期权 期货以及其他衍生品(1)

Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.1MechanicsofOptionsMarketsChapter7Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.2TypesofOptions•Acallisanoptiontobuy•Aputisanoptiontosell•AEuropeanoptioncanbeexercisedonlyattheendofitslife•AnAmericanoptioncanbeexercisedatanytimeOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.3AssetsUnderlyingExchange-TradedOptionsPage151-152•Stocks•ForeignCurrency•StockIndices•FuturesOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.4SpecificationofExchange-TradedOptions•Expirationdate•Strikeprice•EuropeanorAmerican•CallorPut(optionclass)Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.5TerminologyMoneyness:–At-the-moneyoption–In-the-moneyoption–Out-of-the-moneyoptionOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.6Terminology(continued)•Optionclass•Optionseries•Intrinsicvalue•TimevalueOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.7Dividends&StockSplits(Page154-155)•SupposeyouownNoptionswithastrikepriceofK:–Noadjustmentsaremadetotheoptiontermsforcashdividends–Whenthereisann-for-mstocksplit,•thestrikepriceisreducedtomK/n•theno.ofoptionsisincreasedtonN/m–StockdividendsarehandledinamannersimilartostocksplitsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.8Dividends&StockSplits(continued)•Consideracalloptiontobuy100sharesfor$20/share•Howshouldtermsbeadjusted:–fora2-for-1stocksplit?–fora5%stockdividend?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.9MarketMakers•Mostexchangesusemarketmakerstofacilitateoptionstrading•Amarketmakerquotesbothbidandaskpriceswhenrequested•ThemarketmakerdoesnotknowwhethertheindividualrequestingthequoteswantstobuyorsellOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.10Margins(Page158-159)•Marginsarerequiredwhenoptionsaresold•Whenanakedoptioniswrittenthemarginisthegreaterof:1Atotalof100%oftheproceedsofthesaleplus20%oftheunderlyingsharepricelesstheamount(ifany)bywhichtheoptionisoutofthemoney2Atotalof100%oftheproceedsofthesaleplus10%oftheunderlyingshareprice•ForothertradingstrategiestherearespecialrulesOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.11Warrants•Warrantsareoptionsthatareissued(orwritten)byacorporationorafinancialinstitution•ThenumberofwarrantsoutstandingisdeterminedbythesizeoftheoriginalissueandchangesonlywhentheyareexercisedorwhentheyexpireOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.12Warrants(continued)•Warrantsaretradedinthesamewayasstocks•Theissuersettlesupwiththeholderwhenawarrantisexercised•Whencallwarrantsareissuedbyacorporationonitsownstock,exercisewillleadtonewtreasurystockbeingissuedOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.13ExecutiveStockOptions•Optionissuedbyacompanytoexecutives•Whentheoptionisexercisedthecompanyissuesmorestock•Usuallyat-the-moneywhenissuedOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.14ExecutiveStockOptionscontinued•Theybecomevestedafteraperiodottime•Theycannotbesold•Theyoftenlastforaslongas10or15yearsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.15ConvertibleBonds•ConvertiblebondsareregularbondsthatcanbeexchangedforequityatcertaintimesinthefutureaccordingtoapredeterminedexchangeratioOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull7.16ConvertibleBonds(continued)•Veryoftenaconvertibleiscallable•Thecallprovisionisawayinwhichtheissuercanforceconversionatatimeearlierthantheholdermightotherwisechoose