[金融市場與衍生性商品] Lecture1 Introduction to Derivatives

經濟系開的，上了三週發現是舊版FM的內容更深入一點，介紹forward，option跟swap等一些衍生性商品。

參考用書有OPTIONS, FUTURES, AND OTHER DERIVATIVES, John Hull以及Derivatives Markets, Robert Macdonald。

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Overview:

Derivative Contracts:

-Futures Contracts

-Forward Contracts

-Swaps

-Options

Types of Transactions:

-Buy

-Short-sell

Types of Traders:

-Hedgers

-Speculators

-Arbitrageurs

Four Types of Assets

-Stock

-Bond

-Currency

-Commodity

What is Derivative?

Definition

衍生性商品是一種工具，價值是從四種基本的資產價值得來。然而，也可以是從一些不確定的變數，例如：雪量、地震、票房等等。

衍生性金融商品有哪些？

1. Forward Contract

2. Futures Contract 跟Forward Contract差在哪？

3. Call Option

4. Put Option

5. Swaps

Basic Transactions: Buy and Short-sell

Buy買 這簡單

Short-sell 空頭 賣空

https://zh.wikipedia.org/wiki/%E7%A9%BA%E5%A4%B4

四步驟：

1. 先借資產

2. 賣掉資產

3. 過一段時間，買回同單位資產

4. 還回資產

融券強制回補 台灣才有

某些特別的日子空單要強制回補

https://histock.tw/blog/histock1688/114

三種Traders:

1. Hedgers 套期保值者 不想承受風險

https://wiki.mbalib.com/wiki/%E5%A5%97%E6%9C%9F%E4%BF%9D%E5%80%BC%E8%80%85

2. Speculators 投機者 承受高風險

https://wiki.mbalib.com/wiki/%E6%8A%95%E6%9C%BA%E8%80%85

3. Arbitrageurs 套利者 找出市場價差，賺取利潤

https://wiki.mbalib.com/wiki/%E5%A5%97%E5%88%A9%E8%80%85

====考題====Chapter 1 Introduction=====

1. List three types of traders in futures, forward, and options markets

2. Which of the following is not true (circle one)

a. When a CBOE call option on IBM is exercised, IBM issues more stock

b. An American option can be exercised at any time during its life

c. An call option will always be exercised at maturity if the underlying asset price is greater than the strike price

d. A put option will always be exercised at maturity if the strike price is greater than the underlying asset price.

3. A trader enters into a one-year short forward contract to sell an asset for $60 when the spot price is $58. The spot price in one year proves to be $63. What is the trader’s gain or loss? Show a dollar amount and indicate whether it is a gain or a loss.

4. A trader buys 100 European call options (i.e., one contract) with a strike price of $20 and a time to maturity of one year. The cost of each option is $2. The price of the underlying asset proves to be $25 in one year. What is the trader’s gain or loss? Show a dollar amount and indicate whether it is a gain or a loss.

5. A trader sells 100 European put options (i.e., one contract) with a strike price of $50 and a time to maturity of six months. The price received for each option is $4. The price of the underlying asset is $41 in six months. What is the trader’s gain or loss? Show a dollar amount and indicate whether it is a gain or a loss.

6. The price of a stock is $36 and the price of a three-month call option on the stock with a strike price of $36 is $3.60. Suppose a trader has $3,600 to invest and is trying to choose between buying 1,000 options and 100 shares of stock. How high does the stock price have to rise for an investment in options to lead to the same profit as an investment in the stock?

7. A one-year call option on a stock with a strike price of $30 costs $3; a one-year put option on the stock with a strike price of $30 costs $4. Suppose that a trader buys two call options and one put option.

(i) What is the breakeven stock price, above which the trader makes a profit?

(ii) What is the breakeven stock price below which the trader makes a profit?

Ans:

1. speculators, hedgers, arbitrageurs

2. a

3. $3 loss

4. $300 gain (25-20-2)*100

5. $500 loss (4+41-50)*100

6. 40

Suppose x is the stock price three month later.

100*(x-36)=(x-36-3.6)*1000

x-36=10x-396 9x=360 x=40

7. (i)35 (ii)20

Suppose x is the stock price one year later.

x>30

2*(x-30-3)-4=2x-70

x<30

(30-x-4)-2*3=20-x