期权期货复习

期

权

期

货

复

习

Company number

：【

0089WT-8898YT-W8CCB- BUUT-202108

】

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’ opt ions(

敲出期权

)

：

Option dies if stock price hits barrier before option maturity

‘In’ o

ptions(

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

FORWARDS

Private contract between 2 parties

Non-standard contract

Usually 1 specified delivery date

Settled at maturity

Delivery or final cash

settlement usually occurs

FUTURES

Exchange traded

Standard contract

Range of delivery dates

Settled daily

Contract usually closed out

prior to maturity

3.

签订一份期货合约对

open interest(

)

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

35%

、< /p>

35%

、

30%

。如何

美元％

、公司

B

和银行间的比例分别为

美元％

公司

A

银

行

公司

B

设计

美元％

英镑

英镑％

英镑

2

）若分配比例为

50%

、

25%

、

25%

，如何设计