Options, futures

: :971405005 971405023 971405025

?1. ()()()()

2.

KY20120702 57 20111226 20120103 2012628 201272 1.08 15000 19.35 10.607

1.2.3.

vs

KY

125.2912.50.30125001200012.50.3700.07023%

=+201

Market price313

(S)(X)(T) (r)()

= ( ) / (12.5-13.53)/13.53=-0.0761

1.12 2. 3.--

1. 2. 3.

B-SKY12.513.531.355%0.357

S012.5K13.53R0.013550.302898T0.156164

B-Sd1=

B-S

B-S

B-SX0.2436D1-0.58391EXCELD1D20.2436ANS:0.302

Theta

DELTA(HEDGING)EXCELDELTA=NORMSDIST(-0.58391)=DELTA0.27964

DELTA(HEDGING) C0C1C2Delta0.2796

DAYSS/S-1Ui=ln(S/S-1)DAYSS/S-1Ui=ln(S/S-1)4211.9541911.451.0223 0.0221 4311.750.9833 -0.0169 42011.20.9782 -0.0221 4511.150.9489 -0.0524 42311.351.0134 0.0133 4611.71.0493 0.0481 42411.150.9824 -0.0178 4911.450.9786 -0.0216 42511.351.0179 0.0178 41011.551.0087 0.0087 42611.150.9824 -0.0178 41111.40.9870 -0.0131 42711.151.0000 0.0000 41211.51.0088 0.0087 43011.351.0179 0.0178 41311.71.0174 0.0172 5211.951.0529 0.0515 41611.50.9829 -0.0172 5311.951.0000 0.0000 41711.20.9739 -0.0264 5412.51.0460 0.0450 41811.21.0000 0.0000 5712.551.0040 0.0040 STDEV=0.025619

GAMMA

1.1.2.

:1002KY

1101000001100001000010%400001100001000025%1KY20003260126063%10KY20000326001260063%

2.

10KY112.66013.2B0.2112.292,6001,050 (=0.21*5*1000)5B

1.1,550(=2600-1050)2.B3.

3.:18117.15KY11.

THE END

:: :::*=1=Delta *1.S=(call)(put)2.X=(call)(put)3. =(in-the-money)4.T=5.R=*delta=0.2796110.2796**