期权 期货以及其他衍生品(4)

Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.1HedgingStrategiesUsingFuturesChapter4Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.2Long&ShortHedges•Alongfutureshedgeisappropriatewhenyouknowyouwillpurchaseanassetinthefutureandwanttolockintheprice•Ashortfutureshedgeisappropriatewhenyouknowyouwillsellanassetinthefuture&wanttolockinthepriceOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.3ArgumentsinFavorofHedging•Companiesshouldfocusonthemainbusinesstheyareinandtakestepstominimizerisksarisingfrominterestrates,exchangerates,andothermarketvariablesOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.4ArgumentsagainstHedging•Shareholdersareusuallywelldiversifiedandcanmaketheirownhedgingdecisions•Itmayincreaserisktohedgewhencompetitorsdonot•ExplainingasituationwherethereisalossonthehedgeandagainontheunderlyingcanbedifficultOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.5ConvergenceofFuturestoSpotTimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPriceOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.6BasisRisk•Basisisthedifferencebetweenspot&futures•BasisriskarisesbecauseoftheuncertaintyaboutthebasiswhenthehedgeisclosedoutOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.7LongHedge•SupposethatF1:InitialFuturesPriceF2:FinalFuturesPriceS2:FinalAssetPrice•Youhedgethefuturepurchaseofanassetbyenteringintoalongfuturescontract•CostofAsset=S2–(F2–F1)=F1+BasisOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.8ShortHedge•SupposethatF1:InitialFuturesPriceF2:FinalFuturesPriceS2:FinalAssetPrice•Youhedgethefuturesaleofanassetbyenteringintoashortfuturescontract•PriceRealized=S2+(F1–F2)=F1+BasisOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.9ChoiceofContract•Chooseadeliverymonththatisascloseaspossibleto,butlaterthan,theendofthelifeofthehedge•Whenthereisnofuturescontractontheassetbeinghedged,choosethecontractwhosefuturespriceismosthighlycorrelatedwiththeassetprice.Therearethen2componentstobasisOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.10OptimalHedgeRatioProportionoftheexposurethatshouldoptimallybehedgediswheresSisthestandarddeviationofdS,thechangeinthespotpriceduringthehedgingperiod,sFisthestandarddeviationofdF,thechangeinthefuturespriceduringthehedgingperiodristhecoefficientofcorrelationbetweendSanddF.hSF*rssOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.11HedgingUsingIndexFutures(Page82)•Tohedgetheriskinaportfoliothenumberofcontractsthatshouldbeshortedis•wherePisthevalueoftheportfolio,bisitsbeta,andAisthevalueoftheassetsunderlyingonefuturescontractbPAOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.12ReasonsforHedginganEquityPortfolio•Desiretobeoutofthemarketforashortperiodoftime.(Hedgingmaybecheaperthansellingtheportfolioandbuyingitback.)•Desiretohedgesystematicrisk(Appropriatewhenyoufeelthatyouhavepickedstocksthatwilloutpeformthemarket.)Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.13ExampleValueofS&P500is1,000ValueofPortfoliois$5millionBetaofportfoliois1.5WhatpositioninfuturescontractsontheS&P500isnecessarytohedgetheportfolio?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.14ChangingBeta•Whatpositionisnecessarytoreducethebetaoftheportfolioto0.75?•Whatpositionisnecessarytoincreasethebetaoftheportfolioto2.0?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull4.15RollingTheHedgeForward•Wecanuseaseriesoffuturescontractstoincreasethelifeofahedge•Eachtimeweswitchfrom1futurescontracttoanotherweincuratypeofbasisrisk