Derivative Markets 2nd Edition- Robert L.Mcdonald 原版PPT课件_CH03.pptVIP

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2017-03-25 发布于江苏
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Derivative Markets 2nd Edition- Robert L.Mcdonald 原版PPT课件_CH03.ppt

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Derivative Markets 2nd Edition- Robert L.Mcdonald 原版PPT课件_CH03

Chapter 3 Insurance, Collars, and Other Strategies Basic Insurance Strategies Options can be Used to insure long positions (floors) Used to insure short positions (caps) Written against asset positions (selling insurance) Insuring a Long Position: Floors A put option is combined with a position in the underlying asset Goal: to insure against a fall in the price of the underlying asset Insuring a Long Position: Floors (cont’d) Example: SR index and a SR put option with a strike price of $1,000 together Buying an asset and a put generates a position that looks like a call! Insuring a Short Position: Caps A call option is combined with a position in the underlying asset Goal: to insure against an increase in the price of the underlying asset (when one has a short position in that asset) Insuring a Short Position: Caps (cont’d) Example: short-selling the SR index and holding a SR call option with a strike price of $1,000 An insured short position looks like a put! Selling Insurance For every insurance buyer there must be an insurance seller Strategies used to sell insurance Covered writing (option overwriting or selling a covered call) is writing an option when there is a corresponding long position in the underlying asset is called covered writing Naked writing is writing an option when the writer does not have a position in the asset Covered Writing: Covered Calls Example: holding the SR index and writing a SR call option with a strike price of $1,000 Writing a covered call generates the same profit as selling a put! Covered Writing: Covered Puts Example: shorting the SR index and writing a SR put option with a strike price of $1,000 Writing a covered put generates the same profit as writing a call! Synthetic Forwards A synthetic long forward contract Buying a call and selling a put on the same underlying asset, with each option having the same strike price and time to expiration Example: buy the $1,000-strike SR call and sell the $1,000-strike