KCG期权培训高级37页

AdvancedOptionsTraining高级期权培训PresentedtoDalianCommodityExchangeDecember12-13,20132013年12月12-13号05.31.2013©2013KCGProprietaryandConfidentialOptions期权Optionsareacontractbetweentwopartiesinwhichoneparty(optionbuyer)retainstherighttocertainprescribedeconomicbenefits.期权是双方签订的一种合约，其中规定了一方（期权买方）有权利获得某种规定的经济利益Theotherpartyinthecontract(optionwriteroroptionseller)hastheobligationtomeetthetermsofthecontractshouldthebuyerchoosetoexercisetheoption.当买方行权时，合约另一方（期权发行方或卖方）有义务履行合约条款Thekeywordsarerightandobligationwhichiswhytheoptionbuyeralwayspaysapremiumandtheoptionwriteralwaysreceivesapremium.关键词为权利和义务，这正是期权买方总是支付权利金，期权卖方收取权利金的原因05.31.2013©2013KCGProprietaryandConfidentialCallsandputs看涨和看跌期权Typicallytheoptioncontractrelatestotheoptiontobuyorsellanunderlyingassetataspecificpriceaccordingtoaknowntimetable.通常，期权合约主要规定权利所有者（期权买方）有权在规定时间以规定价格买入或卖出合约标的资产Therighttobuytheunderlyingassetisacalloption买入标的资产的权利为看涨期权Therighttoselltheunderlyingassetisaputoption卖出标的资产的权利为看跌期权Theassetwhosepriceisthesubjectofthecontractisknownastheunderlyingassetortheunderlier合同的标的物资产被称为“标的资产”Thepricespecifiedinthecontractisknownasthestrikepriceandthedateon/bywhichthebuyermustmakeherintentionsknownisreferredtoastheexpirationdate合约规定的价格被称为“行权价”，期权买方必须决定是否行权的日期（或在此之前）被称为到期日。05.31.2013©2013KCGProprietaryandConfidentialOptions期权Therearelimitlesswaysinwhichoptionscanbestructured:期权合约的设计方式有很多种：Optionswithone,severalorcontinuousexpirations具有一个、多个或连续到期日期的期权Optionswheretheunderlyingassetchangesitsquantityortypeofasset标的资产数量或类型可以发生变化的期权Optionswherethestrikecanchangeorevenbesetafterthefact行权价格可以变化，甚至可以根据实际情况设定的期权Andmanyothervariationsonthesethemes以及基于以上参数组合形成的多种其他期权Exchangetradedoptionsaretypicallystructuredaroundaknownandfixedunderlyingasset,afixedandknownstrikeandaknownexpiration.交易所上市期权通常设计为固定标的资产，固定行权价格以及固定到期日TheyaretypicallyeitherEuropean(exerciseatexpiration)orAmerican(exerciseanytimeuntilexpiration)交易所上市期权通常分为欧式（到期日当日行权）或美式（到期日之前任何时间都可行权）05.31.2013©2013KCGProprietaryandConfidentialOTCoptions场外交易期权Overthecounter(OTC)optionscanbefarmorecomplex(exotic)thanordinaryoptions(vanilla)场外交易期权比普通期权更为复杂（特殊）Examplesinclude:示例：Exoticexercise:Bermudan,Canary特殊的行权：Bermudan期权、Canary期权Exoticunderlier:compound,doubleoption,LEPO,exchange,basket,rainbow特殊的标的：组合期权、双向期权、低行权价格期权（LEPO）、交换期权、篮子期权、彩虹期权Exoticdenomination:cross,quanto特殊的计价方式：交叉期权、固定汇率期权Exoticpathdependence:lookback,Asian,Russian,Israeli,Parisian,barrier,doublebarrier,binary,chooser,forwardstart,cliquet,etc.特殊的路径依赖性：回望期权、亚洲期权、俄罗斯期权、以色列期权、波斯期权、界限期权、双界限期权、二元期权、后定期权、远期定价期权、轮期期权05.31.2013©2013KCGProprietaryandConfidentialHistoryofoptions期权历史Intheirmoregeneralcontingentclaimscontext,optionshaveexistedforalongtime期权具有很长的历史Thaleshadacontingentclaimonolivepressespriorto332B.C.公元前332年，Thales在橄榄收获之前就购买了橄榄购买权Tulipmaniaof1636spawnedoptionstrading1636年，郁金香价格飙升，引发大量期权交易OptionsweretradedinLondonduringthe18thcentury.Inmid18thcenturyoptionsweredeclaredillegalandtheyremainedsofornearly100years.十八世纪，期权在伦敦交易。十八世纪中叶，期权交易被定性为非法，在此后的近一百年里都禁止期权交易RussellSagebegantradingOTCoptionsinNYin18721872年，RussellSage将OTC期权交易引入纽约ModernfinancialoptionstradingbeganonApril26,1973whenChicagoBoardofTrade(CBOT)launchedtheChicagoBoardofOptionsExchange(CBOE).AlsoOptionsClearingCorporation(OCC)wasformedtocleartrades.1973年4月26日，CBOT成立了芝加哥期权交易所（CBOE)，开始交易现代金融期权。同时，成立期权清算公司用以交易清算。Initiallyonlycalloptionswereavailable,butby1977putoptionswereintroduced最初，只能交易看涨期权，但在1977年开始，也能交易看跌期权了Onthefirstdayoftrading911contractsweretradedon16stocks第一个交易日当天，16支股票的期权共计产生911手交易量05.31.2013©2013KCGProprietaryandConfidentialIntrinsicandtimevalue内涵和时间价值intrinsicvalueofin-the-moneyoptionsequalsthepayoffthatcouldbeobtainedfromtheimmediateexerciseoftheoption实值期权的内涵价值=即刻行权获得的收益foracalloption:stockprice–exerciseprice看涨期权内涵价值=股价-行权价foraputoption:exerciseprice–stockprice看跌期权内内涵价值=行权价-股价theintrinsicvalueforout-the-moneyorat-the-moneyoptionsisequalto0平值期权和虚值期权的内涵价值=0timevalueofanoption=differencebetweenactualcallpriceandintrinsicvalue期权时间价值=实际看涨期权价格-内涵价值astimeapproachesexpirationdate,timevaluegoestozero随着到期日期不断临近，时间价值最终会趋于零05.31.2013©2013KCGProprietaryandConfidentialTimevalue,intrinsicvalue,payofffunction时间价值、内涵价值、收益函数05.31.2013©2013KCGProprietaryandConfidentialOptionvaluation(Black-Scholesformulation)期权定价（布莱克-斯科尔斯期权定价公式）Marketsareassumedtobeliquid,haveprice-continuity,befairandprovideallplayerswithequalaccesstoavailableinformation.Efficientmarkethypothesiswithzerotransactioncosts.假设：市场具有足够流动性，价格具有持续性、公平性，所有交易者都能获得相同的信息，市场有效、交易成本为零Underlyingsecuritysatisfiescontinuouspricemovementsandthatshortsellingwithfulluseofproceedsisalwaysavailable.假设：标的证券的价格持续变动，且可以充分利用收益做空Constantrisk-freeinterestratesareassumedtobethesameforallandavailabletoall.假设：对所有交易者而言，利率都是一样的、固定的、无风险的The“noarbitrage”conditionisassumedtoholdatalltimes.假设：“无套利”条件始终成立ThepriceoftheunderlyingsecurityisassumedtofollowageometricBrownianprocess(randomwalk).、那么，标的证券的价格应该符合以下几何布朗运动（随机运动）05.31.2013©2013KCGProprietaryandConfidentialOptionvaluation(pricetreeconstruct)期