【正文】 ? Summary of Option Premium Components ? Summary of Option Premium Components 。 ? （ Option‘s Rho and Phi） 從期權(quán)費的構(gòu)成看出：期權(quán)費與利率呈正相關(guān)。 波動率對期權(quán)價值的重要性是因為 如果匯率的波動率增加，期權(quán)被行使的風(fēng)險增加，期權(quán)費可能上升。) A Call Option on British Pounds: Spot Rate = $163。 ? 同樣地，他購買一個 6月期的期權(quán)費比 1月期的期權(quán)費貴 ，而 12月期的期權(quán)費僅比 1月期的期權(quán)費貴。離到期日越近，期權(quán)價值衰減越厲害！ 貨幣期權(quán)定價的敏感性分析 ?tDD? C＝時間的變化期權(quán)費的變化? ＝＝個月的期權(quán)費個月的期權(quán)費時間價值的衰減對期權(quán)交易者來說非常重要。 ） Delta 值 （ theta） 期權(quán)的價值隨離到期日的時間長度而增加，預(yù)期期權(quán)費的變化與到期日時間變化的比值稱為 Option‘s theta： the change in option price with respect to a Change in maturity. Ex: s =20%, S=$, T=20 days,C0=$. If T=18 days, C1= $, pute the theta. theta=()/(1820)= 值得注意的是， theta值與時間的關(guān)系不是線性關(guān)系，而是時間的平方根。）＝（ 美分 /163。 ? 當(dāng)期權(quán)朝實值期權(quán)變化時， Delta 值就上升趨向于 ； ? 當(dāng)期權(quán)朝虛值期權(quán)變化時， Delta 值就下降趨向于 0； 看漲期權(quán)費的分解 協(xié)定價格（ $/163。 一般地，看漲期權(quán)的 Delta 值變化在 +1和 0之間。減少到 $163。如果初始期權(quán)費是$163。 貨幣期權(quán)定價的敏感性分析 ? （ Delta ） : Option‘s delta is also called the hedge ratio: the change in option price with respect to a change in spot rate .（期權(quán)價格對即期匯率變化的敏感性稱為 Delta 值） Ex: s=20%, S=$, C0=$. If spot rate changes to $, C1=$, find the Delta. ? Delta = DC/DS = ()/() =$ 該結(jié)果表明：如果給定 Delta 值 ，那么，即期匯率變化 1美分（ $163。 ? 上表表示：在到期日前，只要還有時間存在，期權(quán)就有時間價值。 Exchange rate volatility and inthemoney call option value CallTd/f STd/f STd/f CallTd/f STd/f STd/f Intrinsic Value, Time Value amp。此時，在市場上賣出對應(yīng)資產(chǎn)將遭受損失。 Exchange rate volatility and atthemoney call option value CallTd/f STd/f STd/f CallTd/f STd/f STd/f The time value of an option ? For inthemoney call option, if an underlying exchange rate is below the exercise price at expiration, the option has zero value regardless of the how far the closing price falls below the exercise price. ? On the other hand, as the spot rate increases,the call option continues to increase in value. ? Thus, inthemoney call options benefit from higher volatility. ? 價內(nèi)期權(quán)越多，時間價值越小 —— 在這種情況下，期權(quán)很可能被行使，因此， 立權(quán)人需要買入對應(yīng)資產(chǎn)進行套期 。因此， 訂立平價期權(quán)使立權(quán)人面臨最大的不確定性。那么期權(quán)立權(quán)人是否要購買對應(yīng)資產(chǎn)進行套期保值呢？如果已經(jīng)購買了，而期權(quán)到期時為價外，則遭受損失。 但是，期權(quán)訂立時的價外越大，對應(yīng)資產(chǎn)價格上升到價內(nèi)的可能性越小，立權(quán)人風(fēng)險就越低，因此其時間價值就越低。這種策略的風(fēng)險是對應(yīng)資產(chǎn)的價格可能狂升，使該期權(quán)到期時變成價內(nèi)。 Total Value for a Call Option on British Pounds with a Strike Price of $163。) Option Premium (US cents/163。 Total Value for a Call Option on British Pounds with a Strike Price of $163。s Barings Bank into bankruptcy through unauthorized speculation in Nikkei stock index futures on the Singapore and Osaka stock exchanges. ? Leeson sold option straddles on the Nikkei index at a time when volatility on the index was low. ? Leeson formed a short straddle by simultaneously selling calls and put on the Nikkei index. ? Including the proceeds from the sale of the call and the put, the profit/loss diagram on the short straddle position at expiration looks like this: profit/loss on a short straddle STNikkei KTNikkei VTNikkei He placed a bet on the volatility of the Nikkei index. As long as the Nikkei index did not vary too much, Leeson would have won his bet. Leeson loses if the Nikkei index rises too high or falls too low. The fact was: Volatility on the Nikkei index was low at the time Leeson sold his position. As it turned out, the Nikkei index fell below the profitable range. Leeson incurred further losses by buying futures on the Nikkei index in the hopes of a recovery that, to Baring180。 Putcall parity relates call and put values to the value of a forward contract. ?When we want to talk about the value (rather than changes in the value) of a long call and a short put, we need to adjust for the exercise price. The general case is called “putcall parity” and relates the value of a long call, a short put, the exercise price, and the forward price at expiration: CallTd/f PutTd/f + Kd/f = FTd/f Combinations of options A Straddle option ? One possible spec