Copyright by Yichun Zhang Zhenlong Zheng and Hai
第八章 期权和权证 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
本章框架 Ø 第一节 期权 Ø 第二节 权证 Ø 第三节 可转换债券 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
第一节 期权 n n n 一、期权市场概述 二、期权合约的盈亏分布 三、奇异期权 四、看涨-看跌期权平价关系 (Put-Call Parity) 五、布莱克-斯科尔斯 (Black-Scholes) 期权 定价公式 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
一、期权市场概述 n (一) 金融期权合约的定义与种类 n (二) 金融期权的交易 n (三) 期权交易与期货交易的区别 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(一) 金融期权合约的定义与种类 n 金融期权 (Option),是指它的持有者有权在规 定期限内按双方约定的价格购买或出售一定数 量某种金融资产(称为标的金融资产Underlying Financial Assets) 的合约。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(三) 期权交易与期货交易的区别(续) 2、标准化 n 3、盈亏风险 n 4、保证金 n 5、买卖匹配 n 6、套期保值 n @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
二、期权合约的盈亏分布 n (一) 看涨期权的盈亏分布 n (二) 看跌期权的盈亏分布 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
三、奇异期权 n 奇异期权(Exotic Options)是金融机构为满足客 户的特殊需要而开发的,它通常在场外交易。 奇异期权种类繁多,目前较常见的有: @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(一) 打包期权 n 打包 (Package) 期权是由标准欧式期权与远期 合约、现金和 (或) 标的资产构成的组合。打 包期权的一个例子是范围远期合约 (Range Forward Contracts)。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
Ø 范围远期合约多头由一份远期多头与一份看跌期权多 头和一份看涨期权空头构成,其盈亏分布图如图 8 -4 所示。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(三) 远期期权 n 远期期权是指期权费在现在支付,而有效期在 未来某时刻开始的期权。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(五) 任选期权 n 任选期权(“As You Like It” Option,又称Chooser Option) 是指在一定期限内可由多头选择该期 权为看涨期权还是看跌期权的期权。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(九) 亚式期权 n 亚式期权 (Asian Option) 的收益依赖于标的资 产有效期内至少某一段时间的平均价格。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(十) 资产交换期权 n 资产交换期权 (Options to Exchange One Asset for Another) 是指期权买者有权在一定期限内按一定 比率把一种资产换成另一种资产 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
四、看涨-看跌期权平价关系 (Put -Call Parity) n n n (一)欧式看涨期权与看跌期权之间的平价关系 (二) 有收益资产期权 (三) 美式看涨期权和看跌期权之间的关系 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
Ø 在期权到期时,两个组合的价值均为 max(ST, X)。由于欧式期权不能提前执行,因 此两组合在时刻t必须具有相等的价值,即: @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
Ø 2.有收益资产美式期权 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
五、布莱克-斯科尔斯 (Black. Scholes) 期权定价公式 n n n (一)期权价格的特征 (二) 期权价格的影响因素 (三) 布莱克——斯科尔斯期权定价公式 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
(一) 期权价格的特征 Ø 期权价格 (或者说价值) 等于期权的内在价值 加上时间价值。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
ü 对欧式期权来说,多方只能在期权到期时决定 行权与否并获得相应回报,故此 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
n N(x) 为标准正态分布变量的累计概率分布函数 (即这个变量小于X的概率),根据标准正态分布 函数特性,我们有 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
第二节 权证 n 一、权证的定义 二、权证与股票期权的区别 三、权证的基本要素 四、股本权证的稀释效用(Dilution Effect) n 五、权证和股权激励计划 n n n @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
四、股本权证的稀释效用 (Dilution Effect) n 由于股本权证的执行会带来公司发行股票数量 的变化,所以就会对公司现有股东的利益产生 影响。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
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