???? Option ? ?

1
???? Option ? ?

2
??????

• ????
• ???20??20??,
• 1973????????????????????
• ??

3
?????????

• ??????200(KOSPI 200)???????????????????????,??????
  ???????????????????
• ????????????50?
• ?????????10??????
• ??????????????????63.8,

4
?????????

• ????????
• ?????????????????
• ????????????????????
• ?????????????
• ????????????????

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?? option

• ??an instrument that provides its holder with an
  opportunity to purchase or sell a specified asset
  at a stated price on or before a set expiration
  date.????????????????,????????????????????????????
  ??

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Derivative

• Derivative security is a security that is neither
  debt nor equity and derives its value from an
  underlying asset that is often another security.

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Types of options

• Rights
• Warrants
• Calls and puts

8
Hedging

• Offsetting or protecting against the risk of
  adverse price movements.

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Option

• ?????
• ?????
• ?????
• ?????

10
????

• ????
• ????

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????

• ???????????
• (1)??????????????
• (2)???????????
• (3)??????????????? ?????????

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"?????"

• ????
• ???
• ???????
• ???????????????
• ???

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???????

• ????
• ????
• ?????

14
?????

• ???(call)?????????? ??
• ???(put)????????
• ????????

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Elements

• 1???? (Striking price)?????? ???????????
• 2????(Expiration)??????
• 3????? (put or call each 100 shares) ???????????
  ???
• ???(Option price)??????? ????????

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???????

• Vo max (Vs E, 0)
• Vs?????????,
• E???????,

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Example

• A call option has a striking price of 40 per
  share 3 month from today. At the expiration the
  price reached to 60 per share. The expense of
  the call(100 shares) is 350.
• (60x100) (40x 100) 350 1650

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Example

• A put option has a striking price of 40 per
  share 3 month from today. At the expiration the
  price reached to 20 per share. The expense of
  the call(100 shares) is 450.
• (40x100) (20x 100) 450 1550

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4 situations

• Expiration price gt (striking option exp)
• Expiration price (striking option exp)
• Expiration price lt (striking option exp)
• Expiration price between striking and option
  expenses?

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Black-Scholes??(??)

• ???????????????????
• ??a ?????????
• b ?????,??????????,????
• c ????????????????
• d ?????
• e ????????(duration,??)????
• f ???????????????????,? ?????????

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(No Transcript)
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??????

• ????
• ???20??20??,
• 1973????????????????????
• ??

26
?????????

• ??????200(KOSPI 200)???????????????????????,??????
  ???????????????????
• ????????????50?
• ?????????10??????
• ??????????????????63.8,

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?????????

• ????????
• ?????????????????
• ????????????????????
• ?????????????
• ????????????????

28

• ????????????????,???????????
• ?????????????
• ???????????????????????
• ??????????????????????????

29

• ??????????????? ?

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quiz

• A call option has a striking price of 45 per
  share 6 month from today. At the expiration the
  price reached to 60 (48.5/44)per share. The
  expense of the call(100 shares) is 350.compute
  and tell me the gain or lose according to the 3
  different situations.

31
Quiz

• A put option has a striking price of 35 per
  share 6 month from today. At the expiration the
  price reached to 20(31.5/39) per share. The
  expense of the call(100 shares) is 350. compute
  and tell me the gain or lose according to the 3
  different situations.

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??? ????

• ????????????????????
• ?13.1 ????

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??? ????

• A?B?C??
• (1)A?????????,?????????
• (2)B?????????,?????????????????????
• (3)C??????????????????(A?),?????????
• ?C?,????????????,????????
• ?13.2 ???

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?13.3 X???Y????????
35

• ??????Y??????
• ??????
• (1)????????????,??????,????????
• (2)????????????????,???????
• ????????,????????????,?????????
• ?13.4 X???Y??????????

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??? ??????

• ????????
• ??????
• (1)       ?????
• ???????????????
• ?????????
• ??????????????????????

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• ?13.1 1998?7??????????(?????????85??)

?????106.25-8521.25(??)???????????
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• ?????????????5/9??????36.86?????????

• ? ???????????????????

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• ??
• ?????????????5/9 36.86??????
• (85 5/9) 36.86
• 10.36(??)
• ??delta??5/9?0.56?
•  
• ??????????

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• ????????
• ?????25?6??
• ????????
• ??????????? 25 (1 ??????) (-20)
• 2.5
•  
• ?????????
• ?????? 21.25 (1-??????) 0
• (0.5 21.25) (0.5 0)
• 10.625(??)
• ???????

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• ???????????
• (1)??????????????????,?????????,???????
• (2)????????????,???????????????
•  
• ??????85-6817??????????????

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• ?????????????????
•  
• ???????

43

• ??????????(-4/9) 46.07????
• 8.29(??)
• ??????????
•  
• ?????? 0 (1 ??????) 17
• (0.5 0) (0.5 17)
• 8.50(??)
• ???????
•  
• ????????????-???????????
• ??????10.36 85 8.29(??)

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• ?????-????????
• ????
•  
• ????
• ?????? ?? ???? ????
• N(d1) P N (d2) PV(EX)
•  
• ??
• N(d)?????????????
• EX????????
• PV(EX)????????????
• T??????????
• P?????
• s????????????????????

45

• ????

46

• ???-????????
• 1. ??d1?d2?????????????
• 0.2223
• 0.2223 - -0.004
• 2. ??N(d1)?N(d2)?
• N(d1)???????????d1???
• 3. ??????????-??????,??????
•  
• delta???? ????
• N(d1) P N(d2) PV(EX)
• 0.5879 85 0.4984
  85/1.025
• 8.64(??)