18 4 n 1 Forwards 2 Futures 3

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18 - 4 衍生性金融商品類別 n 衍生性金融商品主要可以分成下列幾類: 1. 遠期合約(Forwards) 2. 期貨(Futures) 3. 選擇權(Option) 4. 交換(Swap)

18 - 4 衍生性金融商品類別 n 衍生性金融商品主要可以分成下列幾類: 1. 遠期合約(Forwards) 2. 期貨(Futures) 3. 選擇權(Option) 4. 交換(Swap) Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 20 選擇權權利金的內涵 n 選擇權權利金其實包括兩部份： 1. 實質價值(Intrinsic value), 2. 時間貼水(Time premium). Copyright ©

18 - 20 選擇權權利金的內涵 n 選擇權權利金其實包括兩部份： 1. 實質價值(Intrinsic value), 2. 時間貼水(Time premium). Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 26 Black & Scholes的 選擇權買權(Call option)定價公式 C = S[N(d 1)] – Xe

18 - 26 Black & Scholes的 選擇權買權(Call option)定價公式 C = S[N(d 1)] – Xe -k t[N(d 2)]. RF ln(S/X) + [k. RF + (s 2/2)]t d 1 =. s t d 2 = d 1 – s t. Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 29 試根據下列資料計算買權價值? * Assume: S = $27; X = $25; k. RF

18 - 29 試根據下列資料計算買權價值? * Assume: S = $27; X = $25; k. RF = 6%; t = 0. 5 years: s 2 = 0. 11 C = $27[N(d 1)] – $25 e-(0. 06)(0. 5)[N(d 2)]. ln($27/$25) + [(0. 06 + 0. 11/2)](0. 5) d 1 = (0. 3317)(0. 7071) = 0. 5736. d 2 = d 1 – (0. 3317)(0. 7071) = d 1 – 0. 2345 = 0. 5736 – 0. 2345 = 0. 3391. Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 30 *可以查常態分配的累積機率對照表: N(d 1) = N(0. 5736) = 0. 5000 + 0.

18 - 30 *可以查常態分配的累積機率對照表: N(d 1) = N(0. 5736) = 0. 5000 + 0. 2168 = 0. 7168. N(d 2) = N(0. 3391) = 0. 5000 + 0. 1327 = 0. 6327. C = $27(0. 7168) – $25 e-0. 03(0. 6327) = $19. 3536 – $25(0. 97045)(0. 6327) = $4. 0036. *本例參考Brigham and Houston(2001), Financial management. Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 36 交換合約的種類 n 交換(Swap)的主要種類包括: a. 利率交換(Interest rate Swaps). b. 貨幣交換與匯率交換. (Currency Swaps

18 - 36 交換合約的種類 n 交換(Swap)的主要種類包括: a. 利率交換(Interest rate Swaps). b. 貨幣交換與匯率交換. (Currency Swaps and Exchange Rate Swaps) c. 商品交換(Commodity Swaps). d. 股價交換(Equity Swaps). Copyright © 2001 by Harcourt, Inc. All rights reserved.

18 - 40 A公司 B公司 付出 4. 25%+ 5. 75%+ 收入 LIBOR+1% 5. 75%

18 - 40 A公司 B公司 付出 4. 25%+ 5. 75%+ 收入 LIBOR+1% 5. 75% LIBOR+1% 淨支付 LIBOR-0. 5% 5. 75% 如果未交換, LIBOR 6% 成本為: 成本可以省: 0. 5% 0. 25% Copyright © 2001 by Harcourt, Inc. All rights reserved.

Lecture 19 Forwards Futures First Futures Market OsakaLecture 19 Forwards Futures First Futures Market Osaka
Fintech Chapter 10 Futures Forwards and Swaps FuturesFintech Chapter 10 Futures Forwards and Swaps Futures
Forwards Forwards de Tipo de Cambio Es unaForwards Forwards de Tipo de Cambio Es una
FED TAPERING FUTURES CONTRACT Presenting Futures FUTURES CONTRACTFED TAPERING FUTURES CONTRACT Presenting Futures FUTURES CONTRACT
Four Futures Assignment Four Futures Four Futures refersFour Futures Assignment Four Futures Four Futures refers
Four Futures Assignment Four Futures Four Futures refersFour Futures Assignment Four Futures Four Futures refers
FED TAPERING FUTURES CONTRACT Presenting Futures FUTURES CONTRACTFED TAPERING FUTURES CONTRACT Presenting Futures FUTURES CONTRACT
Lecture 2 Derivative Market Futures Forwards Options WhatLecture 2 Derivative Market Futures Forwards Options What
Chapter 7 Interest Rate Forwards and Futures BondChapter 7 Interest Rate Forwards and Futures Bond
Chapter 9 Principles of Pricing Forwards Futures andChapter 9 Principles of Pricing Forwards Futures and
Produits Drivs JDC Futures Forwards Swap Produits DrivsProduits Drivs JDC Futures Forwards Swap Produits Drivs
Transaction Exposure Sections Exposures Forwards and futures hedgeTransaction Exposure Sections Exposures Forwards and futures hedge
Hedging Risk with Forwards and Futures Derivatives contractsHedging Risk with Forwards and Futures Derivatives contracts
Produits Drivs JDC Futures Forwards Swap Produits DrivsProduits Drivs JDC Futures Forwards Swap Produits Drivs
Mechanics of Futures Markets Chapter 2 FORWARDS ANDMechanics of Futures Markets Chapter 2 FORWARDS AND
Options Forwards Bonds and No Arbitrage Futures McOptions Forwards Bonds and No Arbitrage Futures Mc
contracts underlying assets 1 forwards 2 futures 3contracts underlying assets 1 forwards 2 futures 3
Lecture 2 Derivative Market Futures Forwards Options WhatLecture 2 Derivative Market Futures Forwards Options What
Mechanics of Futures Markets Chapter 2 FORWARDS ANDMechanics of Futures Markets Chapter 2 FORWARDS AND
Chapter 8 The Structure of Forwards Futures MarketsChapter 8 The Structure of Forwards Futures Markets
Chapter 5 Valuation of Forwards Futures Paul KochChapter 5 Valuation of Forwards Futures Paul Koch
Chapters 1 2 Introducing Forwards Futures Paul KochChapters 1 2 Introducing Forwards Futures Paul Koch
Chapter 5 Financial Forwards and Futures Introduction FinancialChapter 5 Financial Forwards and Futures Introduction Financial
Forwards and Futures Go To Bob Jensens FlowForwards and Futures Go To Bob Jensens Flow