Содержание
- 2. 17- Derivatives are securities that get their value from the price of other securities. Derivatives are
- 3. Chinese Currency options 17-
- 4. 17- The Option Contract: Calls A call option gives its holder the right to buy an
- 5. Option quotation 17-
- 6. Warrants in Hong Kong Warrant Terms and Indicators Warrant Name South Africa A Goldman thirty-two Publisher
- 7. The Chinese Warrants Bubble, by Wei Xiong et al. In 2005-2008, over a dozen put warrants
- 8. 17- The Option Contract: Puts A put option gives its holder the right to sell an
- 9. 17- The Option Contract The purchase price of the option is called the premium. Sellers (writers)
- 10. 17- Example 17.1 Profit and Loss on a Call A January 2010 call on IBM with
- 11. 17- Example 17.1 Profit and Loss on a Call Suppose IBM sells for $132 on the
- 12. 17- Example 17.2 Profit and Loss on a Put Consider a January 2010 put on IBM
- 13. 17- Example 17.2 Profit and Loss on a Put Suppose IBM’s price at expiration is $123.
- 14. 17- In the Money - exercise of the option would be profitable Call: exercise price Put:
- 15. 17- American - the option can be exercised at any time before expiration or maturity European
- 16. 17- Stock Options Index Options Futures Options Foreign Currency Options (e.g. Chinese Currency options) Interest Rate
- 17. 17- Notation Stock Price = ST Exercise Price = X Payoff to Call Holder (ST -
- 18. 17- Payoff to Call Writer - (ST - X) if ST >X 0 if ST Profit
- 19. 17- Figure 17.2 Payoff and Profit to Call Option at Expiration
- 20. 17- Figure 17.3 Payoff and Profit to Call Writers at Expiration
- 21. 17- Payoffs to Put Holder 0 if ST > X (X - ST) if ST Profit
- 22. 17- Payoffs to Put Writer 0 if ST > X -(X - ST) if ST Profits
- 23. 17- Figure 17.4 Payoff and Profit to Put Option at Expiration
- 24. 17- Option versus Stock Investments Could a call option strategy be preferable to a direct stock
- 25. 17- Option versus Stock Investments Strategy A: Invest entirely in stock. Buy 100 shares, each selling
- 26. 17- Investment Strategy Investment Equity only Buy stock @ 100 100 shares $10,000 Options only Buy
- 27. 17- Strategy Payoffs
- 28. 17- Figure 17.5 Rate of Return to Three Strategies
- 29. 17- Strategy Conclusions Figure 17.5 shows that the all-option portfolio, B, responds more than proportionately to
- 30. 17- Protective Put Conclusions Puts can be used as insurance against stock price declines. Protective puts
- 31. 17- Covered Calls Purchase stock and write calls against it. Call writer gives up any stock
- 32. 17- Table 17.2 Value of a Covered Call Position at Expiration
- 33. 17- Figure 17.8 Value of a Covered Call Position at Expiration
- 34. 17- Straddle Long straddle: Buy call and put with same exercise price and maturity. The straddle
- 35. 17- Table 17.3 Value of a Straddle Position at Option Expiration
- 36. 17- Figure 17.9 Value of a Straddle at Expiration
- 37. 17- Spreads A spread is a combination of two or more calls (or two or more
- 38. 17- Table 17.4 Value of a Bullish Spread Position at Expiration
- 39. 17- Figure 17.10 Value of a Bullish Spread Position at Expiration
- 40. 17- Collars A collar is an options strategy that brackets the value of a portfolio between
- 41. 17- The call-plus-bond portfolio (on left) must cost the same as the stock-plus-put portfolio (on right):
- 42. 17- Stock Price = 110 Call Price = 17 Put Price = 5 Risk Free =
- 43. 17- Table 17.5 Arbitrage Strategy
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