期权期货复习

复习题

Explanation 名词解释

speculators wish to take a position in the they are betting that a price will go up or they are betting that it will go down. They use derivatives to get extra leverage

Hedgers are interested in reducing a risk that they already face. Arbitrage involves locking in a risk-less profit by entering simultaneously into transactions in two or more markets.

A call option gives the holder the right to buy an asset by a certain date for a certain price.

Put option: A put option gives the holder the right to sell an asset by a certain date for a certain price.

Futures （forward）contract: It is an agreement to buy or sell an asset for a certain price at a certain time in the future.

short selling: T he investor’s broker borrows the shares from another client’s account and sells them in the usual way. To close out the position the investor must purchase the shares. The broker then replaces them in the account of the client from whom they were borrowed.

In-the-money option/At the money/ Out out of the money

Time value, intrinsic value, option value,

risk-neutral valuation: Firstly, assume that the expected return from the stock price is the risk-free rate r, then calculate the expected payoff from the option, at last, discounting the expected payoff at the risk-free rate

Factors affecting stock option pricing: stock price, strike price, risk-free interest rate, volatility, time to maturity, and dividends.

Long position of forward:

A callable bond（可提前赎回债券）: It contains provisions(条款) that allow the issuing firm(发行公司) to buy back the bond at a predetermined price at certain times in the future. risk-neutral valuation: Firstly, assume that the expected return from the stock price is the risk-free rate r, then calculate the expected payoff from the option, at last, discounting the expected payoff at the risk-free rate

Swaps： Swaps are private agreements between two companies to exchange cash flows in the future according to a prearranged formula.

新型期权的常见产品

Asian option, barrier option, lookback option, compound option, forward start option, as you like option(choose option), convitable bond(可转换债券

Lookback options : the payoffs from lookback options depend on the maximum or minimum stock price reached during the life of the option

‘Out’ options(敲出期权)：Option dies if stock price hits barrier before option maturity ‘In’ options(敲入期权)：A knock-in option ( 敲入期权 ) is an option that comes into existence only if the underlying asset price reaches a certain barrier before option maturity .

Barrier options are options where the payoff depends on whether the underlying asset's price reaches a certain level before option maturity.

Forward start options ：are options that are paid for now but will start at some time in the future. The strike price is usually equal to the price of the asset at the time the option starts ,ie, the option is at the money.

Asian options： the payoffs from asian options depend on the average price of the underlying asset during at least some part of the life of the option.

价差组合期权

bottom vertical strangle: a bottom vertical strangle can be created by buy a put with lower strike prices and buy a call with higher strike prices.

Bull spreads: A bull spread can be created using two call options with the same maturity and different strike prices. The investor buys the call option with the lower strike price and shorts the call option with the higher strike price. Bull spreads can also be created by buying a put with a low strike price and selling a put with a high strike price.

Bear spreads: A bear spread can be created by selling a call with one lower strike price and buying a call with another higher strike price

Butterfly spreads: A butterfly spread involves positions in options with three different strike prices: buying two call options with strike prices X1 and X3, and selling two call options with a strike price X2, X1＜ X2 ＜ X3

2 .Explain the differences between forward contract and futures contract