20-1
第 20章期权市场
Options Markets
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
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
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
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
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
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
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
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
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
20-11
利润 Profit
股票价格
Stock Price
0
看涨期权出售者
Call Writer
看涨期权持有人
Call Holder
看涨期权的利润图
Profit Profiles for Calls
20-12
看跌期权在到期日的收入和利润
Payoffs and Profits at Expiration - Puts
到期日看跌期权持有人的收入 Payoffs to Put Holder
0 if ST > X
(X - ST) if ST < X
到期日看跌期权持有人的利润 Profit to Put Holder
收入－期权费用 Payoff - Premium
20-13
看跌期权在到期日的收入和利润
Payoffs and Profits at Expiration - Puts
到期日看跌期权出售者收入 Payoffs to Put Writer
0 if ST > X
-(X - ST) if ST < X
看跌期权出售者利润 Profits to Put Writer
收入＋期权费用 Payoff + Premium
20-14
看跌期权利润图 Profit Profiles for Puts
0
利润 Profits
股票价格 Stock Price
看跌期权出售者
Put Writer
看跌期权购买者
Put Holder
20-15
权益，期权和杠杆权益 -举例
Equity,Options & Leveraged Equity - Text Example
假如，有一笔 10 000 美元的钱，有三种投资策略，
为简单起见，假设 IBM在这六个月内不支付红利。
策略 A：买入 IBM股票 100股。
策略 B：购买 1 000 份 IBM股票看涨期权，执行价格为 100美元 (即买入 10份合约,每份合约 100股 )。
策略 C：购买 100份看涨期权，投资为 1 000 美元，剩下 9 000 美元投资于六月期的短期国库券，赚取 3%的利息。国库券将从 9 000美元增值为 9 000美元
× 1.03=9 270 美元。
20-16
权益，期权和杠杆权益 -举例
Equity,Options & Leveraged Equity - Text Example
Consider these three strategies for investing a sum
of money,say,$10,000,For simplicity,suppose IBM
will not pay any dividends until after the six- month
period.
Strategy A,Purchase 100 shares of IBM stock.
Strategy B,Purchase 1,000 call options on IBM with
exercise price $100,(This would require 10
contracts,each for 100 shares.)
Strategy C,Purchase 100 call options for $1,000,
Invest the remaining $9,000 in six-month T-bills,to
earn 3% interest,The bills will grow in value from
$9,000 to $9,000 Ｘ 1.03＝ $9,270
20-17
期权与股票投资－ 举例
Options versus Stock Investment - Text Example
Investment Strategy Investment
Equity only Buy stock @ 100 100 shares $10,000
Options only Buy calls @ 10 1000 options $10,000
Leveraged Buy calls @ 10 100 options $1,000
equity Buy T-bills @3% $9,000
Yield
20-18
期权与股票投资－ 收益
Options versus Stock Investment - Payoffs
Microsoft Stock Price
$75 $80 $100
All Stock $7,500 $8,000 $10,000
All Options $0 $0 $0
Lev Equity $9,270 $9,270 $9,270
20-19
IBM Stock Price
$105 $115
All Stock $10,500 $11,500
All Options $5,000 $15,000
Lev Equity $9,770 $10,770
期权与股票投资－ 收益
Options versus Stock Investment - Payoffs
20-20
IBM Stock Price
$95 $105 $115
All Stock -5.0% 5.0% 15%
All Options -100% -50% 50%
Lev Equity -7.3% -2.3% 7.7%
期权与股票投资－收益率
Options versus Stock Investment － Rates of Return
20-21
看涨期权 -看跌期权平价关系
Put-Call Parity Relationship
ST < X ST > X
Payoff for
Call Owned 0 ST - X
Payoff for
Put Written -( X -ST) 0
Total Payoff ST - X ST - X
看涨期权持有者的收入 Payoff for call owner
看跌期权出售者的收入 Payoff for Put Written
20-22
购买看涨期权和出售看跌期权的收入
Payoff of Long Call & Short Put
买进看涨期权
Long Call
买出看跌期权
Short Put
收入 Payoff
股票价格 Stock Price
Combined =
Leveraged Equity
20-23
由于购买看涨期权和出售看跌期权的综合收益与 杠杆权益是等价的，价格必定等于
C - P = S0 - X / (1 + rf)T
Since the payoff on a combination of a long call and
a short put are equivalent to leveraged equity,the
prices must be equal.
C - P = S0 - X / (1 + rf)T
C:看涨期权成本 ; P:看跌期权成本
S0,股票现价 X / (1 + rf)T,无风险零息债券成本套利和看涨看跌期权价差
Arbitrage & Put Call Parity
20-24
看涨期权看跌期权平价 -不均衡举例
Put Call Parity - Disequilibrium Example
股票价格 Stock Price = 110
看涨期权价格 Call Price = 17
看跌期权价格 Put Price = 5
期限 Maturity =,5 yr
无风险利率 Risk Free = 10.25%
执行价格 X = 105
C - P > S0 - X / (1 + rf)T
17- 5 > 110 - (105/1.05)
12 > 10
买进股票和看跌期权,卖出看涨期权和借款 100元 (6个月 )
20-25
看涨期权 -看跌期权平价套利
Put-Call Parity Arbitrage
头寸 Immediate Cashflow in Six Months
Position Cashflow ST<105 ST> 105
购买股票
Buy Stock -110 ST ST
借入
Borrow
X/(1+r)T = 100 +100 -105 -105
出售看涨期权
Sell Call +17 0 -(ST-105)
购买看跌期权
Buy Put -5 105-ST 0
合计 Total 2 0 0
20-26
期权策略
Option Strategies
保护性看跌期权 Protective Put
投资股票 Long Stock
购买该股票的看跌期权 Long Put
假如你想投资某种股票，却不愿承担超过一定水平的潜在风险。 全部购买股票看起来是有风险的，因为理论上可能会损失全部投资。 你也可以考虑既投资股票，又购买该股票的看跌期权。表 20-1是这种投资组合在到期时的总价值：不管股价如何变化，
你肯定能在到期时得到一 笔等于期权执行价格的收益，因为如果股票价格低于执行价格时，你有权利以执行价格出售股票。
20-27
期权策略
Option Strategies
保护性看跌期权 Protective Put
投资股票 Long Stock
购买该股票的看跌期权 Long Put
Imagine you would like to invest in a stock,but you are
unwilling to bear potential losses beyond some given level,
Investing in the stock alone seems risky to you because in
principle you could lose all the money you invest,You
might consider instead investing in stock and purchasing a
put option on the stock,Table 20.1 shows the total value of
your portfolio at option expiration,Whatever happens to
the stock price,you are guaranteed a payoff equal to the
put option’s exercise price because the put gives you the
right to sell IBM for the exercise price even if the stock
price is below that value.
20-28
期权策略
Option Strategies
抛补的看涨期权 Covered Call
投资股票 Long Stock
出售该股票的看涨期权 Short Call
抛补的看涨期权头寸就是买进股票的同时卖出它的看涨期权 。这种头寸之所以被称为“抛补的”是因为投资者将来交割股票的义务正好被手中持有的股票抵消。
相反，假如没有股票而卖出股票则叫作,买裸期权”
抛补的看涨期权到期价值等于股票价值减掉期权价值。
期权价值被减掉是因为抛补的看涨期权涉及出售了一份看涨期权给其他投资者，如果其他投资者可以执行该期权，他的赢利就是你的亏损。
20-29
期权策略
Option Strategies
抛补的看涨期权 Covered Call
A covered call position is the purchase of a share of stock
with a simultaneous sale of a call on that stock,The call is
―covered‖ because the potential obligation to deliver the stock
is covered by the stock held in the portfolio,Writing an option
without an offsetting stock position is called by contrast naked
option writing,The value of a covered call position at the
expiration of the call,presented in Table 20.2,equals the
stock value minus the value of the call,The call value is
subtracted because the covered call position involves issuing
a call to another investor who can choose to exercise it to
profit at your expense.
20-30
期权策略
Option Strategies
抛补的看涨期权 Covered Call
例如：
假设某养老基金拥有 1000 股 IBM股票，其现价为每股 100美元。如果基金经理打算在股价升至每股
110美元时将其卖出,而市场上执行价格为 110美元的有效期 60天的 IBM股票看涨期权的期权价格为
5美元。于是，卖出 10份 IBM股票看涨期权合约 (每份合约 100股 )，就可以得到额外的 5000 美元收入，
当然假如股票价格超过 110美元，就会损失一部分利润，但是既然决定在 110美元时出售股票，那么这部分损失掉的利润就不是实现利润，也就谈不到损失了。
20-31
期权策略
Option Strategies
对敲 Straddle (Same Exercise Price)
购买股票的看涨期权 Long Call
购买该股票的看跌期权 Long Put
同时买进具有相同执行价格与到期时间的同一种股票的看涨期权与看跌期权，就可以建立一个对敲 策略。
对那些预期股价将有大幅升降但不知方向的投资者来说，对敲是很有用的策略 。
A long straddle is established by buying both a call and a put
on a stock,each with the same exercise price,X,and the
same expiration date,T,Straddles are useful strategies for
investors who believe a stock will move a lot in price but are
uncertain about the direction of the move,
20-32
期权策略
Option Strategies
差价 - 相同资产但到期时间和执行价格不同的两个或多个看涨期权或两个或多个看跌期权的组合
Spreads - A combination of two or more call options
or put options on the same asset with differing
exercise prices or times to expiration
垂直差价 Vertical or money spread
到期日相同 Same maturity
执行价格不同 Different exercise price
水平差价 Horizontal or time spread
到期日不同 Different maturity dates
20-33
异型期权
Exotic Options
亚洲式期权 Asian Options
障碍期权 Barrier Options
回望期权 Lookback Options
货币转换期权 Currency-Translated Options
二元期权 Binary Options
20-34
小结看涨期权是以执行价格买入某项资产的权利，
看跌期权是以执行价格出售某项资产的权利。
A call option is the right to buy an asset at an
agreed-upon exercise price,A put option is
the right to sell an asset at a given exercise
price.
20-35
小结美式期权允许早于或就在到期日当天执行。
欧式期权只允许在到期日当天执行。
American options allow exercise on or
before the exercise date,European options
allow exercise only on the expiration date,
Most traded options are American in nature
20-36
小结期权的标的物有股票、股票指数、外汇、固定收益证券与一些种类的期货。
Options are traded on stocks,stock indexes,
foreign currencies,fixed-income securities,
and several futures contracts.
20-37
小结期权可用来改变投资者的资产价格风险，或对资产价格的波动提供保险。普遍应用的期权策略有抛补的看涨期权、保护性看跌期权、
对敲、期权价格差以及双限期权。
Options can be used either to lever up an
investor’s exposure to an asset price or to
provide insurance against volatility of asset
prices,Popular option strategies include
covered calls,protective puts,straddles,
spreads,and collars.
20-38
小结期权平价定理将看跌期权与看涨期权联系在一起。
如果违背平价关系，就会出现套利机会。平价关系为
P=C-S0+PV(X)+PV(红利 )
其中 X为看涨期权与看跌期权的执行价格,PV(X)
是期权到期时的 X美元的现值,PV(红利 )是期权有效期内股票所支付的红利的现值。
20-39
小结
The put-call parity theorem relates the prices of put
and call options,If the relationship is violated,
arbitrage opportunities will result,Specifically,the
relationship that must be satisfied is
P=C-S0+PV(X)+PV
where X is the exercise price of both the call and
the put options,PV(X) is the present value of a
claim to X dollars to be paid at the expiration date
of the options and PV (dividends) is the present
value of dividends to be paid before option
expiration.
20-40
小结许多经常交易的证券具有期权特性，例如可赎回债券、
可转换债券与认股权证其他的一些协议，如抵押贷款和有限责任借款也可用一方或多方拥有的隐含期权来分析
Many commonly traded securities embody option
characteristics,Examples of these securities are
callable bonds,convertible bonds,and warrants,Other
arrangements such as collateralized loans and limited-
liability borrowing can be analyzed as conveying
implicit options to one or more parties.
20-41
小结所谓的新型期权具有活跃的场外交易市场。
Trading in so-called exotic options now takes place in
an active over-the-counter market.
第 20章期权市场
Options Markets
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
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
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
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
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
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
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
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
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
20-11
利润 Profit
股票价格
Stock Price
0
看涨期权出售者
Call Writer
看涨期权持有人
Call Holder
看涨期权的利润图
Profit Profiles for Calls
20-12
看跌期权在到期日的收入和利润
Payoffs and Profits at Expiration - Puts
到期日看跌期权持有人的收入 Payoffs to Put Holder
0 if ST > X
(X - ST) if ST < X
到期日看跌期权持有人的利润 Profit to Put Holder
收入－期权费用 Payoff - Premium
20-13
看跌期权在到期日的收入和利润
Payoffs and Profits at Expiration - Puts
到期日看跌期权出售者收入 Payoffs to Put Writer
0 if ST > X
-(X - ST) if ST < X
看跌期权出售者利润 Profits to Put Writer
收入＋期权费用 Payoff + Premium
20-14
看跌期权利润图 Profit Profiles for Puts
0
利润 Profits
股票价格 Stock Price
看跌期权出售者
Put Writer
看跌期权购买者
Put Holder
20-15
权益，期权和杠杆权益 -举例
Equity,Options & Leveraged Equity - Text Example
假如，有一笔 10 000 美元的钱，有三种投资策略，
为简单起见，假设 IBM在这六个月内不支付红利。
策略 A：买入 IBM股票 100股。
策略 B：购买 1 000 份 IBM股票看涨期权，执行价格为 100美元 (即买入 10份合约,每份合约 100股 )。
策略 C：购买 100份看涨期权，投资为 1 000 美元，剩下 9 000 美元投资于六月期的短期国库券，赚取 3%的利息。国库券将从 9 000美元增值为 9 000美元
× 1.03=9 270 美元。
20-16
权益，期权和杠杆权益 -举例
Equity,Options & Leveraged Equity - Text Example
Consider these three strategies for investing a sum
of money,say,$10,000,For simplicity,suppose IBM
will not pay any dividends until after the six- month
period.
Strategy A,Purchase 100 shares of IBM stock.
Strategy B,Purchase 1,000 call options on IBM with
exercise price $100,(This would require 10
contracts,each for 100 shares.)
Strategy C,Purchase 100 call options for $1,000,
Invest the remaining $9,000 in six-month T-bills,to
earn 3% interest,The bills will grow in value from
$9,000 to $9,000 Ｘ 1.03＝ $9,270
20-17
期权与股票投资－ 举例
Options versus Stock Investment - Text Example
Investment Strategy Investment
Equity only Buy stock @ 100 100 shares $10,000
Options only Buy calls @ 10 1000 options $10,000
Leveraged Buy calls @ 10 100 options $1,000
equity Buy T-bills @3% $9,000
Yield
20-18
期权与股票投资－ 收益
Options versus Stock Investment - Payoffs
Microsoft Stock Price
$75 $80 $100
All Stock $7,500 $8,000 $10,000
All Options $0 $0 $0
Lev Equity $9,270 $9,270 $9,270
20-19
IBM Stock Price
$105 $115
All Stock $10,500 $11,500
All Options $5,000 $15,000
Lev Equity $9,770 $10,770
期权与股票投资－ 收益
Options versus Stock Investment - Payoffs
20-20
IBM Stock Price
$95 $105 $115
All Stock -5.0% 5.0% 15%
All Options -100% -50% 50%
Lev Equity -7.3% -2.3% 7.7%
期权与股票投资－收益率
Options versus Stock Investment － Rates of Return
20-21
看涨期权 -看跌期权平价关系
Put-Call Parity Relationship
ST < X ST > X
Payoff for
Call Owned 0 ST - X
Payoff for
Put Written -( X -ST) 0
Total Payoff ST - X ST - X
看涨期权持有者的收入 Payoff for call owner
看跌期权出售者的收入 Payoff for Put Written
20-22
购买看涨期权和出售看跌期权的收入
Payoff of Long Call & Short Put
买进看涨期权
Long Call
买出看跌期权
Short Put
收入 Payoff
股票价格 Stock Price
Combined =
Leveraged Equity
20-23
由于购买看涨期权和出售看跌期权的综合收益与 杠杆权益是等价的，价格必定等于
C - P = S0 - X / (1 + rf)T
Since the payoff on a combination of a long call and
a short put are equivalent to leveraged equity,the
prices must be equal.
C - P = S0 - X / (1 + rf)T
C:看涨期权成本 ; P:看跌期权成本
S0,股票现价 X / (1 + rf)T,无风险零息债券成本套利和看涨看跌期权价差
Arbitrage & Put Call Parity
20-24
看涨期权看跌期权平价 -不均衡举例
Put Call Parity - Disequilibrium Example
股票价格 Stock Price = 110
看涨期权价格 Call Price = 17
看跌期权价格 Put Price = 5
期限 Maturity =,5 yr
无风险利率 Risk Free = 10.25%
执行价格 X = 105
C - P > S0 - X / (1 + rf)T
17- 5 > 110 - (105/1.05)
12 > 10
买进股票和看跌期权,卖出看涨期权和借款 100元 (6个月 )
20-25
看涨期权 -看跌期权平价套利
Put-Call Parity Arbitrage
头寸 Immediate Cashflow in Six Months
Position Cashflow ST<105 ST> 105
购买股票
Buy Stock -110 ST ST
借入
Borrow
X/(1+r)T = 100 +100 -105 -105
出售看涨期权
Sell Call +17 0 -(ST-105)
购买看跌期权
Buy Put -5 105-ST 0
合计 Total 2 0 0
20-26
期权策略
Option Strategies
保护性看跌期权 Protective Put
投资股票 Long Stock
购买该股票的看跌期权 Long Put
假如你想投资某种股票，却不愿承担超过一定水平的潜在风险。 全部购买股票看起来是有风险的，因为理论上可能会损失全部投资。 你也可以考虑既投资股票，又购买该股票的看跌期权。表 20-1是这种投资组合在到期时的总价值：不管股价如何变化，
你肯定能在到期时得到一 笔等于期权执行价格的收益，因为如果股票价格低于执行价格时，你有权利以执行价格出售股票。
20-27
期权策略
Option Strategies
保护性看跌期权 Protective Put
投资股票 Long Stock
购买该股票的看跌期权 Long Put
Imagine you would like to invest in a stock,but you are
unwilling to bear potential losses beyond some given level,
Investing in the stock alone seems risky to you because in
principle you could lose all the money you invest,You
might consider instead investing in stock and purchasing a
put option on the stock,Table 20.1 shows the total value of
your portfolio at option expiration,Whatever happens to
the stock price,you are guaranteed a payoff equal to the
put option’s exercise price because the put gives you the
right to sell IBM for the exercise price even if the stock
price is below that value.
20-28
期权策略
Option Strategies
抛补的看涨期权 Covered Call
投资股票 Long Stock
出售该股票的看涨期权 Short Call
抛补的看涨期权头寸就是买进股票的同时卖出它的看涨期权 。这种头寸之所以被称为“抛补的”是因为投资者将来交割股票的义务正好被手中持有的股票抵消。
相反，假如没有股票而卖出股票则叫作,买裸期权”
抛补的看涨期权到期价值等于股票价值减掉期权价值。
期权价值被减掉是因为抛补的看涨期权涉及出售了一份看涨期权给其他投资者，如果其他投资者可以执行该期权，他的赢利就是你的亏损。
20-29
期权策略
Option Strategies
抛补的看涨期权 Covered Call
A covered call position is the purchase of a share of stock
with a simultaneous sale of a call on that stock,The call is
―covered‖ because the potential obligation to deliver the stock
is covered by the stock held in the portfolio,Writing an option
without an offsetting stock position is called by contrast naked
option writing,The value of a covered call position at the
expiration of the call,presented in Table 20.2,equals the
stock value minus the value of the call,The call value is
subtracted because the covered call position involves issuing
a call to another investor who can choose to exercise it to
profit at your expense.
20-30
期权策略
Option Strategies
抛补的看涨期权 Covered Call
例如：
假设某养老基金拥有 1000 股 IBM股票，其现价为每股 100美元。如果基金经理打算在股价升至每股
110美元时将其卖出,而市场上执行价格为 110美元的有效期 60天的 IBM股票看涨期权的期权价格为
5美元。于是，卖出 10份 IBM股票看涨期权合约 (每份合约 100股 )，就可以得到额外的 5000 美元收入，
当然假如股票价格超过 110美元，就会损失一部分利润，但是既然决定在 110美元时出售股票，那么这部分损失掉的利润就不是实现利润，也就谈不到损失了。
20-31
期权策略
Option Strategies
对敲 Straddle (Same Exercise Price)
购买股票的看涨期权 Long Call
购买该股票的看跌期权 Long Put
同时买进具有相同执行价格与到期时间的同一种股票的看涨期权与看跌期权，就可以建立一个对敲 策略。
对那些预期股价将有大幅升降但不知方向的投资者来说，对敲是很有用的策略 。
A long straddle is established by buying both a call and a put
on a stock,each with the same exercise price,X,and the
same expiration date,T,Straddles are useful strategies for
investors who believe a stock will move a lot in price but are
uncertain about the direction of the move,
20-32
期权策略
Option Strategies
差价 - 相同资产但到期时间和执行价格不同的两个或多个看涨期权或两个或多个看跌期权的组合
Spreads - A combination of two or more call options
or put options on the same asset with differing
exercise prices or times to expiration
垂直差价 Vertical or money spread
到期日相同 Same maturity
执行价格不同 Different exercise price
水平差价 Horizontal or time spread
到期日不同 Different maturity dates
20-33
异型期权
Exotic Options
亚洲式期权 Asian Options
障碍期权 Barrier Options
回望期权 Lookback Options
货币转换期权 Currency-Translated Options
二元期权 Binary Options
20-34
小结看涨期权是以执行价格买入某项资产的权利，
看跌期权是以执行价格出售某项资产的权利。
A call option is the right to buy an asset at an
agreed-upon exercise price,A put option is
the right to sell an asset at a given exercise
price.
20-35
小结美式期权允许早于或就在到期日当天执行。
欧式期权只允许在到期日当天执行。
American options allow exercise on or
before the exercise date,European options
allow exercise only on the expiration date,
Most traded options are American in nature
20-36
小结期权的标的物有股票、股票指数、外汇、固定收益证券与一些种类的期货。
Options are traded on stocks,stock indexes,
foreign currencies,fixed-income securities,
and several futures contracts.
20-37
小结期权可用来改变投资者的资产价格风险，或对资产价格的波动提供保险。普遍应用的期权策略有抛补的看涨期权、保护性看跌期权、
对敲、期权价格差以及双限期权。
Options can be used either to lever up an
investor’s exposure to an asset price or to
provide insurance against volatility of asset
prices,Popular option strategies include
covered calls,protective puts,straddles,
spreads,and collars.
20-38
小结期权平价定理将看跌期权与看涨期权联系在一起。
如果违背平价关系，就会出现套利机会。平价关系为
P=C-S0+PV(X)+PV(红利 )
其中 X为看涨期权与看跌期权的执行价格,PV(X)
是期权到期时的 X美元的现值,PV(红利 )是期权有效期内股票所支付的红利的现值。
20-39
小结
The put-call parity theorem relates the prices of put
and call options,If the relationship is violated,
arbitrage opportunities will result,Specifically,the
relationship that must be satisfied is
P=C-S0+PV(X)+PV
where X is the exercise price of both the call and
the put options,PV(X) is the present value of a
claim to X dollars to be paid at the expiration date
of the options and PV (dividends) is the present
value of dividends to be paid before option
expiration.
20-40
小结许多经常交易的证券具有期权特性，例如可赎回债券、
可转换债券与认股权证其他的一些协议，如抵押贷款和有限责任借款也可用一方或多方拥有的隐含期权来分析
Many commonly traded securities embody option
characteristics,Examples of these securities are
callable bonds,convertible bonds,and warrants,Other
arrangements such as collateralized loans and limited-
liability borrowing can be analyzed as conveying
implicit options to one or more parties.
20-41
小结所谓的新型期权具有活跃的场外交易市场。
Trading in so-called exotic options now takes place in
an active over-the-counter market.
