Documente Academic
Documente Profesional
Documente Cultură
and Currencies
Chapter 15
1 C. Hull 2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John
Index Options
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John2C. Hull
2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John3C. Hull
2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John4C. Hull
2013
Example 1
Portfolio
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John5C. Hull
2013
Example 2
Portfolio
Value of Index in 3
months
1,080
1,040
1,000
960
920
880
570,000
530,000
490,000
450,000
410,000
370,000
Currency Options
Currency options trade on the NASDAQ
OMX
There also exists an active over-the-counter
(OTC) market
Currency options are used by corporations
to buy insurance when they have an FX
exposure
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John9C. Hull
2013
2013
Payoff
Payoff
Asset
Price
K1
Short
Position
K2
K1
K2
Long
Position
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John11
C. Hull
2013
Asset
Price
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John13
C. Hull
2013
c max( S 0e
qT
Ke
rT
, 0)
p max( Ke
rT
S0e
qT
, 0)
c Ke rT p S 0 e qT
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John14
C. Hull
2013
c S 0 e qT N ( d1 ) Ke rT N (d 2 )
p Ke rT N ( d 2 ) S 0 e qT N ( d1 )
ln( S 0 / K ) ( r q 2 / 2)T
where d1
T
ln( S 0 / K ) ( r q 2 / 2)T
d2
T
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John15
C. Hull
2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John16
C. Hull
2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John18
C. Hull
2013
The
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John20
C. Hull
2013
c S0e
rf T
p Ke
rT
where
N ( d1 ) Ke rT N (d 2 )
N (d 2 ) S 0 e
d1
d2
rf T
N ( d1 )
ln( S 0 / K ) ( r r
2 / 2)T
ln( S 0 / K ) ( r r
2 / 2)T
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John21
C. Hull
2013
Using F0 S0 e
( r rf ) T
c e rT [ F0 N (d1 ) KN (d 2 )]
p e rT [ KN ( d 2 ) F0 N ( d1 )]
ln( F0 / K ) 2T / 2
d1
T
d 2 d1 T
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John22
C. Hull
2013
S0
S0u
u
(1
S0d
d
p)
f = e-rt[pfu+(1 p)fd ]
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John23
C. Hull
2013
ad
p
ud
ae
( r q ) t
ae
( r r f ) t
ue
d 1/ u
for indices
for currencies
Fundamentals of Futures and Options Markets, 8th Ed, Ch 15, Copyright John24
C. Hull
2013