MarketsandSecurities(投资分析与投资组合管理)(32页PPT).pptx

Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K.Reilly&Keith C.BrownChapter 21Chapter 21-An Introduction to Derivative Markets and SecuritiesQuestions to be answered:What distinguishes a derivative security such as a forward,futures,or option contract,from more fundamental securities,such as stocks and bonds?What are the important characteristics of forward,futures,and option contracts,and in what sense can the be interpreted as insurance policies?Chapter 21-An Introduction to Derivative Markets and SecuritiesHow are the markets for derivative securities organized and how do they differ from other security markets?What terminology is used to describe transactions that involve forward,futures,and option contracts?How are prices for derivative securities quoted and how should this information be interpreted?Chapter 21-An Introduction to Derivative Markets and SecuritiesWhat are similarities and differences between forward and futures contracts?What do the payoff diagrams look like for investments in forward and futures contracts?What do the payoff diagrams look like for investments in put and call option contracts?How are forward contracts,put options,and call options related to one another?Chapter 21-An Introduction to Derivative Markets and SecuritiesHow can derivatives be used in conjunction with stock and Treasury bills to replicate the payoffs to other securities and create arbitrage opportunities for an investor?How can derivative contracts be used to restructure cash flow patterns and modify the risk in existing investment portfolios?Derivative InstrumentsValue is depends directly on,or is derived from,the value of another security or commodity,called the underlying assetForward and Futures contracts are agreements between two parties-the buyer agrees to purchase an asset from the seller at a specific date at a price agreed to nowOptions offer the buyer the right without obligation to buy or sell at a fixed price up to or on a specific dateWhy Do Derivatives Exist?Assets are traded in the cash or spot marketIt is sometimes advantageous enter into a transaction now with the exchange of asset and payment at a future timeRisk shiftingPrice formationInvestment cost reductionDerivative InstrumentsForward contracts are the right and full obligation to conduct a transaction involving another security or commodity-the underlying asset-at a predetermined date(maturity date)and at a predetermined price(contract price)This is a trade agreementFutures contracts are similar,but subject to a daily settling-up processForward ContractsBuyer is long,seller is shortContracts are OTC,have negotiable terms,and are not liquidSubject to credit risk or default riskNo payments until expirationAgreement may be illiquidFutures ContractsStandardized termsCentral market(futures exchange)More liquidityLess liquidity risk-initial marginSettlement price-daily“marking to market”OptionsThe Language and Structure of Options MarketsAn option contract gives the holder the right-but not the obligation-to conduct a transaction involving an underlying security or commodity at a predetermined future date and at a predetermined price OptionsBuyer has the long position in the contractSeller(writer)has the short position in the contractBuyer and seller are counterparties in the transactionOptionsOption Contract TermsThe exercise price is the price the call buyer will pay to-or the put buyer will receive from-the option seller if the option is exercisedOption Valuation BasicsIntrinsic value represents the value that the buyer could extract from the option if he or she she exercised it immediatelyThe time premium component is simply the difference between the whole option premium and the intrinsic componentOption Trading Markets-options trade both in over-the-counter markets and on exchangesOptionsOption to buy is a call optionOption to sell is a put optionOption premium-paid for the optionExercise price or strike price-price agreed for purchase or saleExpiration date European optionsAmerican optionsOptionsAt the money:stock price equals exercise priceIn-the-moneyoption has intrinsic valueOut-of-the-moneyoption has no intrinsic valueInvesting With Derivative SecuritiesCall optionrequires up front paymentallows but does not require future settlement paymentForward contractdoes not require front-end paymentrequires future settlement paymentOptions Pricing Relationships Factor Call Option Put OptionStock price+-Exercise price-+Time to expiration+Interest rate+-Volatility of underlying stock price+Profits to Buyer of Call Option4050607080901001,00050001,5002,0002,5003,000(500)(1,000)Exercise Price=$70Option Price =$6.125Profit from StrategyStock Price at ExpirationProfits to Seller of Call Option405060708090100(1,000)(1,500)(2,000)(500)05001,000(2,500)(3,000)Exercise Price=$70Option Price =$6.125Stock Price at ExpirationProfit from StrategyProfits to Buyer of Put Option4050607080901001,00050001,5002,0002,5003,000(500)(1,000)Exercise Price=$70Option Price =$2.25Profit from StrategyStock Price at ExpirationProfits to Seller of Put Option405060708090100(1,000)(1,500)(2,000)(500)05001,000(2,500)(3,000)Exercise Price=$70Option Price =$2.25Stock Price at ExpirationProfit from StrategyThe Relationship Between Forward and Option ContractsPut-call parityLong in WYZ common at price of S0Long in put option to deliver WYZ at X on TPurchase for P0Short in call option to purchase WYZ at X on TSell for C0Net position is guaranteed contract(risk-free)Since the risk-free rate equals the T-bill rate:(long stock)+(long put)+(short call)=(long T-bill)Creating Synthetic Securities Using Put-Call ParityRisk-free portfolio could be created using three risky securities:stock,a put option,and a call optionWith Treasury-bill as the fourth security,any one of the four may be replaced with combinations of the other threeAdjusting Put-Call Spot Parity For DividendsThe owners of derivative instruments do not participate directly in payment of dividends to holders of the underlying stockIf the dividend amounts and payment dates are known when puts and calls are written those are adjusted into the option prices(long stock)+(long put)+(short call)=(long T-bill)+(long present value of dividends)Put-Call-Forward ParityInstead of buying stock,take a long position in a forward contract to buy stockSupplement this transaction by purchasing a put option and selling a call option,each with the same exercise price and expiration dateThis reduces the net initial investment compared to purchasing the stock in the spot marketPut-Call-Forward Parity The difference between put and call prices must equal the discounted difference between the common exercise price and the contract price of the forward agreement,otherwise arbitrage opportunities would existAn Introduction To The Use Of Derivatives In Portfolio ManagementRestructuring asset portfolios with forward contractsshorting forward contractstactical asset allocation to time general market movements instead of company-specific trendshedge position with payoffs that are negatively correlated with existing exposureconverts beta of stock to zero,making a synthetic T-bill,affecting portfolio betaAn Introduction To The Use Of Derivatives In Portfolio ManagementProtecting portfolio value with put optionspurchasing protective putskeep from committing to sell if price risesasymmetric hedgeportfolio insuranceEitherhold the shares and purchase a put option,orsell the shares and buy a T-bill and a call optionThe InternetInvestments OnlineEnd of Chapter 21An Introduction to Derivative Markets and SecuritiesFuture topicsChapter 22 Forward and Futures Contracts1、每一个成功者都有一个开始。勇于开始，才能找到成功的路。11月-2211月-22Wednesday,November 9,20222、成功源于不懈的努力，人生最大的敌人是自己怯懦。00:24:5800:24:5800:2411/9/2022 12:24:58 AM3、每天只看目标，别老想障碍。11月-2200:24:5800:24Nov-2209-Nov-224、宁愿辛苦一阵子，不要辛苦一辈子。00:24:5800:24:5800:24Wednesday,November 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