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 leverageHedgers 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 moneyTime 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 rateFactors 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 rateSwaps： 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 priceButterfly 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 ＜ X32 .Explain the differences between forward contract and futures contract3. 签订一份期货合约对open interest(开放权益)和volum of trade （交易量）的影响如果交易双方签订一个新合约，那么未平仓合约数增加1个。

如果交易双方就同一个合约进行平仓，那么未平仓合约数减少一个。

如果一方订立一个新合约，而另一方同时将已有合约平仓，那么未平仓合约数不变。

交易量都是增加。

4解：公司A 的比较优势在英镑而需要美元借款，公司B 相反，因此存在互换的基础。

英镑上的利差为％，美元上的利差为％，因此互换的总获利为％。

已知银行获利％，则两个公司各获利％。

因此A 实际上以％的利率借美元，而B 实际上以％的利率借英镑。

在银行承担所有市场风险的情况下，互换安排如下图：1）互换收益的分配在公司A 、公司B 和银行间的比例分别为 35%、35%、30%。

如Private contract between 2 partiesExchange traded Non-standard contract Standard contractUsually 1 specified delivery date Range of delivery datesSettled at maturitySettled daily Delivery or final cashsettlement usually occurs Contract usually closed out prior to maturity FORWARDSFUTURES 美元％ 美元％ 英镑英镑美元％英镑％ 公司A 银 行 公司B何设计2）若分配比例为50%、25%、25%，如何设计5. 6 基于同一股票的看跌期权有相同的到期日.执行价格为$70、$65和$60，市场价格分为$5、$3和$2. 如何构造蝶式差价期权.请用一个表格说明这种策略带来的盈利性.股票价格在什么范围时，蝶式差价期权将导致损失7 基于同一股票的有相同的到期日敲定价为 $70的看涨期权价格为 $4. 敲定价$65 的看涨期权的价格为 $6。