Futures)

100

1 10

1 1000

18

9:45~ 3:10
4%

5% API 34
45

commodity futures,
financial futures,

1972

1972 CME
1975 10 CBT

1982


(Option)

(Call Option) (Put

Option)


CBOE
PHLX AMEX PSE
NYSE
PHLX
CBOE S&P100 S&P500
S&P100 S&P500
100
S&P100
280 292

292280 *100=1200USD



CBOT


exercise or strike price

$2.5(S<$25);$5($25<S<$200);
$10(S>$200)
premium


maturity date
.
10:59
1 2 3
1 4 7 10 2 5 8 11
3 6 9 12

-C
R=S-K,K>S
R=0, K<S

C
K

K-P

-P
R=K-S,S<K
R=0, S>K

P
K
-(K-P)


(American option)

American call American put

(European option)
European call
European put


K S

P=SKS>K
0,
S<K
P Max(S K 0)
K S

P=0
S>K
K S, S < K
P Max(K S 0)


(in-the-money) 0
Call S>K
Put S>K
(at-the-money) 0
Call Put S K
(out-of-the-money)
0 Call S<K
Put S<K


OTC

OTC

CBOE PHLX AMEX

PSE NYSE

IBM
72 7/8
72 7/8
72 7/8
72 7/8

45
1
13
27 3/4 845
1/16
55
1
162
18 1/4 35
1/16
65
12
10
8 3/8 60
1/4
65
1
4
9
159
9/16
65
4
5
10
484 17/16

100 100

10:59



1 2 3
1 1 4 7 10
2 2 5 8 11
3 3 6 9 12

IBM
1 1
1 2 4 7 1
2 3 4 7


2.5
5 10
25 2.5
25 200 5
200 10

OCC OCC


(Market Maker)

OCC
OCC
OCC

30%

30%



4 $5
$40 $42
$42*400*30%=$5040
$2 $2*400=$800
$5*400=$2000

$5040+$800-$2000=$3840
$2

$5040-$800-$2000=$2240


Option Clear Corporation OCC
OCC

OCC OCC
OCC
OCC
OCC

OCC

Call Put Call Put

+
+

+
+

+
+

+
+
+
+
+
+
+
+

0
0

Call Put
4
3

C K (1 rf ) t S P

C P
S K

rf

put-call parity 3
4 3

Sell Call: C
Buy Put: -P
Buy share: -S
Borrow:
Total:

S<K
S>K
0
K S
S

K/(1+r)t

K
0

K S
0
S
K
0

P C K (1 rf ) S

D
A

D
A
D
D

D
D

S 38 K 40
C 4 t 3
400
40 400 40
44

48 400
400
10.5 10 105
41
31.5



(protective put)
(covered
call)



Straddle

Spreads
2

a)
b)


a 6
125USD
6 4
6 50
50USD 50 200USD
50USD

125USD 75USD
S=50USD
S=200USD
Call value
0
75USD


200
100

75
C

50


b 1
48.08USD 6

S=50
S=81.25
1
50
200
-50
-50

0
150


b 2
2

2C 1 48.08
100 48.08
=51.92
C 25.96
25.96 1
2 48.08USD
25.96


1
2

50
200
2 Call
0
150

50
50

50/1.04 48.08
48.08=100 2C
C (100 48.08)/2=51.92/2=25.96


1 2 , :

75 0
1

200 50 2

C C

S S

S
SH
S0
SL
0 1
1

S0 [WHSH+(1-W
f)
S (1 rH)S
) L]/(1+r
S

WH

SH SL

CH CL 0 C0

C0 [WHCH+(1-WH)CL]/(1+rf)


S0 70 SH 100 SL 50
rf 4
CH 25
CL 0
75
70(1.04) 50

WH

100 50

0.456

C0 [0.456(25)+(1-0.456)
(0)]/1.04=10.96

70
10 1
72

84.70
77.00
70.00
69.30
69.30
63.00
56.70

12.70
C1H
C0

0.00
0.00
C1L
0.00


WHH WHL

WHH

77(1.01) 69.3

0.55
84.7 69.3

WHL

63(1.01) 56.7

0.55
69.3 56.7

C1H=[(0.55)(12.7)+(0.45)(0.00)]/1.01=6.86
C!L=[(0.55)(0.00)+(0.45)(0.00)]/1.01=0.00
WH WHH WHL
C0 [(0.55)C1H+(0.45)C1L]/1.01
=[(0.55)(6.86)+(0.45)(0.00)]/1.01=3.74

Black Scholes
C SN ( d1 ) Ke

rT

N (d 2 )

2
ln(
S
/
K
)

(
r

/
2
)
T
d1
T

d 2 d1 T

C S
K T
r

Black Scholes

( Brealey&Myers
6 7)

Black Scholes

2
3 Brealey & Myers 6


(warrants)


UG 200

N 100 P 12
10
0.10
Nq=10 K 10
4 0.40,
150
200 150 50
50 /10 5


UG

1600

400
1200

1600

1600
UG

1600

200

1800

400
150
550
50
1200
1250
1800

0.402 0.80
P/(K )=12/[10/(1.1)exp(4)]=1.75
Brealey & Myers 6
/ = C/P =0.511

C=0.511*12=6.13

1
VW ( P0 K )
N
P0 K
Vw N

Vw=Max{((1/N)P0-K 0}



N
M q
X
V0

V0 MqX
P1
N Mq


= q(P1-X)= q (V0 MqX X )

N Mq

Nq
V0
( X)
N Mq N

1992
5000 3%/ 3

1993 6 1
25 200