《JohnHull经典书籍的.ppt》由会员分享，可在线阅读，更多相关《JohnHull经典书籍的.ppt（16页珍藏版）》请在三一办公上搜索。
1、Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.1,Mechanics of Options MarketsChapter 7,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.2,Types of Options,A call is an option to buyA put is an option to sellA European option can be exercised only at th
2、e end of its lifeAn American option can be exercised at any time,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.3,Assets UnderlyingExchange-Traded OptionsPage 151-152,StocksForeign CurrencyStock IndicesFutures,Options,Futures,and Other Derivatives,5th edition 2002 by John C.
3、Hull,7.4,Specification ofExchange-Traded Options,Expiration dateStrike priceEuropean or AmericanCall or Put(option class),Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.5,Terminology,Moneyness:At-the-money optionIn-the-money optionOut-of-the-money option,Options,Futures,and
4、Other Derivatives,5th edition 2002 by John C.Hull,7.6,Terminology(continued),Option class Option series Intrinsic value Time value,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.7,Dividends&Stock Splits(Page 154-155),Suppose you own N options with a strike price of K:No adju
5、stments are made to the option terms for cash dividendsWhen there is an n-for-m stock split,the strike price is reduced to mK/n the no.of options is increased to nN/mStock dividends are handled in a manner similar to stock splits,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,
6、7.8,Dividends&Stock Splits(continued),Consider a call option to buy 100 shares for$20/shareHow should terms be adjusted:for a 2-for-1 stock split?for a 5%stock dividend?,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.9,Market Makers,Most exchanges use market makers to facili
7、tate options tradingA market maker quotes both bid and ask prices when requestedThe market maker does not know whether the individual requesting the quotes wants to buy or sell,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.10,Margins(Page 158-159),Margins are required when
8、options are soldWhen a naked option is written the margin is the greater of:A total of 100%of the proceeds of the sale plus 20%of the underlying share price less the amount(if any)by which the option is out of the moneyA total of 100%of the proceeds of the sale plus 10%of the underlying share priceF
9、or other trading strategies there are special rules,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.11,Warrants,Warrants are options that are issued(or written)by acorporation or a financial institutionThe number of warrants outstanding is determined by the size of the origin
10、al issue and changes only when they are exercised or when they expire,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.12,Warrants(continued),Warrants are traded in the same way as stocks The issuer settles up with the holder when a warrant is exercisedWhen call warrants are i
11、ssued by a corporation on its own stock,exercise will lead to new treasury stock being issued,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.13,Executive Stock Options,Option issued by a company to executivesWhen the option is exercised the company issues more stock Usually
12、at-the-money when issued,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.14,Executive Stock Options continued,They become vested after a period ot timeThey cannot be soldThey often last for as long as 10 or 15 years,Options,Futures,and Other Derivatives,5th edition 2002 by Jo
13、hn C.Hull,7.15,Convertible Bonds,Convertible bonds are regular bonds that can be exchanged for equity at certain times in the future according to a predetermined exchange ratio,Options,Futures,and Other Derivatives,5th edition 2002 by John C.Hull,7.16,Convertible Bonds(continued),Very often a convertible is callableThe call provision is a way in which the issuer can force conversion at a time earlier than the holder might otherwise choose,
