第20章 期权市场 Options markets 20-1
20-1 第20章 期权市场 Options Markets
期权市场 Options markets 201期权合约 20.2到期期权价值 20.3期权策略 20.4看跌与看涨期权的平价关系 20.5期权式证券 20.6金融工程 20.7新型期权 20-2
20-2 期权市场 Options Markets 20.1 期权合约 20.2 到期期权价值 20.3 期权策略 20.4 看跌与看涨期权的平价关系 20.5 期权式证券 20.6 金融工程 20.7 新型期权
期权术语 Option Terminology ■买一多头Buy-Long 卖一空头Sell-Shot ■看涨期权Cal ■看跌期权Put ■关键内容 Key Elements 执行价格 Exercise or strike Price 期权费或期权的购买价格 Premium or price 到期日 Maturity or Expiration 20-3
20-3 期权术语 Option Terminology 买－多头 Buy – Long 卖－空头 Sell - Short 看涨期权 Call 看跌期权 Put 关键内容 Key Elements – 执行价格 Exercise or Strike Price – 期权费或期权的购买价格 Premium or Price – 到期日 Maturity or Expiration
市场价格于执行价格的关系 Market and exercise Price Relationships 实值状态一执行期权能给期权持有人带来正回报 In the Money -exercise of the option would be profitable 看涨期权:市场价格>执行价格 Call: market price>exercise price 看跌期权:执行价格>市场价格 Put: exercise price>market price
20-4 市场价格于执行价格的关系 Market and Exercise Price Relationships 实值状态—执行期权能给期权持有人带来正回报 In the Money - exercise of the option would be profitable 看涨期权：市场价格>执行价格 Call: market price>exercise price 看跌期权：执行价格>市场价格 Put: exercise price>market price
市场价格和执行价格的关系 Market and exercise Price relationships 虚值状态一执行期权不能给期权持有人带来收益 Out of the money -exercise of the option would not be profitable 看涨期权:市场价格<执行价格 Call: market price <exercise price 看跌期权:执行价格<市场价格 Put: exercise price<market price 平价状态-执行价格和资产价格相等 At the Money-exercise price and asset price are equal 20-5
20-5 市场价格和执行价格的关系 Market and Exercise Price Relationships 虚值状态—执行期权不能给期权持有人带来收益 Out of the Money - exercise of the option would not be profitable 看涨期权：市场价格<执行价格 Call: market price<exercise price 看跌期权：执行价格<市场价格 Put: exercise price<market price 平价状态-执行价格和资产价格相等 At the Money - exercise price and asset price are equal
美式期权与欧式期权 American vs European Options 美式期权-期权可以在到期日及到期日之前任 何时候执行 American- the option can be exercised at any time before expiration or maturity 欧式期权-期权只可以在到期日执行 European-the option can only be exercised on the expiration or maturity date 206
20-6 美式期权与欧式期权 American vs European Options 美式期权 -期权可以在到期日及到期日之前任 何时候执行 American - the option can be exercised at any time before expiration or maturity 欧式期权 -期权只可以在到期日执行 European - the option can only be exercised on the expiration or maturity date
期权的不同类型 Different Types of Options ■股票期权 Stock Options ■指数期权 Index Options ■期货期权 Futures Options ■外汇期权 Foreign Currency Options ■利率期权 Interest Rate Options
20-7 期权的不同类型 Different Types of Options 股票期权 Stock Options 指数期权 Index Options 期货期权 Futures Options 外汇期权 Foreign Currency Options 利率期权 Interest Rate Options
看涨期权在到期日的收入和利润 Payoffs and profits on Options at Expiration-Calls 注释 Notation 股票价格 Stock Price=Sr 执行价格 Exercise Price=Ⅹ 到期日看涨期权买方收入 Payoff to Call Holder (ST-X)if ST >X 0iST<Ⅹ 到期日期权买方利润 Profit to call holder 收入一购买价 Payoff -Purchase Price 20-8
20-8 看涨期权在到期日的收入和利润 Payoffs and Profits on Options at Expiration - Calls 注释 Notation 股票价格Stock Price = ST 执行价格Exercise Price = X 到期日看涨期权买方收入 Payoff to Call Holder (ST - X) if ST >X 0 if ST < X 到期日期权买方利润 Profit to Call Holder 收入－购买价 Payoff - Purchase Price
看涨期权在到期日的收入和利润 Payoffs and profits on Options at Expiration-Calls 价格为70元的某公司股票的看涨期权在到 期日的价值 某公司股票价值60708090100 期权价值 00102030 Stock price is 70 and its call value at the expire data is Stock price 60708090100 Call value 00102030 20-9
20-9 看涨期权在到期日的收入和利润 Payoffs and Profits on Options at Expiration - Calls 价格为70元的某公司股票的看涨期权在到 期日的价值 某公司股票价值 60 70 80 90 100 期权价值 0 0 10 20 30 Stock price is 70 and its call value at the expire data is: Stock price 60 70 80 90 100 Call value 0 0 10 20 30
看涨期权在到期日的收入和利润 Payoffs and Profits on Options at Expiration-Calls 看涨期权出售者收入 Payoff to Call Writer (ST-X) if S 0 If st<x 看涨期权出售者利润 Profit to call writer 收入十期权费 Payoff+ Premium
20-10 看涨期权在到期日的收入和利润 Payoffs and Profits on Options at Expiration - Calls 看涨期权出售者收入 Payoff to Call Writer - (ST - X) if ST >X 0 if ST < X 看涨期权出售者利润 Profit to Call Writer 收入＋期权费 Payoff + Premium