第 25 章 選擇權

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25 . 25.1 . 25.2 . 25.3 . 25.4 . 25.1 . 1. . ( ) . . (Buy a Put) (Sell a Put). (Buy a Call) - PowerPoint PPT Presentation

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  • 25 *

  • *

  • 25.1 1. () (Buy a Call) (Sell a Call) (Buy a Put) (Sell a Put) *

  • 2. (Exercise Price or Strike Price)() (Premium) *

  • 3. (1) (CBOE) 1973 (Index Futures) (CBOE)S&P 100 500 (NYSE) (NYSE Composite Index) (AMEX) (Major Market Index) (Japanese Stock Index) (PHLX) (Value Line)*

  • (2) (3) (4) (Interest Options) (T-Bond Futures Options) (PHLX) 1983 (Foreign Exchange Options) *

  • 4. 5. (American Options) (European Options) (CBOE) (ASE)(PHLX) (Over-the-Counter Options) *

  • 25.2 1. [] = 31,250 = $1.50/ = $0.06/ 1 (Call Options) *

    eq \F( , eq \L(31,250) ) = 32

  • = (At-the-Money) > (In-the-Money) < (Out-of-the-Money) *

  • [] = $ 45 = $1.125 *

  • [ (Vertical Spreads)] = $ 43 = $2.0 = $ 45 = $1.125*

  • 2. = $ 1.10/ = $ 0.012/ [] *

  • = $ 57 = $2.0 [] *

  • 3. (Straddle) [ (Long Straddle)] = $80 = $4 = $80 = $5 (Call) (Put) *

    eq \B\lc\{(\a\co\al( P $80 pc = -$4 , P > $80 pc = P - $80 - $4))

    eq \B\lc\{(\a\co\al( P $80 pc = -$4 , P > $80 pc = P - $80 - $4))

  • (Long Straddle) *

  • [ (Strangle)] = $50 = $3.0 = $45 = $2.5 (Call) (Put) *

    eq \B\lc\{(\a\co\al( P $50 pc = $3 , P > $50 pc = $3 + $50 - P ))

    eq \B\lc\{(\a\co\al( P < $45 pp = P + $2.5 - $45, P $45 pp = $2.5 ))

  • (Short Strangle) *

  • 25.3 1.

    (1) *

    CallPut+--++++++-

  • () (In-the-Money) (2) *

  • (3) (4) (Expiration Date) (In-the-money) *

  • 2. (1) (Call Options) *

    t (1) ST eq \O( X

    Ct0ST X

    eq \F( X , (1 + rf)T-t )XX

    Ct + eq \F( X , (1 + rf)T-t )XST

    StSTST

  • (2) (Put Options) *

    Pt + St eq \O(>,_) eq \F( X , (1 + rf)T-t ).

    t (1) ST eq \O( X

    Pt X ST 0

    StSTST

    Pt + StXST

    eq \F( X , (1 + rf)T-t )XX

  • (3) (Intrinsic Value) (Intrinsic Value) (Buy Calls) Ct = Max (0St - X) (Buy Puts) Pt = Max (0X - St)*

  • 3. (Put-Call Parity) *

    t (1) ST eq \O( X

    Pt X ST 0

    StSTST

    Pt + StXST

    Ct0ST X

    eq \F( X , (1 + rf)T-t )XX

    Ct + eq \F( X , (1 + rf)T-t )XST

  • *

    Pt < Ct + eq \F( X , (1 + rf)T-t ) St

    Pt + St = Ct + eq \F( X , (1 + rf)T-t )

  • 25.4 2001 12 (TXO) 2003 1 5 [] (TXO) *

  • [] 4,196 (MTX)( $50 NT$ 2.3 ) 181 ( $50) 4,300 (TXO) *

    *