(a) The investor is obligated to sell pounds for 1.衍生品与对冲 衍生品与对冲 5000 when they are worth 1.4900. The gain is (1.5000 1.4900) ×100,000 = $1,000.
(b) The investor is obligated to sell pounds for 1.5000 when they are worth 1.5200. The loss is (1.5200 1.5000)×100,000 = $2,000
A trader 衍生品与对冲 enters into a short cotton futures contract when the futures price is 50 cents per pound. The contract is for the delivery of 50,000 pounds. How much does the trader gain or lose if the cotton price at the end of the contract is (a) 48.20 cents per pound; (b) 51.30 cents per pound?
(a) The trader sells for 50 cents per pound something that is worth 48.20 cents per pound. Gain ($0 5000 $0 4820) 50 000 $900.
(b) The trader sells for 50 cents per pound something that is worth 51.30 cents per pound. Loss ($0 5130 $0 5000) 50 000 $650.
Suppose that 衍生品与对冲 衍生品与对冲 you write a put contract with a strike price of $40 and an expiration date in three months. The current stock price is $41 and the contract is on 100 shares. What have you committed yourself to? How much could you gain or lose?
You have sold a put option. You have agreed to buy 100 shares for $40 per share if the party on the other side of the contract chooses to exercise the right to sell for this price. The option will be exercised only when the price of stock is below $40. Suppose, for example, that the option 衍生品与对冲 is exercised when the price is $30. You have to buy at $40 shares that are worth $30; you lose $10 per share, or $1,衍生品与对冲 衍生品与对冲 000 in total. If the option is exercised when the price is $20, you lose $20 per share, or $2,000 in total. The worst that can happen is that the price of the stock declines to almost 衍生品与对冲 衍生品与对冲 zero during the three-month period. This highly unlikely event would cost you 衍生品与对冲 $4,000. In return for the possible future losses, you receive the price of the option from the purchaser.
What is the difference between the over-the-counter market and the exchange-traded market? What are the bid and offer quotes of a market maker in the over-the-counter market?
The over-the-counter market is a telephone- and computer-linked network of financial institutions, fund managers, and corporate treasurers where two participants can enter into any mutually acceptable contract. An exchange-traded market is a market organized by an exchange where the contracts that can be traded have been defined by the exchange. When a market maker quotes 衍生品与对冲 a bid and an offer, the bid is the price at which the 衍生品与对冲 market maker is prepared to buy and the offer is the price at which the market maker is prepared to sell.
You would like to speculate on a rise in the price of a certain stock. The 衍生品与对冲 current stock price is $29, and a three-month call with a strike of $30 costs $2.90. You have $5,800 to invest.
本书第 1 章介绍期权基本概念，特别是期现结构。第 2、3 章介绍期权的基本策略，这是普通投资者使用最多的策略。期权策略看似很多，但对每类投资者来说，实际适用的或者说常用的也就那么几个。第 4 章… 查看全部内容
期权开户条件： 1.参与证券投资交易经验不低于6个月（以交易股票的第一笔委托时间算起） 2.资产不低于50万元3.开通前有融资融券账户 4.风险承受能力在C3及以上 5.参与知识测评并通过 6.无不良诚信记录 期权的优势： T+0交易，资金使用效率高；产品自带杠杆，以小博大；策略多样，交易灵活 。我整理了行业140多家的最优费率表，供参考~ [图片] 阅读全文
没人邀请，希望能抛砖引玉 在BS框架下，依旧可以用greeks去衡量风险，并用相关标的或期权去对冲 静态对冲的话，比如二元期权，理论上可以用一个bull spread或者 bear spread去近似对冲，然后实际上一是场内不一定存在这么窄的strike，二是要考虑bid ask spread和comm带来的交易成本 接近价格障碍值一个是可以平滑delta，因为接近barrier值，delta变化会非常诡异，如果依旧按照delta对冲，会出现对冲成本超过期权价值的情况，如果… 阅读全文
为了方便大家参考，我们会把跟踪计算的50/300期权的iViX未来波动率指数给大家在公众号发布并每周定期更新。 波动率指数可以跟踪指数期权的隐含波动率，反映的是投资者对未来一段时间对应标的波动率的预期。1993年，芝加哥期权交易所（CBOE）推出了波动率指数，也就是VIX，其目的是用来跟踪标普100指数期权的隐含波动率。2003年，CBOE将VIX的标的从标普100指数改为了标普500指数。未来波动率指数主要借鉴CBOE的VIX指数计算方法，… 阅读全文
股票期权合约是为上交所统一制定的、规定买方有权在将来特定时间以特定价格买入或者卖出约定股票或者跟踪股票指数的交易型开放式指数基金（ETF）等标的物的标准化合约 上证50ETF期权就是以50ETF为标的资产进行买卖的期权合约 阅读全文
对于障碍期权由于在障碍价位期权的赔付函数不连续，所以接近障碍价格时期权gamma和vega都接近无穷大。因此实际操作中不太可能实现完美的delta对冲。 障碍期权的static hedge有不少学者研究过，就是通过场内期权组合来实现，具体可以参考Peter Carr等人的论文Static Hedging of Exotic Options。由于场内期权流动新以及行权价有限等因素，估计static hedge的实际效果和成本也不会太好。 虽然障碍期权不能back to back hedge，但实… 阅读全文
高等院校经济与管理核心课经典系列教材(金融学专业):期货及期权投资实务(第三版) Broché – 衍生品与对冲 31 mai 2017
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outcome. The investor is paying $3,750 for the chance to 衍生品与对冲 benefit from this second type of outcome.
A bond issued by Standard Oil some time ago worked as follows. The holder received no interest. At 衍生品与对冲 the bond’s maturity the company promised to pay $1,000 plus an additional
amount based on the price of oil at that time. The additional amount 衍生品与对冲 was equal to the product of 170 and the excess (if any) of the price of a barrel of oil at maturity over $25. The maximum additional amount paid was $2,550 (which corresponds to a price of $40 per barrel). Show that the bond is a combination of a regular 衍生品与对冲 bond, a long position in call options on oil with a strike price of $25, and a short position in call options on oil with 衍生品与对冲 a strike price of $40.
Suppose ST is the price of oil at the bond’s maturity. In addition to $1000 the Standard Oil
$40 ST $25 衍生品与对冲 170(ST 25)
This is the payoff from 170 call options on oil with a strike price of 25 less the payoff from 170 call 衍生品与对冲 options on oil with a strike price of 40. The bond is therefore 衍生品与对冲 equivalent to a regular bond plus a long position in 170 call 衍生品与对冲 options on oil with a strike price of $25 plus a short position in 170 call options on oil with a strike price of $40. The investor has what is termed a bull spread on oil. This is discussed in Chapter 12.
Suppose that in the situation of Table 1.衍生品与对冲 1 a corporate treasurer said: “I will have £1 million to sell in 衍生品与对冲 six months. If the exchange rate is less than 1.52, I want you to give me 1.52. If it is greater than 1.58 I will accept 1.58. If the exchange rate is between 1.52 and 1.58, I will sell the sterling for the exchange rate.” How could you use options to satisfy the treasurer?
You sell the treasurer a put option on GBP with a strike price of 1.衍生品与对冲 52 and buy from the treasurer a call option on GBP with a strike price of 1.58. Both options are on one million pounds and have a maturity of six months. This is known as a range 衍生品与对冲 forward contract and is discussed in Chapter 17.
Describe how foreign currency options 衍生品与对冲 can be used for hedging in the situation considered in Section 1.7 so that (a) ImportCo is guaranteed that its exchange rate will be less than 1.5700, and (b) ExportCo is guaranteed that its exchange rate will be at least 1.5300. Use DerivaGem to calculate the cost of setting up the hedge in each case assuming that the exchange rate volatility is 12%, interest rates in the United States are 5% and interest rates in Britain are 5.7%. Assume that the current exchange rate 衍生品与对冲 is the average of the bid and offer in Table 1.1.衍生品与对冲 衍生品与对冲
ImportCo should buy three-month call options on $10 million with a strike price of 1.5700. ExportCo should buy three-month put options on $10 million 衍生品与对冲 with a strike price of 1.5300. In this case the spot foreign exchange rate is 1.5543 (the average of the bid and offer quotes in