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关于股票基本知识书籍

最详细的期权组合策略covered call解析

因为X1, X2的不同,有可能出现负损益的情况(probability of a negative payoff)。以下是两种gap call的情况(put情况相反),

3.3 期权产品

39 Trading strategies involving option

39.1 解释设立一个covered call 或 protective put的动机

Covered Calll

short了一个out of money的call,需要保护所以又long了stock 这个策略用在预期S不涨过X的股票上获得cash 相当于是short put 

Protected Put

39.2 描述用法和计算各种spread strategy

Bull Spread:市场看涨,买低卖高

Bull put: 和bull call 类似 

Bear spread:市场看跌,卖低买高

Bear put: 和bear call 类似 

Butterfly Spread:3个option

Calendar Spread:2个option,行权时间不同

Diagonal Spread:不同行权时间,不同行权价格

Box Spread:组合了一个Bull call和bear put

收益是XH-XL,假设无套利,收益的PV就是net premium paid

39.3 描述用法和解释combination strategy的收益

Straddle

同一个X,long call and put 预测市场将大幅波动 

Strangle

不同X,long call and put 预测市场大幅波动,比straddle便宜 

Strip 最详细的期权组合策略covered call解析 and Strap

Collar

long XL put, short XH call, long stock 这个策略的目标是有一个stock,买了一个put来保护stock,再卖一个call来支付put 

40 Exotic Option

40.1 定义和区分exotic derivatives 和 plain vanilla derivative

  • Plain vanilla derivative:包括futures,常用的forward和其他OTC衍生品。交易在fairly liquid market
  • Exotic derivatives:定制化来满足特定公司的需要

40.2 描述一些驱动开发exotic products的因素

  1. 主要目的:给资产提供独特的对冲
  2. 附加目的:当投机在一个期望的future方向时处理税务和监管问题

40.3 解释一个衍生品如何被转换为zero-cost product

Package:long call short put

40.4 描述如何把标准美式期权转换成非标美式期权

改变一些American option的特性就可以变成non-standard American option。

  • 限制early exercise在一个特定的时间有效
  • 限制early exercise在一段时间内有效
  • strike price可以随期限变化

40.5 描述和区分下列奇异期权的特征和收益:

chooser option

分类1:是否有效限制

远期生效期权,到某个时间以后才有效 通常用作Employee incentive plan

分类2:执行时的价格限制

gap option

gap call option: 有2个行权价格, 一个是trigger price X2 > X1 if ST>X2, 按照X1行权,payoff=ST-X1 if ST

  • binary option(digital option)

cash or nothing call,如果到期时S小于K,则支付固定的现金 asset or nothing call,如果到期时S大于K,则支付资产的价格 European call = long cash or nothing call + short asset or nothing call

根据过去价格来确定,更贵 fixed lookback call option,K是fixed,

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Definition of term covered call

Tags: Translations: FR call couvert (n.m.) , option d'achat couverte (n.f.) ES opción de compra cubierta (n.f.) DE Covered Call (n.m.) , gedeckte Kaufoption (n.f.) , gedeckter Call (n.m.) A covered call is an options strategy where an investor acquires (or already holds) a long position in a stock or other security and sells call options on the same asset.

FRM中文笔记| 3. 金融市场与产品|Exotic Options奇异期权(一)

Trance_Fu63 于 2021-01-29 01:53:57 发布 3298 收藏 11

奇异期权 Exotic Options

Single Asset Exotic

奇异期权的定义

  1. 普通香草型期权(Plain Vanilla Options):标准化的场内交易所期权;主要种类有有欧式期权,美式期权;交易形式主要分买入和卖出两种
  2. 奇异期权:合约条款和合约属性不那么标准化的期权(non-standard);主要体现在期权费的缴纳,期权的到期时间和损益计算方式等。这些产品主要由场外衍生品的交易商进行设计并交易。
  3. 最详细的期权组合策略covered call解析
  4. 因为场外交易(OTC market),所以流动性和交易规模相对没那么大,交易商通常会设置更大的买卖价格利差(larger bid-offer spread)

期权的打包组合(Packages)

一个期权组合里包含很多标准化的欧式买权(standard European calls)或者欧式卖权(… puts),远期合约(forward contract),现金和现金等价物(cash)以及风险资产(underling asset)。

  • eg, bull, bear, butterfly, …
    买卖期权评价就是一个很好的packages的例子(P + S = C + pv of x)。

Zero-Cost Products

权利金不在期初支付, 而是递延到最后和损益一起结算(to be paid for in arrears),因此称为零成本的期权产品。但因现金流在时间轴上是有时间价值的, 因此在最后支付时,要对权利金f 进行复利,pay f(1 + R) T at maturity

这种产品也被称为 future style option

Transformation of American Options

标准美式期权:有灵活的选择以之前约定好的固定价格(a fixed exercise price)提前行权的权利(can be exercised at any time during option’s life),因此权利溢价更高

  1. 百慕大期权(Bermyda Option):在期权剩余到期时间中,给期权所有者在 几个时间点上提前兴权的权利。常在含权债券中作为内嵌期权存在(callable/putable bond)
  2. 带有初始锁定期的提前行权期权(initial lockout period):只有在锁定期后可以选择是否提前行权
  3. 公司发行的认股权证(warrant):期权持有期中,成交价(strike price)可能会改变

远期生效期权(Forward Start Options)

普通美式期权在我们购买的当下即拥有行权权利,而远期生效期权的行权开始在未来,到期是在更未来。
|- -|- -|
0 t T
即在0点签订,t点开始生效,T 点进行交割。

该期权适用场景为员工股票期权(employee stock options),雇主承诺雇员在未来某个时点可以购买 公司股票的权利。

缺口期权(Gap Options)🌟🌟🌟

缺口期权是一种有两个执行价格X2(触发行权的价格 payoff-triggering price)和X1(计算损益时使用的值 payoff-calculating price)的欧式期权。常运用于保险合约(insurance contracts)中。

损益图

因为X1, X2的不同,有可能出现负损益的情况(probability of a negative payoff)。以下是两种gap call的情况(put情况相反),

棘轮/分阶段期权(Cliquet Options)

例如,有五个一年期的期权,分别从现在,一年后,两年后,三年后,四年后开始。
我们除了要确定生效点外,还要确定生效时的执行价格

具体而言,执行价格应该和生效时刻对标的即期价格等价,所以是一个平值的状态(at the money)进行远期的生效。

任选期权(Chooser Options)

  • 因此,如果未来底层资产价格S往上涨,他会选call,因为call是随着底层资产价格上涨变得更富有价值的;反之会选择put。
  • 因此,任选期权的拥有者在未来是只赚不亏的,所以在期初时,他也需要支付一个更高昂的兑价,权利金由 MAX(c,p) 给出, 即某个时间点到起始点的call和put的价值,选择大的那个进行兑价的支付。

两值期权(Binary Options)🌟🌟🌟

cash-or-nothing

在这里插入图片描述

  • 当底层资产价格高过事先约定好的执行价格,call会被行权,call义务方会给出特定的价格,即图中cash点。
  • 底层资产价格如果跌破了执行价格,put义务提供方会给出特定的资金cash。
  • 因此是一个完全无风险,没有任何不确定性的特定现金。资产价格无论如何变化,cash都是这样一个固定的值。

asset-or-nothing

在这里插入图片描述

  • call:当底层资产价格高于X,那么义务提供方将给出合约上列明的特定资产。这个资产就是底层资产。
    • 如果行权,底层资产价值越来越高,那么这个asset交付出来价值也越来越高。
    • 图像在X点后,是一条45度斜向上的直线。
    • 底层资产价值越来越低,随横轴越来越往左去,资产价格最终会归零。

    亚式期权(Asian Options)

    • Average price calls: payoff = Max(Save - K, 0)
      • 底层资产价格不再是某一时点的ST, 而是一段时间里的Save
      • 行权点底层资产价格仍用ST,
      • 但执行价格产生随行就市的变化,不再是X,而是一段时间里的平均价格Save

      🌟 亚式期权最终差值往往比标准化期权更小, 因此通常只需要花费更少的价格来获得相对应的权利。(less expensive than a regular option)

      回望期权(Lookback Options)

      回望期权和亚式期权相反,更为极端,使用期权存续期中最大或最小的资产值(maximum or minimum asset price)来确定期末的损益。