第五章 JOHN HULL 期权与期货市场基本原理第七版ppt
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期货与期权PPT课件
期货市场的交易品种
总结词
期货市场的交易品种包括商品期货、金融期货和股指期货等。
详细描述
商品期货是最早的期货品种，包括农产品、金属、能源等实物商品。金融期货是衍生品市场的主体，包括利率、 汇率、债券等。股指期货则是以股票指数为标的物的期货合约。这些品种的期货合约具有不同的特点和风险收益 特征，为投资者提供了多样化的选择。
03
期权市场
期权市场的定义与特点
定义
期权市场是买卖期权合约的场所，期权合约是一种金融衍生品合约，赋予买方在 规定期限内按照约定价格买入或卖出标的资产的权利。
特点
期权市场具有高杠杆、低风险、灵活性强等优点，为投资者提供了规避风险和获 取收益的途径。
期权市场的交易品种
按标的资产分类
股票期权、期货期权、外汇期权、利率期权等。
详细描述
期货市场是由买卖双方聚集在一起，按照公开、公平 、公正的原则进行期货合约交易的场所。期货合约是 标准化的，规定了商品的质量、数量、交割时间和地 点等条款。在期货交易中，买方和卖方都需要缴纳一 定比例的保证金，以确保合约履行的可靠性。期货市 场允许买空卖空操作，即双向交易。交易价格是通过 集中竞价形成的，反映了市场供求关系和参与者的预 期。
期货市场的交易制度
总结词
期货市场的交易制度包括保证金制度、逐日盯市制度 、持仓限额制度和大户报告制度等。
详细描述
保证金制度是期货市场的基础制度之一，要求买卖双方 按照规定缴纳一定比例的保证金，以降低违约风险。逐 日盯市制度是指每个交易日结束后，对所有未平仓合约 进行盈亏结算，以控制风险。持仓限额制度和大户报告 制度则是为了防止市场操纵和过度投机而设立的制度， 限制了单个投资者或机构的持仓数量和规模。这些制度 的设立有助于维护市场的公平和稳定。
JOHNHULL期权与期货场基本原理第七版
Exchanges Trading Futures
? CBOT and CME (now CME Group) ? Intercontinental Exchange ? NYSE Euronext ? Eurex ? BM&FBovespa (Sao Paulo, Brazil) ? and many more (see list at end of book)
Futures Contracts
? A futures contract is an agreement to buy or sell an asset at a certain time in the future for a certain price
? By contrast in a spot contract there is an agreement to buy or sell the asset immediately (or within a very short period of time)
Introduction
Chapter 1ຫໍສະໝຸດ The Nature of Derivatives
A derivative is an instrument whose value depends on the values of other more basic underlying variables
direction of the market) ? To lock in an arbitrage profit ? To change the nature of a liability ? To change the nature of an investment
without incurring the costs of selling one portfolio and buying another
第五章-JOHN-HULL-期权与期货市场基本原理第七版
In our examples, S=1000, T=1, and r=0.05 so that0
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2
Short Selling (Page 104-105)
Short selling involves selling securities you do not own
If the spot price of gold is S & the futures price is for a contract deliverable in T years is F, then
F = S (1+r )T
where r is the 1-year (domestic currency) riskfree rate of interest.
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$1100 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2
Short Selling (Page 104-105)
Short selling involves selling securities you do not own
If the spot price of gold is S & the futures price is for a contract deliverable in T years is F, then
F = S (1+r )T
where r is the 1-year (domestic currency) riskfree rate of interest.
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$1100 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
期权期货及其衍生产品约翰赫尔官方课件97522PPT精品文档21页
Copyright © John C. Hull 2019
2
Effect of Variables on Option Pricing (Table 10.1, page 215)
Variable
c
p
C
P
S0
+
−
+
−
K
−
+
−
+
T
?
?
+
+
s
+
+
+
+
r
+
−
+
Байду номын сангаас
−
D
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Options, Futures, and Other Derivatives, 8th Edition,
Options, Futures, and Other Derivatives, 8th Edition,
Copyright © John C. Hull 2019
11
Arbitrage Opportunities
Suppose that
c= 3 T = 0.25 K =30
Copyright © John C. Hull 2019
5
Lower Bound for European Call Option Prices; No Dividends (Equation 10.4, page 220)
c S0 –Ke -rT
Options, Futures, and Other Derivatives, 8th Edition,
(NEW)赫尔《期权、期货及其他衍生产品》教材精讲讲义
(NEW)赫尔《期权、期货及其他衍生产品》教材精讲讲义简介赫尔的《期权、期货及其他衍生产品》是一本经典的金融学教材，被广泛用于大学金融学课程的教学。
本文档将对该教材进行精讲，涵盖主要内容和关键概念，旨在帮助读者深入理解和掌握期权、期货及其他衍生产品领域的知识。
本文档采用Markdown格式，方便阅读和使用。
第一章：期权市场简介1.1 期权的定义和特点期权是一种金融衍生工具，它赋予持有者在未来某个时间以特定价格买入或卖出某一标的资产的权利。
期权的特点包括灵活性、杠杆作用、风险限定和多样性等。
1.2 期权市场的组织和参与者期权市场包括交易所市场和场外市场。
交易所市场由交易所组织和管理，参与者包括期权合约买方、卖方、证券公司和交易所监管机构等。
1.3 期权定价模型期权定价模型是评估期权价格的数学模型，常用的模型包括布莱克-斯科尔斯模型和基于风险中性定价的模型。
第二章：期权定价理论2.1 基本期权定价理论基本期权定价理论包括不含股息的欧式期权定价、含股息的欧式期权定价以及美式期权定价等。
2.2 期权市场交易策略期权市场交易策略包括买入期权、卖出期权、期权组合以及期权套利等。
2.3 隐含波动率与期权定价隐含波动率是指根据期权市场价格反推出的波动率水平，它对期权价格的波动具有重要影响。
第三章：期权交易策略3.1 期权买入策略期权买入策略包括买入认购期权、买入认沽期权和买入期权组合等，旨在获得价差和方向性收益。
3.2 期权卖出策略期权卖出策略包括卖出认购期权、卖出认沽期权和卖出期权组合等，旨在获取权利金收入和时间价值消耗。
3.3 期权组合策略期权组合策略包括多头组合和空头组合，以及各种组合的调整和套利策略。
第四章：期货市场简介4.1 期货合约的基本特点期货合约是一种标准化的合约，约定了在未来某个时间以特定价格交割特定数量的标的资产。
4.2 期货交易所和市场参与者期货交易所是组织和管理期货市场的机构，市场参与者包括期货合约买方、卖方、交易所监管机构和期货经纪人等。
第一章JOHNHULL期权与期货市场基本原理第七版
Size of OTC and Exchange Markets
(Figure 1.2, Page 4)
Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange market
April: the price of gold $1065 per oz
What is the investor’s profit?
Over-the Counter Markets
The over-the counter market is an important alternative to exchanges
Examples of Derivatives
• Futures Contracts • Forward Contracts • Swaps • Options
Ways Derivatives are Used
To hedge risks To speculate (take a view on the future
direction of the market) To lock in an arbitrage profit To change the nature of a liability To change the nature of an investment
without incurriFra bibliotekg the costs of selling one portfolio and buying another
第三章-JOHN-HULL-期权与期货市场基本原理第七版
Hedging Strategies Using Futures
Chapter 3
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
1
Long & Short Hedges
A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price You hedge the future sale of an asset by entering into a short futures contract
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
4
Convergence of Futures to Spot
(Hedge initiated at time t1 and closed out at time t2)
It may increase risk to hedge when competitors do not
Chapter 3
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
1
Long & Short Hedges
A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price You hedge the future sale of an asset by entering into a short futures contract
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010
4
Convergence of Futures to Spot
(Hedge initiated at time t1 and closed out at time t2)
It may increase risk to hedge when competitors do not
课程资料：第5章HullOFOD(第八版)
保证金，因此空头预留的准备金应当比多 头更多一些。
• 收益率是货币发行国的无风险利率。
• 如果 rf 为期限为T的外币无风险利率， 变量r为对应于同样期限的美元无风险利
率，那么F有0 S0e(rrf )T
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
20
2012
图5-1 两种将外汇在时刻T转换成美元的方法
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
24
2012
期货价格与预期即期价格(续)
无系统风险 正系统风险 负系统风险
k=r k>r k<r
正系统风险：股指 负系统风险：黄金（至少在某些时期）
F0 = E(ST) F0 < E(ST) F0 > E(ST)
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
•
F(t,T)=S(t) + S(t)×r×n/365 - S(t)×d×n/31
= 2802 + 2802 × 0.06 × n/365 – 2802 × 0.0015 × n/31
= 2802 + 0.325n点，
• S(t)：表示现货资产的市场价格，即套利开始时刻的现货 指数。
• 从而得到：
• 无套利区间下限 = (2802+0.325n)-(9.84+0.82n) = 2792.160.495n点；
8
2012
远期价格
假定投资资产的当前价格为 S0 ，期限为 T的远期价格为F0，那么有
F0 = S0erT 其中 ，r 是T年期无风险利率。
• 收益率是货币发行国的无风险利率。
• 如果 rf 为期限为T的外币无风险利率， 变量r为对应于同样期限的美元无风险利
率，那么F有0 S0e(rrf )T
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
20
2012
图5-1 两种将外汇在时刻T转换成美元的方法
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
24
2012
期货价格与预期即期价格(续)
无系统风险 正系统风险 负系统风险
k=r k>r k<r
正系统风险：股指 负系统风险：黄金（至少在某些时期）
F0 = E(ST) F0 < E(ST) F0 > E(ST)
期权、期货及其他衍生产品（第八
版） Copyright © John C. Hull
•
F(t,T)=S(t) + S(t)×r×n/365 - S(t)×d×n/31
= 2802 + 2802 × 0.06 × n/365 – 2802 × 0.0015 × n/31
= 2802 + 0.325n点，
• S(t)：表示现货资产的市场价格，即套利开始时刻的现货 指数。
• 从而得到：
• 无套利区间下限 = (2802+0.325n)-(9.84+0.82n) = 2792.160.495n点；
8
2012
远期价格
假定投资资产的当前价格为 S0 ，期限为 T的远期价格为F0，那么有
F0 = S0erT 其中 ，r 是T年期无风险利率。
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13
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Forward vs Futures Prices
Forward and futures prices are usually assumed to be the same. When interest rates are uncertain they are, in theory, slightly different: A strong positive correlation between interest rates and the asset price implies the futures price is slightly higher than the forward price A strong negative correlation implies the reverse The difference between forward and futures prices can be relatively large for Eurodollar futures (see Chapter 6)
Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil)
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
12
Valuing a Forward Contract
Page 112
Suppose that K is delivery price in a forward contract & F0 is forward price that would apply to the contract today The value of a long forward contract, ƒ, is ƒ = (F0 – K )e–rT Similarly, the value of a short forward contract is (K – F0 )e–rT
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
3
Short Selling
(continued)
At some stage you must buy the securities back so they can be replaced in the account of the client You must pay dividends and other benefits the owner of the securities receives
11
When an Investment Asset Provides a Known Yield
(Page 111, equation 5.3)
F0 = S0 e(r–q )T
where q is the average yield during the life of the contract (expressed with continuous compounding)
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
14
Stock Index (Page 115)
Can be viewed as an investment asset paying a dividend yield The futures price and spot price relationship is therefore
5
1. Gold: An Arbitrage Opportunity?
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$1100 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold Is there an arbitrage opportunity?
15
Stock Index
(continued)
For the formula to be true it is important that the index represent an investment asset In other words, changes in the index must correspond to changes in the value of a tradable portfolio The Nikkei index viewed as a dollar number does not represent an investment asset
9
If Short Sales Are Not Possible..
Formula still works for an investment asset because investors who hold the asset will sell it and buy forward contracts when the forward price is too low
F0 = (S0 – I )erT where I is the present value of the income during life of forward contract
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
6
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2. Gold: Another Arbitrage Opportunity?
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold Is there an arbitrage opportunity?
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
8
When Interest Rates are Measured with Continuous Compounding
T: Time until delivery date r: Risk-free interest rate for maturity T
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
10
When an Investment Asset Provides a Known Dollar Income
(page 110, equation 5.2)
F0 = S0erT
This equation relates the forward price and the spot price for any investment asset that provides no incoห้องสมุดไป่ตู้e and has no storage costs
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2
Short Selling (Page 104-105)
Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Forward vs Futures Prices
Forward and futures prices are usually assumed to be the same. When interest rates are uncertain they are, in theory, slightly different: A strong positive correlation between interest rates and the asset price implies the futures price is slightly higher than the forward price A strong negative correlation implies the reverse The difference between forward and futures prices can be relatively large for Eurodollar futures (see Chapter 6)
Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil)
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
12
Valuing a Forward Contract
Page 112
Suppose that K is delivery price in a forward contract & F0 is forward price that would apply to the contract today The value of a long forward contract, ƒ, is ƒ = (F0 – K )e–rT Similarly, the value of a short forward contract is (K – F0 )e–rT
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
3
Short Selling
(continued)
At some stage you must buy the securities back so they can be replaced in the account of the client You must pay dividends and other benefits the owner of the securities receives
11
When an Investment Asset Provides a Known Yield
(Page 111, equation 5.3)
F0 = S0 e(r–q )T
where q is the average yield during the life of the contract (expressed with continuous compounding)
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
14
Stock Index (Page 115)
Can be viewed as an investment asset paying a dividend yield The futures price and spot price relationship is therefore
5
1. Gold: An Arbitrage Opportunity?
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$1100 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold Is there an arbitrage opportunity?
15
Stock Index
(continued)
For the formula to be true it is important that the index represent an investment asset In other words, changes in the index must correspond to changes in the value of a tradable portfolio The Nikkei index viewed as a dollar number does not represent an investment asset
9
If Short Sales Are Not Possible..
Formula still works for an investment asset because investors who hold the asset will sell it and buy forward contracts when the forward price is too low
F0 = (S0 – I )erT where I is the present value of the income during life of forward contract
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
6
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2. Gold: Another Arbitrage Opportunity?
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold Is there an arbitrage opportunity?
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
8
When Interest Rates are Measured with Continuous Compounding
T: Time until delivery date r: Risk-free interest rate for maturity T
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
10
When an Investment Asset Provides a Known Dollar Income
(page 110, equation 5.2)
F0 = S0erT
This equation relates the forward price and the spot price for any investment asset that provides no incoห้องสมุดไป่ตู้e and has no storage costs
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
2
Short Selling (Page 104-105)
Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way