chapter 10 選擇權與期貨市場

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Chapter 10 . . . . (Strike Price Exercise Price) - PowerPoint PPT Presentation

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  • *

  • *Chapter 10

  • *

  • (Strike PriceExercise Price) (Expiration Date) *

  • (Long Position) (Short Position) *

  • (Call Options) 30 > 30 < 30 *

  • Cmax( , 0)

    KC 0 *

  • *

  • (Put Options) 30 < 30 > 30

    *

  • Pmax( , 0)

    KP *

  • *

  • (In-the-money Options)(At-the-money Options)(Out-of-the-money Options)

    *

  • max( , 0)min( , 0) max( , 0)min( , 0) *

  • *

  • *

  • *

  • (Option Quotations)http://online.wsj.com/public/mdc3M *

    Prices at close December 22, 20083M Co. ( MMM ) Underlying stock price: 56.37 ExpirationStrikeCallPutLastVolumeOpenInterestLastVolumeOpenInterestApr555.677417395.2912093Apr6033431297.731030Jul604.72510447Apr651.5123199011251930Jul652.731026752Apr700.65101558015.221598Jul701.6510221647Apr750.3331136119.93850Jul751.151021712

  • (Portfolio Insurance) (Protective Put) *

  • *

  • (Put-Call Parity) KCP

    (Put-Call Parity) *

  • KKK

    (Covered-Call) *

  • *

  • 30BB2B287%B

    1.96 *

  • *

  • 0 0 *

  • *

  • *

  • 0

    0

    *

  • (Futures Contracts) (Futures Price)(Maturity Date)(Spot Price) *

  • (Where)(What)(Which)(When)(How) *

  • (Physical Delivery)(Cash Delivery)

    *

  • *

    TAIFEXSGXCBOTCMENYMEXTOCOMTGELIFFEHKFEMATIF

  • (Initial Margin) (Marked to Market)(Clearing House) (Maintenance Margin) *

  • *

  • (Cost of Carry) *

  • t *

  • 6S&P 5009369276%S&P 5004%

    9276

    *

  • (Convenience Yield) *

  • (Net Convenience Yield) *

  • 152.6161.67%

    1.57/152.6=1.03%

    *