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Bài giảng Tài chính phái sinh: Chương 15 - Các ký tự Hy lạp
Options, Futures, and Other Derivatives, 6 th Edition, Copyright © John C. Hull 2005 15.1 Các ký tự Hy lạp Chương 15 Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.2 Ví dụ Μ τ νγν η◊νγ β〈ν µ τ θυψ ν χη ν µυα κι υ ộ đ ộ ề ọ ể Χηυ ℜυ τρ γι〈 ∃300,000 τρν 100,000 χ πηι υ ị ổ ế κηνγ τρ χ τ χả ổ ứ S 0 = 49, K = 50, r = 5%, σ = 20%, T = 20 τυ ν, ầ µ = 13% Γι〈 τρ τηεο Βλαχκ−Σχηολεσ χ α χ πηι υ λ◊ ị ủ ổ ế ∃240,000 Νγν η◊νγ σ πη∫νγ νγ α ρ ι ρο χηο µνη β νγ χ〈χη ẽ ừ ủ ằ ν◊ο γι χ λ ι νηυ ν ∃60,000?để ữ đượ ợ ậ Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.3 Vị thế Naked & Covered ς τη Νακεδ ị ế (τηαµ για τη τρ νγ νη νγ κηνγ χ⌠ τ◊ι σ ν χ σ ị ườ ư ả ơ ở τρονγ ταψ − Ν∆) Κηνγ λ◊µ γ χả ς τη Χοϖερεδ (τηαµ για τη τρ νγ χ⌠ τ◊ι σ ν χ σ τρονγ ταψ −Ν∆) Μυα 100,000 χ πηι υ ηµ ναψổ ế Χ ηαι χηι ν λ χ τρν υ γψ χηο νγν ả ế ượ đề η◊νγ νη νγ ρ ι ρο 〈νγ κữ ủ đ ể Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.4 Chiến lược chấm dứt lỗ Χηι ν λ χ ν◊ψ λιν θυαν ν: Μυα 100,000 χ πη ν νγαψ κηι γι〈 τ ổ ầ đạ ν ∃50 Β〈ν 100,000 χ πη ν νγαψ κηι γι〈 γι µ ξυ νγ δ ι ∃50ố ướ Χηι ν λ χ πη∫νγ νγ α ρ ι ρο τ νγ ế ượ ừ ủ ưở χη νγ ν γι ν ν◊ψ τη χ σ κηνγ µανγ ừ đơ ả ự ự λ ι ηι υ θυ χαο.ạ ệ ả Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.5 Delta (Xem Hình 15.2, trang 345) ∆ελτα (∆) λ◊ τ λ τηαψ ι γι〈 θυψ ν ỷ ệ đổ ề χη ν σο ϖ ι γι〈 χ α σ ν πη µ χ σọ ớ ủ ả ẩ ơ ở Giá quyền chọn A B Độ dốc = ∆ Giá cổ phiếu Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.6 Phòng ngừa Delta ι υ ν◊ψ λιν θυαν ν ϖι χ δυψ τρ µ τ Đ ề đế ệ ộ δανη µ χ τρυνγ λ π ϖ ι δελταụ ậ ớ ∆ελτα χ α µ τ θυψ ν χη ν µυα κι υ Χηυ ℜυ ι ϖ ι µ τ χ πηι υ χ⌠ συ τ σινη λ ι đố ớ ộ ổ ế ấ ợ χ τ χ ổ ứ q λ◊ N (d 1 )e – qT ∆ελτα θυψ ν χη ν β〈ν κι υ Χηυ ℜυ λ◊ e – qT [N (d 1 ) – 1] Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.7 Phòng ngừa Delta (tiếp theo) Πη ι τη νγ ξυψν χν ι λ ι ϖ τη πη∫νγ ả ườ đố ạ ị ế νγ α Πη∫νγ νγ α ∆ελτα λ◊ µ τ λ α χη ν χ ϖι τ ρα νη µ τ θυψ τ χ γιαο δ χη µυα χαο, “ế ư ộ ắ ị β〈ν τη π”ấ Ξεµ Β νγ 15.2 (τρανγ 350) ϖ◊ 15.3 (τρανγ 351) ϖ νη νγ ϖ δ ϖ πη∫νγ νγ α δελτα Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.8 Sử dụng hợp đồng giao sau để phòng ngừa Delta ∆ελτα χ α µ τ η π νγ γιαο σαυ λ◊ ủ ộ ợ đồ e (r-q)T νην ϖ ι δελτα χ α η π νγ γιαο νγαψ ∆ο ϖ ψ ϖ τη χ ν χ⌠ χ α πη∫νγ νγ α δελτα τρονγ η π νγ γιαο σαυ λ◊ e -(r-q)T νην ϖ ι ϖ τη χ ν χ⌠ τρονγ η π νγ γιαο νγαψ τ νγ νγ Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.9 Theta Τηετα (Θ) χ α µ τ σ ν πη µ πη〈ι σινη (ηο χ ủ ộ ả ẩ ặ µ τ δανη µ χ πη〈ι σινη) λ◊ τ λ τηαψ ι γι〈 τρ σ ν πη µ ⌠ σο ϖ ι τηαψ ι χ α τη ι γιαν σ η υ. Τηετα χ α µ τ θυψ ν χη ν µυα ηο χ β〈ν τη νγ λ◊ σ µ. ι υ ⌠ χ⌠ νγη α λ◊ ν υ τη ι ườ ố Đề đ ĩ ế ờ γιαν τρι ι, γι〈 τ◊ι σ ν χ σ ϖ◊ βι ν νγ χ α ν⌠ ϖ ν κηνγ τηαψ ι τη γι〈 τρ χ α θυψ ν χη ν σ γι µề ọ ẽ ả Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.10 Gamma Γαµµα (Γ) τ λ τηαψ ι χ α δελτα (∆) σο ϖ ι τηαψ ι γι〈 χ α σ ν πη µ πη〈ι σινη Γαµµα λ◊ λ ν νη τ ι ϖ ι νη νγ θυψ ν χη ν γ ν ϖ ι τι ν µ τ (ξεµ Ηνη 15.9, τρανγ 358) [...]... cong gây ra (Hình 15. 7, trang 355) Giá quyền chọn mua C'' C' C Giá cổ phiếu S S' Options, Futures, and Other Derivatives, 6th Edition, 15. 11 Giải thích về Gamma ι ϖ ι µ τ δανη µ χ τρυνγ λ π ϖ ι ∆ελτα, ∆Π ≈ Θ ∆τ + Γ∆Σ 2 ∆Π ∆Π ∆S ∆S Gamma dương Gamma âm Options, Futures, and Other Derivatives, 6th Edition, 15. 12 Mối quan hệ giữa Delta, Gamma, và Theta Đối với một danh mục các sản phẩm phái sinh trên... S∆ + σ S Γ = rΠ 2 Options, Futures, and Other Derivatives, 6th Edition, 15. 13 Vega ςεγα (ν) λ◊ τỷ λệ τηαψ đổι γι〈 τρị δανη µụχ σảν πηẩµ πη〈ι σινη σο ϖớι τηαψ đổι χủα độ βιếν độνγ ςεγα χ⌠ ξυ ηướνγ λớν νηấτ đốι ϖớι νηữνγ θυψềν χηọν γầν ϖớι τιềν ηơν (Ξεµ Ην 15. 11, τρανγ 361) Options, Futures, and Other Derivatives, 6th Edition, 15. 14 Quản lý Delta, Gamma, & Vega ∆ χ⌠ τηể τηαψ đổι βằνγ χ〈χη τηαµ για... τηαµ για τη τρ νγ θυψềν χηọν ηοặχ σảν πηẩµ πη〈ι σινη κη〈χ Options, Futures, and Other Derivatives, 6th Edition, 15. 15 Rho Ρηο λ◊ τ λ τηαψ ι γι〈 τρ σ ν πη µ πη〈ι σινη σο ϖ ι τηαψ ι λ©ι συ τ Đốι ϖớι θυψềν χηọν τιềν τệ, χ⌠ 2 λοạι ρηοσ Options, Futures, and Other Derivatives, 6th Edition, 15. 16 Phòng ngừa rủi ro trong thực tế Χ〈χ νη◊ γιαο δ χη τη νγ µ β ο ρ νγ δανη µ χ χ α η τρονγ µ τ νγ◊ψ χ⌠... µụχ χ◊νγ λớν τη πη∫νγ νγừα ρủι ρο χ◊νγ τ τ ν κµ Options, Futures, and Other Derivatives, 6th Edition, 15. 17 Phân tích tình huống Πη®ν τχη τνη ηυ νγ λ◊ ϖι χ κι µ νη τ〈χ νγ χ α νη νγ γι νη κη〈χ νηαυ ϖ γι〈 τ◊ι σ ν ϖ◊ βι ν νγ λν γι〈 τρ δανη µ χ Options, Futures, and Other Derivatives, 6th Edition, 15. 18 So sánh phòng ngừa rủi ro với việc tạo ra một quyền chọn lai tạp Κηι χηνγ τα πη∫νγ νγ α ρ ι ρο,... Options, Futures, and Other Derivatives, 6th Edition, 15. 19 Bảo hiểm danh mục ς◊ο τη〈νγ 10 νăµ 1987, νηιềυ νη◊ θυảν λ δανη µ χ © χ γ νγ τ ο ρα µ τ θυψ ν χη ν β〈ν τρν µ τ δανη µ χ λαι τ π ι υ ν◊ψ λιν θυαν ν ϖι χ βαν υ β〈ν δανη µụχ (ηοặχ χ〈χ ηợπ đồνγ γιαο σαυ χηỉ σ ) κ τ κ π ∆ χ α θυψ ν χη ν β〈ν Options, Futures, and Other Derivatives, 6th Edition, 15. 20 Bảo hiểm danh mục (tiếp theo) Κηι γι〈 τρ... χη ν β〈ν τρ νν ®µ νηι υ η ν ϖ◊ σ δανη µ χ χ β〈ν ι σ νηι υ η ν Options, Futures, and Other Derivatives, 6th Edition, 15. 21 Bảo hiểm danh mục (tiếp theo) Χηι ν λ χ ν◊ψ © κηνγ µανγ λ ι ηι υ θυ χαο τρονγ νγ◊ψ 19 τη〈νγ 10 ν µ 1987 Options, Futures, and Other Derivatives, 6th Edition, 15. 22 . Edition, Copyright © John C. Hull 2005 15. 1 Các ký tự Hy lạp Chương 15 Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15. 2 Ví dụ Μ τ νγν η◊νγ β〈ν µ τ. π”ấ Ξεµ Β νγ 15. 2 (τρανγ 350) ϖ◊ 15. 3 (τρανγ 351) ϖ νη νγ ϖ δ ϖ πη∫νγ νγ α δελτα Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15. 8 Sử dụng hợp. νγ γιαο σαυ λ◊ ủ ộ ợ đồ e (r-q)T νην ϖ ι δελτα χ α η π νγ γιαο νγαψ ∆ο ϖ ψ ϖ τη χ ν χ⌠ χ α πη∫νγ νγ α δελτα τρονγ η π νγ γιαο σαυ λ◊ e -( r-q)T νην ϖ ι ϖ τη χ ν