金融衍生品定价理论(期权定价)1

金融衍生品定价理论(期权定价)

金融衍生品定价理论(期权定价)

Chapter 1

Risk Management & Financial Derivative

金融衍生品定价理论(期权定价)

Finance Finance - science of funds management,

- saving , lending & investing money

Business finance Personal finance Public finance

金融衍生品定价理论(期权定价)

Financial Security fungible, negotiable instrument

representing financial value usually represented by a certificate restricted by government rules Includingdebt ones - such as banknotes, bonds … equity ones – common stocks derivatives - forwards, futures, options …

金融衍生品定价理论(期权定价)

Financial Market a mechanism that allows people to buy

and sell (trade) :financial securities commodities (such as precious metals or agricultural goods) other fungible items of value at low transaction costs and at prices that reflect the efficient - market hypothesis.

金融衍生品定价理论(期权定价)

Risk Risk - uncertainty of the outcome bring unexpected gains cause unforeseen losses Risks Types totally unknown known possible results, unknown possibility known possible results and their possibilities

Two attitudes toward risks Risk aversion Risk seeking

金融衍生品定价理论(期权定价)

Risks in Financial Market Assets with uncertain price

Interest Rate Foreign exchange

Credit ……

金融衍生品定价理论(期权定价)

Financial Derivatives a financial instrument that has a value,

based on the expected future price movements of the underlying asset ( share, currency etc.) play roles ofalternative investment risk management

金融衍生品定价理论(期权定价)

The Properties of Derivatives Must be survive upon other financial

asset Extend the financial market Provide more tools for financial engineers Have an essential risk figure:

Leverage !

金融衍生品定价理论(期权定价)

Financial Derivatives 3 most fundamental financial

derivatives instruments:Forward contracts Future Options

Others like swaps, CDS, CDO, some

financing products ……

金融衍生品定价理论(期权定价)

Forward Contracts an agreement to buy or sell at a specified

future time a certain amount of an underlying asset at a specified price. an agreement to replace a risk by a certainty traded OTC long position - the buyer in a contract short position - the seller in a contract delivery price - the specified price maturity - specified future time

金融衍生品定价理论(期权定价)

FutureVTLong position Short positionVT

0

K

ST

0

K

ST

VT ST K

VT K ST

金融衍生品定价理论(期权定价)

Futures same as a forward contract

have evolved from standardization of

forward contracts differences –

futures are generally traded on an exchange a future contract contains standardized articles the delivery price on a future contract is generally determined on an exchange, and depends on the market demands

金融衍生品定价理论(期权定价)

Options an agreement that the holder can buy from

(or sell to) the seller (the buyer) of the option at a specified future time a certain amount of an underlying asset at a specified price. But the holder is under no obligation to exercise the contract. a right, no obligation the holder has to pay premium for this

right is a contingent claim Has a much higher level of leverage

金融衍生品定价理论(期权定价)

Two Options A

call option - a contract to buy at a

specified future time a certain amount of an underlying asset at a specified price A put option - a contract to sell at a specified future time a certain amount of an underlying asset at a specified price. exercise price - the specified price expiration date - the specified date exercise - the action to perform the buying or selling of the asset according to the option contract

金融衍生品定价理论(期权定价)

Option Types European options - can be exercised

only on the expiration date. American options - can be exercised on or prior to the expiration date. Other options – Asia option etc.