IFMCh7 - Chapter 7 } h h } X z =y + = z + = z Chapter 7 x...

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Unformatted text preview: Chapter 7 } h h } X z =y + = z + = z Chapter 7 x 83 ~n M (Spot Option) (PSE) h 1982 h 12 h $ 8 M ~ 3 8 M ~n (Futures Option) (CME) h 1984 h 1 h $ 8M ~ Chapter 7 OTC h h 2. ^n $ 3$ 2. ^n 3 vs. h H 5h OTC ^n 2. $ h OTC 鷻 z y = 5 z y = Chapter 7 3 h z $~ =EP y XqE z z $~ =EP y XqE z vs. h (Calls vs. Puts) 3 h yzX z $ EP ~= XqE y Chapter 7 3 ( ) ~ $ . 2 z = Xq $ N8 y ~ ) 2 ~ . 32 ~ . O y z= ) (2 ~ . ( ) Chapter 7 $ 8L 8L n 3 (Intrinsic Value) L 8 (Time Value) L = h + h 3h h = L $ n -h =S-X 3L d * n = h - Ln * =X-S Chapter 7 $ 8I H 3 h h h h (ITM Call) h S s X (ATM Call) h S = X (OTM Call) h S s X (ITM Put) h S s X (ATM Put) h S = X (OTM Put) h S s X 3 h h h h h 7-1 | $ x s Chapter 7 S-X s s X s s s s h 7-2 } $ H Chapter 7 X-S s s s X s s s s PSE 8G 3 Chapter 7 h h $ 8 G IMM 3 G $ 8 3 ) 3 March Cycle (3 h 6 h 9 h $ 12 8G h z $ ~= XqE y L 8 3 8Gn $8 G Chapter 7 IMM h h 3 3 h $ h IMM h 3 z ~ X $ N8 y = h $ 3 h n h $ Chapter 7 h 3h 3h 3h 3 h h h h h h h h h h h h (Long Call) h (Short Call) h (Long Put) h (Short Put) h Chapter 7 h 7-3 1 Profit($) ^ h 0 -0.0045 h 0.75 P 2 0.7545 Loss Chapter 7 7-4 Profit($) +0.0045 h F E h h h 0 h Loss 0.75 0.7545 h h 7-5 F Profit($) 0 h Chapter 7 0 -0.015 0.655 88 O 0.67 h h h h Loss Chapter 7 7-6 v h +0.015 (P 2 0.67 0 0 0.655 Chapter 7 7-7 Profit h $ h 0 1.8038 0 0 1.82 1.8362 h -0.0162 0 h h Loss Chapter 7 7-8 Profit h $ h 0.0162 0 8 E h 1.8038 h 1.82 h 8 E 1.8362 h h h Loss Chapter 7 G&K C = Se - r*T N ( d1 ) - Ee - rT N (d 2 ) S 2 ln + ( r - r* + )T 2 d1 = E T d 2 = d1 - T Chapter 7 G&K P = Ee - rT N ( -d 2 ) - Se - r*T N ( -d1 ) S 2 ln + ( r - r* + )T 2 d1 = E T d 2 = d1 - T Delta z 3 ~ 5 y Xq $ C8 h 3 3 Chapter 7 h 0h Delta h Delta h 0h 1h 0 h -1 h 0 8 1 h -1 $ Premium = S h 7-3% zy $ ~ ~z 2 M Spot Rate Call Premium 0 ($/SF) ($/SF) 0.71 0.0381 0.70 0.0305 0.69 0.0237 0.68 0.0179 0.67 0.0129 0.66 0.0090 0.65 0.0059 Chapter 7 Delta h Delta % z 0 h h 1 Put Premium ($/SF) 0.0049 0.0073 0.0104 0.0145 0.0195 0.0255 0.0324 Delta -1 h h 0.7916 0.7192 0.6345 0.5410 0.4435 0.3478 0.2596 - 0.2009 - 0.2734 - 0.3580 - 0.4515 - 0.5490 - 0.6447 - 0.7330 ~ ( US$0.68/SF) Theta 3z 3 Chapter 7 y h L Premium = time to maturity h 7-4 k| * A x z ~ 5 4 3 2 1 E0 (US$/SF) 0.0236 0.0209 0.0179 0.0144 0.0099 Theta 0.0310 0.0341 0.0386 0.0460 0.0628 Chapter 7 Theta h Theta (US$/SF) 0.0180 0.0164 0.0145 0.0121 0.0088 0.0178 0.0208 0.0252 0.0326 0.0493 Rho 3z Chapter 7 y Premium = US dollar interest rate h 7-5 y $8A H %~ z y 7% 6% 5% 4% 3% x Rho h * (US$/SF) 0.0197 0.0187 0.0179 0.0170 0.0162 Rho 0.0926 0.0901 0.0875 0.0849 0.0823 Chapter 7 Rho (US$/SF) 0.0129 -0.0744 0.0137 -0.0774 0.0145 0.0153 0.0162 -0.0804 -0.0834 -0.0864 Chapter 7 Phi 3z y Premium = foreign currency interest rate h 7-6 h $8 @ SF ~ z 5% 4% 3% 2% 1% * $8 @ SF Phi h Phi -0.0860 -0.0890 -0.0920 -0.0950 -0.0980 (US$/SF) 0.01607 0.01527 0.01449 0.01373 0.01300 Phi (US$/SF) 0.01607 0.01695 0.01785 0.01879 0.01975 Chapter 7 0.0819 0.0793 0.0768 0.0742 0.0716 Chapter 7 Vega z 3 ~ y X $ 2 9 3 ~ Vega n 8A Premium = Volatility h 7-7 s{ h q X z 0.16 0.14 0.12 0.10 + = (US$/SF) 0.0232 0.0205 0.0179 0.0152 Chapter 7 H Vega 0.1339 0.1339 0.1338 0.1336 Vega Vega (US$/SF) 0.0198 0.0172 0.0145 0.0118 0.1339 0.1339 0.1338 0.1336 Chapter 7 ` 3un 2$ $ u 2 $ u 2 3un 2$ $ u 2 $ u 2 Chapter 7 F ( ) / Spot Rate Spot Rate Spot Rate Spot Rate ...
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This note was uploaded on 05/28/2010 for the course FGB 682 taught by Professor Chang during the Spring '10 term at Missouri State University-Springfield.

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IFMCh7 - Chapter 7 } h h } X z =y + = z + = z Chapter 7 x...

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