ABF 305 INVESTMNET MANAGEMENT
SURGERY 3 Financial Derivatives
ABF305投資管理
金融衍生產品

Options
選項

• A call option gives its holder the right to purchase an asset for a specified price, called exercise, or strike, price on or before some specified expiration date.
看漲期權賦予其持有人有權以指定的價格購買資產，一些指定的到期日或之前稱為鍛煉，或罷工，價格。
• A put option gives its holder right to sell an asset for a specified exercise or strike price on or before some expiration data.
認沽期權賦予其持有人權利屆滿之前的一些數據或指定的行使或行使價出售資產。
• The purchase price of a option contract is called the premium. It represents the compensation the purchaser of the call (put) must pay for the right to exercise the option if exercise becomes profitable.
一個期權合約的購買價被稱為溢價。它代表了補償，買方必須支付的認購（售）有權行使購股權，如果行使變得有利可圖。
• Option strategies
期權投資策略
• Protective Put
• Covered Call
• Straddle
• Spreads
• Collars

Futures
前途

• The futures contract calls for delivery of a commodity at a specified delivery or maturity date, for an agreed –upon price, called the futures price, to be paid at a contract maturity.
期貨合約要求在指定的交割商品交付或到期日，在商定價格時，稱為期貨價格在合約到期支付。
• Holders of futures contract carry the obligation to go through with the agreed-upon transaction.
• The trader taking the long position commits to purchasing the commodity on the delivery date.
該交易員采取長倉承諾購買的商品的交貨日期。
• The trader who takes the short position commits to delivering the commodity at contract maturity.
淡倉交易誰承諾提供商品合約到期。
• Profit to long = Spot price at maturity – Original futures price
• Profit to short = Original futures price – Spot price at maturity
• The clearinghouse and open interest


• The open interest on the contract is the number of contracts outstanding.
• The daily settling is called marking to market
• If a trader accrues sustained losses from daily marking to market, the margin account may fall below a critical value called the maintenance margin.
• The Spot-Futures Parity Theorem
Rate of return on perfectly hedged stock portfolio (Rf) = ((F0 + D) – S0)/S0
• the parity relationship also is called the cost-of-carry relationship#p#分頁標題#e#