,and•CurrencyfuturesInCanada,financialfuturesaretradedintheMontrealExchange(seeTable13-1)©2005PearsonEducationCanadaInc.13-14Interest-RateForwardMarketsLongposition=agreetobuysecuritiesatfuturedateHedgesbylockinginfutureinterest