期权 期货以及其他衍生品-4.pptVIP

Hedging Strategies Using Futures Chapter 4 Long Short Hedges A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price A short futures hedge is appropriate when you know you will sell an asset in the future want to lock in the price Arguments in Favor of Hedging Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables Arguments against Hedging Shareholders are usually well diversified and can make their own hedging decisions It may increase risk to hedge when competitors do not Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult Convergence of Futures to Spot Time Time (a) (b) Futures Price Futures Price Spot Price Spot Price Basis Risk Basis is the difference between spot futures Basis risk arises because of the uncertainty about the basis when the hedge is closed out Long Hedge Suppose that F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price You hedge the future purchase of an asset by entering into a long futures contract Cost of Asset=S2 ?F2 ?F1) = F1 + Basis Short Hedge Suppose that F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price You hedge the future sale of an asset by entering into a short futures contract Price Realized=S2+ (F1 朏2) = F1 + Basis Choice of Contract Choose a delivery month that is as close as possible to, but later than, the end of the life of the hedge When there is no futures contract on the asset being hedged, choose the contract whose futures price is most highly correlated with the asset price. There are then 2 components to basis Optimal Hedge Ratio Proportion of the exposure that should optimally be hedged is where sS is the standard deviation of dS, the change in the spot price during the hedging period,