期權(quán)、期貨和其他衍生品英文課件：Ch01 Introduction

1、Chapter 1IntroductionOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20121What is a Derivative?A derivative is an instrument whose value depends on, or is derived from, the value of another asset.Examples: futures, forwards, swaps, options, exotics Options, Futures, and

2、Other Derivatives, 8th Edition, Copyright John C. Hull 20122Why Derivatives Are ImportantDerivatives play a key role in transferring risks in the economyThe underlying assets include stocks, currencies, interest rates, commodities, debt instruments, electricity, insurance payouts, the weather, etcMa

3、ny financial transactions have embedded derivativesThe real options approach to assessing capital investment decisions has become widely acceptedOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20123How Derivatives Are TradedOn exchanges such as the Chicago Board Options

4、ExchangeIn the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directlyOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20124Size of OTC and Exchange-Traded Markets(Figure 1.1, Page 3)Options, Future

5、s, and Other Derivatives, 8th Edition, Copyright John C. Hull 20125Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange marketThe Lehman Bankruptcy (Business Snapshot 1.10)Lehmans filed for bankruptcy on September

6、15, 2008. This was the biggest bankruptcy in US historyLehman was an active participant in the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its short term fundingIt had hundreds of thousands of transactions outstanding wi

7、th about 8,000 counterpartiesUnwinding these transactions has been challenging for both the Lehman liquidators and their counterparties Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20126How Derivatives are UsedTo hedge risksTo speculate (take a view on the future dire

8、ction of the market)To lock in an arbitrage profitTo change the nature of a liabilityTo change the nature of an investment without incurring the costs of selling one portfolio and buying anotherOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20127Foreign Exchange Quotes

9、for GBP, May 24, 2010 (See page 5)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20128BidOfferSpot1.44071.44111-month forward1.44081.44133-month forward1.44101.44156-month forward1.44161.4422Forward PriceThe forward price for a contract is the delivery price that would

10、be applicable to the contract if were negotiated today (i.e., it is the delivery price that would make the contract worth exactly zero)The forward price may be different for contracts of different maturities (as shown by the table)Options, Futures, and Other Derivatives, 8th Edition, Copyright John

11、C. Hull 20129TerminologyThe party that has agreed to buy has what is termed a long positionThe party that has agreed to sell has what is termed a short positionOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201210Example (page 5)On May 24, 2010 the treasurer of a corpor

12、ation enters into a long forward contract to buy 1 million in six months at an exchange rate of 1.4422This obligates the corporation to pay $1,442,200 for 1 million on November 24, 2010What are the possible outcomes?Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201211P

13、rofit from a Long Forward Position (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201212ProfitPrice of Underlying at Maturity, STKProfit from a Short Forward Position (K= delivery price=forward price at t

14、ime contract is entered into)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201213ProfitPrice of Underlying at Maturity, STKFutures Contracts (page 7)Agreement to buy or sell an asset for a certain price at a certain timeSimilar to forward contractWhereas a forward cont

15、ract is traded OTC, a futures contract is traded on an exchangeOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201214Exchanges Trading FuturesCME Group (formerly Chicago Mercantile Exchange and Chicago Board of Trade)NYSE EuronextBM&F (Sao Paulo, Brazil)TIFFE (Tokyo)and

16、many more (see list at end of book)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201215Examples of Futures ContractsAgreement to:Buy 100 oz. of gold US$1400/oz. in December Sell 62,500 1.4500 US$/ in MarchSell 1,000 bbl. of oil US$90/bbl. in AprilOptions, Futures, and

17、Other Derivatives, 8th Edition, Copyright John C. Hull 2012161. Gold: An Arbitrage Opportunity?Suppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$1,500The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity? Options, Futures, and Other Derivat

18、ives, 8th Edition, Copyright John C. Hull 2012172. Gold: Another Arbitrage Opportunity?Suppose that:-The spot price of gold is US$1,400-The 1-year forward price of gold is US$1,400-The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives,

19、8th Edition, Copyright John C. Hull 201218The Forward Price of Gold (ignores the gold lease rate) If the spot price of gold is S and the forward price for a contract deliverable in T years is F, then F = S (1+r )Twhere r is the 1-year (domestic currency) risk-free rate of interest.In our examples, S

20、 = 1400, T = 1, and r =0.05 so thatF = 1400(1+0.05) = 1470Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 2012191. Oil: An Arbitrage Opportunity?Suppose that:-The spot price of oil is US$95-The quoted 1-year futures price of oil is US$125-The 1-year US$ interest rate is

21、5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 2012202. Oil: Another Arbitrage Opportunity?Suppose that:-The spot price of oil is US$95-The quoted 1-year futures price of oil is US$8

22、0-The 1-year US$ interest rate is 5% per annum-The storage costs of oil are 2% per annumIs there an arbitrage opportunity?Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201221OptionsA call option is an option to buy a certain asset by a certain date for a certain price

23、(the strike price)A put option is an option to sell a certain asset by a certain date for a certain price (the strike price)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201222American vs European OptionsAn American option can be exercised at any time during its lifeA

24、European option can be exercised only at maturity Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201223Google Call Option Prices (June 15, 2010; Stock Price is bid 497.07, offer 497.25); See Table 1.2 page 8; Source: CBOEOptions, Futures, and Other Derivatives, 8th Edit

25、ion, Copyright John C. Hull 201224Strike PriceJul 2010 BidJul 2010 OfferSep 2010 BidSep 2010 OfferDec 2010 BidDec 2010Offer46043.3044.0051.9053.9063.4064.8048028.6029.0039.7040.4050.8052.3050017.0017.4028.3029.3040.6041.305209.009.3019.1019.9031.4032.005404.204.4012.7013.0023.1024.005601.752.107.408

26、.4016.8017.70Google Put Option Prices (June 15, 2010; Stock Price is bid 497.07, offer 497.25); See Table 1.3 page 9; Source: CBOEOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201225Strike PriceJul 2010 BidJul 2010 OfferSep 2010 BidSep 2010 OfferDec 2010 BidDec 2010Off

27、er4606.306.6015.7016.2026.0027.3048011.3011.7022.2022.7033.3035.0050019.5020.0030.9032.6042.2043.0052031.6033.9041.8043.6052.8054.5054046.3047.2054.9056.1064.9066.2056064.3066.7070.0071.3078.6080.00Options vs Futures/ForwardsA futures/forward contract gives the holder the obligation to buy or sell a

28、t a certain priceAn option gives the holder the right to buy or sell at a certain priceOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201226Types of TradersHedgersSpeculatorsArbitrageursOptions, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201227H

29、edging Examples (pages 10-12)A US company will pay 10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contractAn investor owns 1,000 Microsoft shares currently worth $28 per share. A two-month put with a strike price of $27.50 costs $1. The invest

30、or decides to hedge by buying 10 contracts Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201228Value of Microsoft Shares with and without Hedging (Fig 1.4, page 12)Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 20122920,00025,00030,00035,0

31、0040,0002025303540Value of Holding ($)Stock Price ($)No HedgingHedgingSpeculation ExampleAn investor with $2,000 to invest feels that a stock price will increase over the next 2 months. The current stock price is $20 and the price of a 2-month call option with a strike of 22.50 is $1What are the alt

32、ernative strategies? Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201230Arbitrage ExampleA stock price is quoted as 100 in London and $140 in New YorkThe current exchange rate is 1.4300What is the arbitrage opportunity?Options, Futures, and Other Derivatives, 8th Edition, Copyright John C. Hull 201231DangersTraders can switch from bei