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讼延钭
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2 2 0 (contingent claim) ( C B O E ) ( )

3 ( ) Chicago Board Options Exchange Annual Report s, 1995 a n d call option ( strike price or exercise price I B M 105 I B M ( p r e m i u m ) I B M / I B M 1 8 I B M / I B M 105 I B M I B M = = = = = 3 5 = 2 put option 105 I B M I B M

4 ( ) ( ) I B M I B M I B M / I B M I B = I B M 96 = = = 9 = = / 5. 2 = = in the money out of the money at the money ( ) 100 ( ) I B M I B M ( N Y S E ) I B 104 5/16= / [ 1 ] I B M I B M [1]

5 516 2 I B M /16 I B M I B M The Wall Street Journal, January 9, (Long-term Equity AnticiPation Securities L E A P S ) 1 a. I B M b. I B M (American option)

6 (European options) I B M I B M 1 : I B M : ( ) 2 I B M (Option Clearing Corporation, OCC)

7 ( A S E ) The Wall Street Journal, January 14, 1998.

8 p c 100 O E X ( ) The Wall Street Journal, January 9, ( C M E ) ( I M M )

9 The Wall Street Journal, January 9, I B M / I B M 110 / 100 S T X S T >X 0 S T X ={ S T X S T X S T X 100 I B M I B M S T X= = 14

10 S T X ={ (S T X) S T >X 0 S T X I B M I B M / I B M 100 /

11 522 ={ 0 S T X X S T S T <X I B M S T 20-8 ( ) a. b. c. d I B M I B M 100 I B M 100

12 I B M A I B M 100 B I B M 100 ( ) C =9 270 I B M I B M A B C A I B M 100 B C I B M A B C B C A I B M B A I B M 100 B

13 C C 7. 3 I B M 1 00 I B M C A B C C S T X S T >X S T S T + X-S T 0 = X S T 20-1 a) X = I B M b) X S T = = c) S T = (Protective Put) C S 0 +P 20-10

14 X=S S T =S 0 S T S 0 S T S (portfolio insurance) V. (Brane V. Roth) t t

15 526 / covered calls 20-2 S T X S T >X S T S T + 0 (S T X) = S T X (naked option writing) 20-2 a) c ) T X S T X b) X X c ) c) X I B M I B M 5 10 I B M ( 100 ) 5 000

16 ( S t r a d d l e ) 20-3 S T <X S T X 0 S T X + X S T 0 = X S T S T X X S T =X a) b) c ) S T =X c) c ) P+C X ( S t r i p s ) ( S t r a p s ) 4

17 s p r e a d ( ) (money spread) (time spread) X 1 X S T X 1 S 1 <S T X 2 S T X 2 X 1 0 S T X 1 S T X 1 + X (S T X 2 ) = 0 S T X 1 X 2 X 1 S T X 1 X 2 S T X 1 X 2 S T X 1 X S T S T X= 110 X= c o l l a r I B M 100 / S X1 T X ( 1 ) ( 2 ) ( 10 ) 130 ( 3 ) ( 10 )

18 ( Wo r l d C o m ) (David C. McCourt) 812, (Morgan Stanley, D e a n Wi t t e r ) Elizabeth McDonald, WorldCom Director Uses Exotic Play to Hedge Stake, The Wall Street Journal, October 15, I B M X T S T X S T >X 0 S T X X X X S T

19 530 X X S T X X S T 20-1 C X/ ( 1 +r f ) T C+X/ ( 1 +r f ) T S 0 ( ) P ( ) 20-1 put-call parity theorem 110 X C + (1 + r f ) = S T 0 + P ( X= 105 ) 1 7 ( X= 105 ) X C + (1 + r f ) T =? S 0 + P (1.1025) 1/2=? =? 115 ( ) ) 100 ( ) S T S T 105 S T 1 0 S T 105 S T S T < S T S T S T 105 /( ) 1 / 2 = (S T ) S T

20 P=C S 0 + P V (X) + P V ( ) (20-2) P V ( ) I B M 105 I B M I B M P=C+ P V (X) S 0 + P V ( ) 5.25 = (1.049) 43/ = = (embedded option) ( ) 20-15

21 ( ) 8 ( c o n v e r s i o n r a t i o ) a) ( c o n v e r s i o n p r i c e ) b) c) ( c o n v e r s i o n v a l u e ) a) b) c)

22 a ) ( ) b ) c ) A B B a a B a a B a a ( ) ( ) A B ( 5 ) ) 2) 3) Wa r r a n t

23 534 [ 1 ] L S T S 0 S T >L S T <L S T [ 2 ] a) S T L S T S 0 L L b) L S T S T L L L S T < L c) L L [1] ( ) [2]

24 S 0 C S 0 C L P L/ ( 1 +r f ) T P S 0 C=L/ ( 1 +r f ) T P ( ) L a ) S T L b ) S T ( ) c L ( ) 1985 ( L i q u i d - yield option note LY O N ) [ 1 ] Waste Wa s t e [1] John J. McConnell Eduardo S. Schwartz The Original of LYONs: A Case Study in Financial Innovation Journal of Applied Corporate Finance, Winter 1992

25 (Bull certificate of deposit) ( 500 ) (participation rate) (Keyport LIfe Insurance Co.) (John Rosensteel) (Petter Katt)

26 Bridget O Brian and Leslie Scism, Equity-Indexed Annuities Score Big Hit, But They Put a High Price on Protection, The Wall Street Journal, May 30, ) 1 r f /( 1 +r f ) ( 1 r f /( 1 +r f )) =0.7 2) r M = ) 1 1 r f /( 1 +r f ) C/S 0 C S 0 r f /( 1 +r f ) C/S 0 r f /( 1 +r f ) C/S , 0. 7 r f /( 1 +r f ) C/S 0 r f = , / 1000 = r f /( 1 +r f )=0.03/(1+0.03)= /0.05= (r f r m i n )/( 1 +r f ) r m i n (bear CD) r f = ? 20.7

27 538 (exotic options) ( ) (down-and-out option) ( k n o c k - o u t ) ( k n o c k - i n ) ( l o o k b a c k ) X (currency-translated option) q u a n t o q u a n t o q u a n t o (binary option) 100 ( ) (RISK Magazine) P=C S 0 + P V (X) + P V ( ) X P V (X) X P V ( ) 6.

28 (Chicago Board Options Exchange Reference Manual) ( M a rgin Manual) Black, Fischer. Fact and Fantasy in the Use of Options. Financial Analysts J o u r n a l, July-August 1975, pp From Black-Scholes to Black Holes: New Frontiers in Options. London: RISK Magazine, I B M 105 a. X= 100 b. X= 100 c. X= 105 d. X= 105 e. X= 110 f. X= S X 1 00 C , 000 a b ( 10 ) c. 100 ( 1 ) ( 8 ) 6 a. ( 100 ) b. (1 000 ) c

29 PUTT a P U T T ( ) b. 4. CALL 50 / 50 4 a C A L L ( ) b. c. 5. ( ) - D / a. + b. (X+D) + c. a b a. X 1 X 2 X 3 X 1 X 2 X 2 X 3 b. X 2 X 1 X 2 X 1 7. X 2 X 1 X 2 X ( J o n e s ) (Computer Science, Inc.) /

30 a. A 45 3 b. B 35 3 c. C a. ( 900 ) b. ( ) c. ( ) ( 840 ) 810 ( 840 ) 120 ( 780 ) 6 S T = S T d. e. c a. b. a c I B M I B M

31 542 a. I B M b. I B M 102 / I B M c. d. I B M a. b A c m e 2 62 A p e x I B M X= 10 X= (X ) 19. ( ) 20. X= 100 X= 110 a. b. c. 21. ( J o e ) 400 / ( S a l l y ) a. b. c. 22. X= 50 X= a. - b. c. 23. ( ) a.

32 i. ii. iii. i v. b ( ) i ii iii i v c i ii iii i v d. X Y Z i i i i i i i v e. A B C 45 4 A B C 55 i. 4 ii. 6 iii. 10 i v A B C i. B ii. B C iii. C i v. A B C 1. a. S T X =S T X=S T 1 05

33 544 = 5 S T = 9 5 S T = 11 5 / 0 10 / b. =X S T = 105 =S T = S T = 9 5 S T = 11 5 / 10 0 / ( )= ( )= a. = 0 S T X (X S T ) S T <X b. = + =P S T X P (X S T ) S T <X c. d. 4. S T X S T >X 2 2 (X S T ) S T X S T X S T >X 2 X S T (S T X)

34 = 2 = 1 = 2 =

35 ( )/1.03= /1 000= /0.05=

穨溪南-5.PDF

穨溪南-5.PDF 2000 11 Journal of Risk Management Vol.2 No.2 Nov. 2000 pp.89-118 * The Application of Contingent Portfolio Insurance in the Taiwan Stock Market ** (Hsinan Hsu) *** (Mi-Huan Lai) 1%9% Abstract The purpose