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1
??????
2
????
  • 1 ????????
  • 2 ?????????
  • 3 ?????????
  • 4 ???????

3
1 ????????
  • ????
  • ????????????????????????????????????
  • ?????????
  • ???????????????????
  • ????????????????????????
  • ?????????,?????????(?100?1000?)??????????
  • ?????????????????,???????????????????

??????????(????)??????????????????????,???????
?????,??????????
4
1 ????????
  •  

5
1 ????????
  • ??????????

???? ???? ??????
????????? 65? 1928.10.1, 100
?????????? 500? 1941-1943, 10
????????????? 1,500?? 1965.12.31, 50
?????? 20? 1983, 200
????????? 1,700? 1961.6.30, 100
???????100????? 100? 1935, 100
??????????? ?1,100? 1968.1.4, 100
???? 33? 1964.7.31, 100
6
2 ?????????
  • ??????
  • ??????????,?????????????????????????????????,???
    ??????????????????
  • ???????????
  • ??????????????????????????? sp500??????360??

7
2 ?????????
  • ????(????)
  • ???????????????????(???????)?????????,
    SP500??,??????500?????????????????sp500??????360
    ??,??????????????180,000??(500??360)
  • ??????
  • ???????????????sp500??????????0.05????

8
1 ?????????
???? ??300???? ????A50????
???? ????????? ??????
???? ??300??,??300?A? ????A50??,50?A?
???? 300???300????? 10??????A50?????
???? ????????2??? 2?????,4??????
?????? 0.1? 1?
???????? ???????????10 10??10??15??10?????????????
??????? ?????8 ???????? 5 10 ,????????????????,??????????????
???? 915-11301300-1515 915-11351300-15051540-1930
????? ?????3???? ???????????????
????? ???????????2????????????? ?????????A50?????
???? ???? ????
???? 2000? 5000??????????
9
1 ?????????
  • ??????

CBOT DJIA????
???? 10??DJIA??
?????? 1????(????10??)
???? 3??6??9??12?
???? ???????720-??315
????? ?????????????????
???? ????
10
2 ?????????
  • ??????

CME ??225??????
???? 5????225????
?????? 5????(????25??)
???? 3??6??9??12?
???? ???????800-??315
????? ?????????????????
???? ?????????????
11
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    ???,?????????????????????????????????????,????????
    ??????????????????,????????????????????
  • ????????????????????????????????????????????????,?
    ????????????????????(????)???????

12
2 ?????????
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  • ??????????????????????????????,???????????????,???
    ??,?????????????????????????????????????,?????????
    ?,???????????????,??????????????????????,?????????
    ?????????????

13
3 ?????????
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  • ???????????????????????,??????????????,????????,??
    ????????,?????????,???????????,????????????

14
3 ?????????
  • ??????(??????)
  • ?????????????,???????????,???????????,????????????
    ??,????????????,??????????????
  • ??????(??????)
  • ?????????????????????,????????????,???????????????
    ???,??????????????????,??????????

15
3 ?????????
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  • ???????8?31????120?????,?????A?B
    ????,???????,?????????????,?????????

16
3 ?????????
  • ?????????

?? ???? ????
7?20? ??8?31????1,200,000??,????A?????B????? ?????? A??????25?? B??????15?? ????,????????30,000?? ??10?9?????MMI????,???478,????1,195,000?? (47825010??)
8?31? ??1,200,000??,A???????30??,B??????18??,???????????30000?,?????240,000?? ??10?9?????MMI????,???574,????1,435,000?????240,000???
?? ???? ????
17
3 ?????????
  • ?????????(??????)
  • ???????????,???????,??????????????????????????????
    ??,???????????????????????????,???????,???????????
    ???????????????

18
3 ?????????
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?? ???? ????
3?10? ????????,???100???,FT-SE100???1580 ??25?6?????FT-SE100??????,???160,?????100???
4?20? FT-SE100????1501????????????????95??? ??25?6?????FT-SE100??????,???152,?????95???
?? -5??? 5???
19
3 ?????????
  • ?????????(??????)
  • ??5?3?,A????????????25?????,????????????????20??
    ??,???500??????,???????????,????????,????????????.
    ?????????????,????????6?????sp500????????????????
    ???????????

20
3 ?????????
  • ?????????

?? ???? ????
5?3? SP???456,A????????????20??,??25??,????500??? ??22?6?????SP??????,???458,?????503.8???
5?10? SP????442,A??????20??,??24.25????????485??? ??22?6?????SP??????,???443,?????487.3???
?? -15??? 16.5???
21
3 ?????????
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  • ???????????,????????????????(??????)???????

22
3 ?????????
  • ß??
  • ??????????(?????)????????????????????,?????????1.5
    ,??????????10,??????????15????,?????(???????)??
    ?????1,???????(???????)??????????????,??,?????(???
    ????)???????1,???????(???????)???????????????

23
3 ?????????
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    ???????????????,?????ß???????
  • ???????????????????,?????????????????????,????????
    ??????(???????)??????

24
3 ?????????
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?? ???? ????
3.10 ??225???36,000,????????50???,???? ??164?6???????225??????,??36500,????59.9???
4.10 ??225????34500,???4.17,?????????47.5???,???5( ß?1.2) ??164?6???????225??????,???35,000,????57.4???
?? -2.5??? 2.5???
25
3 ?????????
  • ?
  • ????????,???????ß??,???????????????????????,??????
    ??????137?,???????36,500??35,000?,?????????2.05???
    ???,???????????????
  • ???????????,????????????????ß??,???????????,??????
    ??????????

26
4 ???????
  • ??????????
  • ?????????????F0S0erT
  • ??????????D ,????????(??)?????? F0 (S0 -D)erT
  • ??????????????,???????(??????????)

27
4 ???????
  • ??
  • ????7.6???9.20????76
  • ?????????????
  • ?????1.80????10
  • ??A????? 115?????1.50(7.23)??????59
    rA0.10(59/360)0.0164

28
4 ???????
  • ??
  • ??B????? 84?????1 (8.12)??????39
    rB0.10(39/360)0.0108
  • ????19976/360104.20
  • ???? A1.501.01641.52
  • B
    1.001.01081.01
  • ????1994.20-1.52-1.01200.67
  • ?????200.67/1.8111.48

29
??????(????115.00gt111.48)
?? ?? ??
7.6 ??199,76?,??10,??(AB) (????203.20) ????9???????,115.00
7.23 ???A??1.50,?10??59? (?????1.52)
8.12 B??1.00,?10??39?(????1.01)
9.20 ?????110.56 ????1.521.01 ??A??B????1992.53201.53 ??203.20-201.531.67 ?????110.56 ??115.00-110.564.44???? ??1.84.447.99
?? ???7.99-1.676.32 ???7.99-1.676.32
30
??????(????105.00lt111.48)
?? ?? ?? ??
7.6 ????(AB),?199?,??199,76?,??10 ????(AB),?199?,??199,76?,??10 ????9???????,105.00
7.23 ??1.50,59?,?? 10,???? 1.50(A) ???? 2.53?
7.23 ??1.50,59?,?? 10,???? 1.50(A) ???? 2.53?
8.12 ??1.00?,39?,?? 10,??1.00??(B) ???? 2.53?
9.20 ???????????,?????110.56 (1)????199(11076/360)203.20 (2)????-2.53 (3)????A,115??B,84??????199?? ??203.20-2.53-1991.67 ???????????,?????110.56 (1)????199(11076/360)203.20 (2)????-2.53 (3)????A,115??B,84??????199?? ??203.20-2.53-1991.67 ?????110.56 ?? 110.56-105.005.56????,?1.85.5610.01
?? ???10.01 1.6711.68 ???10.01 1.6711.68
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