北美精算考试SOA第二门FM(Derivative Markets衍生品市场)知识点总结

1NameGraphDescriptionPayoffProfitCommentsLongForwardCommitmenttopurchasecommodityatsomepointinthefutureatapre-specifiedpriceST-FST–FNopremiumAssetpricecontingency:AlwaysMaximumLoss:-FMaximumGain:UnlimitedShortForwardSeeaboveCommitmenttosellcommodityatsomepointinthefutureatapre-specifiedpriceF-STF-STNopremiumAssetpricecontingency:AlwaysMaximumLoss:UnlimitedMaximumGain:FLongCall(PurchasedCall)Right,butnotobligation,tobuyacommodityatsomefuturedateMax[0,ST–K]Max[0,ST–K]–FV(PC)PremiumpaidAssetpricecontingency:STKMaximumLoss:-FV(PC)MaximumGain:UnlimitedCOB:CallisanOptiontoBuy“Callmeup”:CallpurchaserbenefitsifpriceofunderlyingassetrisesShortCall(WrittenCall)Commitmenttosellacommodityatsomefuturedateifthepurchaserexercisestheoption-Max[0,ST–K]-Max[0,ST–K]+FV(PC)PremiumreceivedAssetpricecontingency:STKMaximumLoss:FV(PC)MaximumGain:FV(PC)LongPut(PurchasedPut)Right,butnotobligation,tosellacommodityatsomefuturedateMax[0,K-ST]Max[0,K-ST]-FV(PP)PremiumpaidAssetpricecontingency:KSTMaximumLoss:-FV(PP)MaximumGain:K-FV(PP)POS:PutisanOptiontoSell“Putmedown”:PutpurchaserbenefitsifpriceofunderlyingassetfallsShortwithrespecttounderlyingassetbutlongwithrespecttoderivative2ShortPut(WrittenPut)Commitmenttobuyacommodityatsomefuturedateifthepurchaserexercisestheoption-Max[0,K-ST]-Max[0,K-ST]+FV(PP)PremiumreceivedAssetpricecontingency:KSTMaximumLoss:-K+FV(PP)MaximumGain:FV(PP)LongwithrespecttounderlyingassetbutshortwithrespecttoderivativeFloorLongPositioninAsset+PurchasedPutUsedtoinsurealongpositionagainstpricedecreasesProfitgraphisidenticaltothatofapurchasedcallPayoffgraphscanbemadeidenticalbyaddingazero-couponbondtothepurchasedcallCapShortPositioninAsset+PurchasedCallUsedtoinsureashortpositionagainstpriceincreasesProfitgraphisidenticaltothatofapurchasedputPayoffgraphscanbemadeidenticalbyaddingazero-couponbondtothepurchasedputCoveredcallwritingLongPositioninAsset+SellaCallOptionLongIndexPayoff+{-max[0,ST–K]+FV(PC)}GraphsimilartothatofawrittenputCoveredputwritingShortPositioninAsset+WriteaPutOption-LongIndexPayoff+{-max[0,K-ST]+FV(PP)}Graphsimilartothatofawrittencall3SyntheticForwardPurchaseCallOption+WritePutOptionwithSAMEStrikePriceandExpirationDate{max[0,ST–K]–FV(PC)}+{-max[0,K-ST]+FV(PP)}Mimicslongforwardposition,butinvolvespremiumsanduses“strikeprice”ratherthan“forwardprice”Put-callparity:Call(K,T)–Put(K,T)=PV(F0,T–K)BullSpreadPurchaseCallOptionwithStrikePriceK1andSellCallOptionwithStrikePriceK2,whereK2K1ORPurchasePutOptionwithStrikePriceK1andSellPutOptionwithStrikePriceK2,whereK2K1{max[0,ST–K1]–FV(PC1)}+{-max[0,ST–K2]+FV(PC2)}InvestorspeculatesthatstockpricewillriseAlthoughinvestorgivesupaportionofhisprofitonthepurchasedcall,thisisoffsetbythepremiumreceivedforsellingthecallBearSpreadSellCallOptionwithStrikePriceK1andPurchaseCallOptionwithStrikePriceK2,whereK2K1ORSellPutOptionwithStrikePriceK1andPurchasePutOptionwithStrikePriceK2,whereK2K1{-max[0,ST–K1]+FV(PC1)}+{max[0,ST–K2]-FV(PC2)}InvestorspeculatesthatstockpricewillfallGraphisreflectionofthatofabullspreadaboutthehorizontalaxisBoxSpreadBullCallSpreadBearPutSpreadSyntheticLongForwardBuyCallatK1SellPutatK1SyntheticShortForwardSellCallatK2BuyPutatK2Consistsof4OptionsandcreatesaSyntheticLongForwardatonepriceandasyntheticshortforwardatadifferentpriceGuaranteescashflowintothefuturePurelyameansofborrowingorlendingmoneyCostlyintermsofpremiumsbuthasnostockpriceriskRatioSpreadBuymcallsatstrikepriceK1and–sellncallsatstrikepriceK2ORBuymputsatstrikepriceK1and-sellnputsatstrikepriceK2Enablesspreadswith0premiumUsefulforpaylaterstrategies4PurchasedCollarBuyat-the-moneyPutOptionwithstrikepriceK1+Sellout-of-the-moneyCallOptionwithstrikepriceK2,whereK2K1Collarwidth:K2-K1WrittenCollarSellat-the-moneyPutOptionwithstrikepriceK1+Buyout-of-the-moneyCallOptionwithstrikepriceK2,whereK2K1CollaredStockBuyindex+Buyat-the-moneyK1-strikeputoption+sellout-of-the-moneyK2strikecalloption,whereK2K1PurchasedPutinsurestheindexWrittenCallreducescostofinsuranceZero-costcollarBuyat-the-moneyPut+Sellout-of-the-moneyCallwiththesamepremiumForanygivenstock,thereisaninfinitenumberofzero-costcollarsIfyoutrytoinsureagainstalllossesonthestock(includinginterest),thenazero-costcollarwillhavezerowidthStraddleBuyaCall+BuyaPutwiththesamestrikeprice,expirationtime,andunderlyingassetThisisabetthatvolatilityisreallygreaterthanthemarketassessmentofvolatility,asreflectedinoptionpricesHighpremiumsinceitinvolvespurchasingtwooptionsGuaranteedpayoffaslongasSTisdifferentthanKProfit=|ST–K|–FV(PC)–FV(PP)5StrangleBuyanout-of-the-moneyCall+Buyanout-of-themoneyPutwiththesameexpirationtimeandunderlyingassetReduceshighpremiumcostofstraddlesReducesmaximumlossbutalsoreducesmaximumprofitWrittenStraddleSellaCall+SellaPutwiththesamestrikeprice,expirationtime,andunderlyingassetBetthatvolatilityislowerthanthemarket’sassessmentButterflySpreadSellaK2-strikeCall+SellaK2-strikePutANDBuyout-of-the-moneyK3-strikePutANDBuyout-of-the-moneyK1-strikeCallK1K2K3Combinationofawrittenstraddle