Nhóm 3.1_CHiến Lược Phòng Ngừa Rủi Ro Bằng Quyền Chọn

8/10/2019 Nhm 3.1_CHin Lc Phng Nga Ri Ro Bng Quyn Chn

1/106

Chng6Chinlcphng ngariro

bngquynchn

Nhm 3.1


2/106

Danh sch thnh vin trong nhm

1.TrnAnh Th

2.Phan Hon Thin3.NguynThLm Tuyn

4.NguynHong Yn

5.onThHuynTrang


3/106

nhgi quynchn


4/106

Mctiu cam hnh ny l xy dngmtcng thctnhton gitrlthuytcaquynchn, binsC.

Gi thctCVS

nhgi cao nhgi thp Hpl

Gi trl thuytcaC

nhgi quynchn


5/106

M hnh nhphn

Nhphn mtthik

Nhphn haithik

Nhphn athik

r1

C)p1(pCC du

2

d

2

udu

2

)r1(

C)p1(C)p1(p2CpC

22

0

!! 1 Max 0,

! !

1

nn j j n j

j

n

np p Su d X

j n jC

r


6/106

M hnh nhphn mtthik

Cu= Max[0, SuX]

Cd= Max[0, SdX]

Ginhrng:Sd < X < Su


7/106

Cng thctm C cpht trinbngcch xy dngmtdanhmcphi riro cacphiuv quynchn.

gmhc

phiu

vthbnquynchn

mua.

M hnh nhphn mtthik

Danh mccphng nga

riro (hedgeportfolio)

V = hSCGi trhinti:


8/106

M hnh nhphn mtthik

Tingy ohn:

Vu= hSuCu

Vd

= hSdCd

Nu kt qu ca danh mc l khng ibt chp gi cphiubinngnhthno th danh mccgil phiriro. Khi : Vu = Vd. T ta tnh c tsphng

ngah :

SdSu

CCh du


9/106

M hnh nhphn mtthik

Mtkhonutphi rirosthu ctsutsinh libngvi li sutphi riro. Do , gi trdanh mcban utingy quynchnohnl :

V(1 + r)= (hSC)(1+r)

Ta c :V(1 + r) = Vu = Vd= hSuCuThay thista ccng thcnhgi quynchn:

r1

C)p1(pCC du

Trong

du

dr1p


10/106

Nhngbinstc ngngi quynchnmua l:

Gicphiuthiimhinti: S

Githchin: X

Li sutphi riro: r

Hai tham su v d, gii thch cho cc khnngvgi trong tnglai cacphiutingy ohnca

quynchn.

Tisao khng cyutthigian ohn?

M hnh nhphn mtthik


11/106

V dminh ha

Xem xt mtcphiuhintiangc gi l $100.Mtksau n c thtngln $125, mtsgia tng25%hocgim

xung $80, mt s st gim 20%. Gi s mt quyn chnmua vigi thchinl $100. Li sutphi riro l 7%.

Su = S.u = 100*1.25=125

Sd = S.d = 100*0.8=80

Ta c:

Cu= Max [0, 125100]=25Cd= Max [0, 80 - 100]=0

d=0.8, u=1.25, r=0.07, S=100

M hnh nhphn mtthik


12/106

6,080,025,1

80,007,1

du

dr1

p

02,1407,1

0)4,0(25)6,0(C

Do , gi trl thuytcaquynchnmua ny l $14,02.

25 0 0,556125 80

h

-Gi556 cphiu- Bn 1000 quynchnmua

M hnh nhphn mtthik


13/106

M hnh nhphn hai thik


14/106

2 uduu

pC (1 p)CC

1 r

r1

C)p1(pCC

2dud

d

Sdngm hnh nhphn mtthik, gi quynchnCuv Cd

r1

C)p1(pCC du

2

d

2

udu

2

)r1(

C)p1(C)p1(p2CpC

22



15/106

Chng ta cnphi iu chnh t s phng nga. Nugi cphiu l Su th chng ta gi t s phng ngamil hu; nugi cphiul Sd th tsny sl hd.

SdSu

CCh du

SudSu

CC

h 2udu

u

2

2

dud

d

SdSdu

CCh

2



16/106

Chng ta mrngv d trn trong trnghpquynchncnhiulctrong 2 thikna.

Xem xt mtcphiuhintiangc gi l $100. Mtksau

n c thtngln $125, mtsgia tng25%hocgimxung$80, mtsstgim20%. Gismtquynchnmua vigithchinl $100. Li sutphi riro l 7%.

V dminh ha

Ta c: d=0.8, u=1.25, r=0.07,S=100

Su2 = 100(1,25)2=156,25

Sud = 100(1,25)(0,80)=100

Sd2 = 100(0,80)2=64



17/106

2u

C

2d

C

= Max(0; 156,25100) = 56,25

Cud = Max(0, 100100) = 0

= Max(0, 64100) = 0

54,3107,1

0)4,0(25,56)6,0(C

u

00,007,1

0)4,0(0)6,0(C

d

69,1707,1

0)4,0(54,31)6,0(C

> 14,02

Trchtchng ta tnh gi trcaCu v Cd:


18/106

Mrngh hnh nhphn ra n thik

Khi tng s thi k trong i sng ca mt

quyn chn th gi tr ca n shitv mtcon s.

Gitrcaquynchnkhi n tintiv ccscmttn girtcbit,cgil gitrBLACK- SCHOLE

Mrngm hnh nhphn

0

!! 1 Max 0,

! !

1

nn j j n j

j

n

np p Su d X

j n jC

r


19/106


20/106

M hnh nhgi quynchnnhphn hitvo mtgi tr

cthtrong giihn.

M hnhnhphncgi

l mhnh thigian ri

rc

Giihncam hnh nhphn


21/106

Gi cphiubinngngunhin v pht trintheo phnphilogarit chun.

Li sutphi riro v btncatsutsinhlitheo logarit cacphiukhng thay itrongsutthigian ohncaquynchn.

Khng c thuv chi ph giao dch.

Cphiukhng trctc.

Cc quynchnl kiuChu u.

Cc ginhcam hnh Black-Schole


22/106

Cng thc

N(d1), N(d2) = xc sutphnphichuntch ly

= btnhng nm(lchchun) catsutsinh lighp li lin tc(logarit) ca

cphiu

rc = li sutphi riro ghp li lin tc

T

/2)T(r/X)ln(S 2

c0

Td1

d1=

d2=

Trong :

)N(dXe)N(dS 2Tr

10c

C =


23/106


24/106

Ta c:

2

1

ln(125.9375 / 125) (0.0446 0.83 / 2)0.09590.1742

0.83 / 0.0959d

2 0.1742 0.83 0.0959 0.0828d

N(d1)=0.5675 N(d2)=0.4681

0.0446(0.0959)c=125,9375(0,5675) 125 (0,4681) 13.21e


25/106

Chng6Chinlcphng ngariro

bngquynchn

Nhm 3.1


26/106

1.nhgi quynchn

2.Chinlcphng ngariro bngquynchn

Giithiumtvi thutngv ginhGiao dchquynchnmua

Giao dchquynchnbn

Giao dchcphiu Cc chinlcquynchnv cphiu


27/106

Mtsk hiu

C gi quynchnmua hinti

P gi quynchnbn hinti

S0 gi cphiuhintiT thigian nkhi ohn(nm)

X gi thchin

ST gi cphiukhi ohnquynchn linhuncachinlc


28/106

Mtsk hiu

NC squynchnmuaNP squynchnbn

NS scphiu

Qui c ( + ) l vthmua

() l vthbn

VD: NC> 0 nh utangmua quynchnmua


29/106

Thutng

Linhuncaquynchnmua khi ohn

Linhuncaquynchnmua timtthiimtrckhi ohn

Cphiukhng trctc

Khng c thuv chi ph giao dch

NC [Max(0, STX)C] =

NC

[C(ST1

, T T1

, X)C] =


30/106

Cc ginh

Cphiukhng trctc Khng c thuv chi ph giao dch


31/106

Giao dchquynchnmua

Linhun

Mua quynchnmua Bn quynchnmua

= NC [Max(0,STX)C]

NC> 0

Xt NC = 1

= NC [Max(0,STX)C]

NC< 0

Xt NC = -1

= STX C , ST> X

= C , ST X

= ST+ X + C , ST> X

= C , ST X


32/106

Tnh cht


ucgi ln ucgixung

Gi cphiukhi ohn

Linhun

Gi cphiukhi ohn

Linhun


33/106

Mua quynchnmua

= STX C , ST> X

= C , ST X

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.5001.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhuntia= Khng xc nh

Lgiihn

imha vnti140Linhun

Gi c phiu khi o hn


34/106

= ST+ X + C , ST> X

= C , ST

X

75 85 95 105 115 125 135 145 155 165 175

2.000

1.500

1.000

500

0

(500)(1.000)

(1.500)

(2.000)

(2.500)

(3.000)

(3.500)

(4.000)

Ltia= Khng xc nh

Linhungiihn

im ha vn

Linhun

Gi cphiukhi ohn

Bn quynchnmua


35/106

Lachngithchin


Linhun

Gi cphiukhi ohn Gi cphiukhi ohn

Linhun


36/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.0002.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhu

n

Gi c phiu khi o hn

120130

140

Mua quynchnmua


37/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhun

Gi c phiu khi o hn

120

130

140

Gi thchinXGi cphiu

gimimha vn

Linhunkhigi tng

Cao Lt hn Cao hn Lit hn

Thp Lnhiuhn Thphn Linhiuhn

Mua quynchnmua


38/106


39/106

75 85 95 105 115 125 135 145 155 165 175

Linhun

Gi c phiu khi o hn

120

130

140

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

(2.500)

(3.000)

(3.500)

(4.000)

Bn quynchnmua

Gi thchinX Gi cphiutng

imha vn Linhunkhigi gim

Cao Lt hn Cao hn Lit hn

Thp Lnhiuhn Thphn Linhiuhn


40/106

Lachnthigian shu


Linhun

Gi cphiukhi ohn

Linhun

Gi cphiukhi ohn

M h


41/106

Mua quynchnmua

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhu

n

Gi c phiu khi o hn

T1

T

T2

Vimtmcgi cphiucho

trc, thigian shuvthcng lu, gitrthigian cng

mtdnv linhuncng thp.

M h


42/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhun

Gi c phiu khi o hn

T1

T

T2

Gi cphiu Thigian nmgivth

Gi trthigian

Linhun

Nhnhau Di Cng gim Lit hn

Nhnhau Ngn Cn cao Linhiuhn

Mua quynchnmua

B h


43/106

75 85 95 105 115 125 135 145 155 165 175

Linhun

Gi cphiukhi ohn

2.000

1.500

1.000500

0

(500)

(1.000)(1.500)

(2.000)

(2.500)

(3.000)(3.500)

(4.000)

T1

T

T2

Vigi cphiucho trc,vthc gicng lu, gitrthigian mticngnhiuv linhuncng cao.

Bn quynchnmua


44/106

Giao dchquynchnbn

Linhun

Mua quynchnbn Bn quynchnbn

= NP [Max(0, XST)P]

NP> 0

Xt NP = 1

= NP [Max(0, XST)P]

NP< 0

Xt NP = -1

= XSTP , ST> X

= P , ST X

= X + ST+ P , ST> X

= P , ST X


45/106

Tnh cht


ucgixung ucgi ln

Gi cphiukhi ohn

Linhun

Gi cphiukhi ohn

Linhun

M h b


46/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.0002.500

2.000

1.500

1.000500

0

(500)

(1.000)(1.500)

(2.000)

Linhuntia= Xc nhc

Lgiihn

imha vn

Linhun

Gi cphiukhi ohn

Mua quynchnbn= X STP , ST> X

= P , ST X

B h b


47/106

75 85 95 105 115 125 135 145 155 165 175

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

(2.500)

(3.000)

(3.500)

(4.000)

Ltia= Xc nhc

Linhungiihn

imha vn

Linhun

Gi c phiu khi o hn

Bn quynchnbn

= X + ST+ P , ST> X

= P , ST X


48/106

Lachngithchin


Linhun

Gi cphiukhi ohn

Linhun

Gi cphiukhi ohn

M a h b n


49/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhu

n

Gi c phiu khi o hn

130120

110

Gi thchinthphnlmcho linhunnhhnkhi gigimnhnglt hnkhi gitng

Mua quynchnbn

Mua quyn chn b n


50/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhun

Gi c phiu khi o hn

130120

110

Mua quynchnbn

Gi thchinX Gi cphiutng

imha vn Linhunkhigi gim

Cao Lnhiuhn Cao hn Linhiuhn

Thp Lt hn Thphn Lit hn

B n quyn chn b n


51/106

Gi thchincao hnlm cholinhuncao hnkhi gi tngv lnhiuhnkhi gi gim

75 85 95 105 115 125 135 145 155 165 175

Lin

hun

Gi cphiukhi ohn

130

120

110

2.000

1.500

1.000500

0

(500)

(1.000)(1.500)

(2.000)

(2.500)

(3.000)(3.500)

(4.000)

Bn quynchnbn

Bn quyn chn bn


52/106

75 85 95 105 115 125 135 145 155 165 175

Linhun

Gi cphiukhi ohn

130

120

110

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

(2.500)

(3.000)

(3.500)

(4.000)

Bn quynchnbn

Gi thchinX Gi cphiugim

imha vn Linhunkhigi tng

Cao Lnhiuhn Cao hn Linhiuhn

Thp Lt hn Thphn Lit hn


53/106

Lachnthigian shu


Linhun

Gi cphiukhi ohn

Linhun

Gi cphiukhi ohn


54/106

Mua quyn chn bn


55/106

75 85 95 105 115 125 135 145 155 165 175

3.500

3.000

2.500

2.000

1.500

1.000

500

0

(500)

(1.000)

(1.500)

(2.000)

Linhun

Gi c phiu khi o hn

T1

T T2

Mua quynchnbn

Gi cphiu Thigian nmgivth

Gi trthigian

Linhun

Nhnhau Di Cng gim Lit hn

Nhnhau Ngn Cn cao Linhiuhn

Bn quyn chn bn


56/106

75 85 95 105 115 125 135 145 155 165 175

L

i

nhun

Gi cphiukhi ohn

2.000

1.500

1.000500

0

(500)

(1.000)(1.500)

(2.000)

(2.500)

(3.000)(3.500)

(4.000)

T1

T T2

Vigi cphiucho trc,vthc gilu hn, gi

trthigian mticngnhiuv linhuncng cao.

Bn quynchnbn


57/106

Mua quynchnmua Mua quynchnbn-ucgi ln- Gi thchincao => phbra thp=>linhunthp

-ucgi xung- Gi thchincao => phbra cao => linhuncao

Bn quynchnmua Bn quynchnbn-ucgi xung- Gi thchincao => ph thu cthp=> linhunthp

-ucgi ln- Gi thchincao => ph thu ccao=> linhuncao

Giao dch c phiu


58/106

Giao dchcphiu

Mua cphiu Bn khngcphiu

= NS(STS0) , NS> 0 = NS(STS0) , NS< 0

Gi cphiuvo cui

thigian shu

Linhun

L

inhun

Gi cphiuvo cui

thigian shu


59/106

CHIN LC QUYN CHN V C PHIU

CHIN LC QUYN CHN V C


60/106

CHIN LC QUYN CHN V CPHIU

Quynchnmua t riro

Quynchnbnc phng nga

- Shucphiu- Bn 1 quynchn

mua

- Mua cphiu- Mua mtquynchn

bn cphiu

Q h i


61/106

Tc dng

Quynchnmua t riro

Khi thtrnggi xung

Khi thtrnggi ln

Khongldo gimgicphiuscgim

btbiph quynchn

Nh uthchphichuyngiao cphiu


62/106

QUYN CHN MUA T RI RO

Phngtrnh linhun:

= NS(STS0) + NC[Max(0, STX)C]

Shucphiu

Bn quyn

chnmua

ViNS>0NC


63/106

= STS0 Max(0, STX) + C

= STS0 + C , ST X= X S0 + C , ST> X

GinhNS=NC= 1

Phngtrnh linhun:

= NS(STS0) + NC[Max(0, STX)C]

QUYN CHN MUA T RI RO

X = 250 ; C = 27 ; S0= 251,875


64/106

; ; 0 ,

= 2.512,5

= 224,875

= 22.487,5

S0 =251,875Linhuntia= X S0+ C

150 170 190 210 230 250 270 290 310 330 350

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

(10.000)

L ti a =S0+ C

im ha vn = ST* = S0C

Linhun

Gi cphiukhi ohn

= STS0 + C , ST X

= X S0 + C , ST> X

Q h t i i h hi kh h


65/106

Quynchnmua t riro: githchinkhc nhau:

Linh

un

Gi c phiu khi o hn

260

250

240

Mtmcgi thchinthphntora mcbovkhi gi gimcaohnnhngilil linhunthp

hnkhi tnggi

230 240 250 260 270 280 290

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

(10.000)


66/106

Quynchnmua t riro

Lachngithchin

Gi thchin(X)

Ph quynchn

Khi gi

CP gimKhi gi CP tng

Cao Thp Mcbovthp Linhuncao hn

Thp CaoMcbovcao

Linhunthphn

Quyn chn mua t ri ro: thi gian s hu khc nhau


67/106

Lin

hun

Gi cphiuvo cuithigian shu

T1

T T2

Vi gi c phiu cho trc,v th c gi lu hn, gi tr

thi gian mt i cng nhiu vli nhun cng cao.

Quynchnmua t riro: thigian shukhc nhau

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

(10.000)

150 170 190 210 230 250 270 290 310 330 350


68/106

Quynchnmua t riro

Lachnthigian shu

Thigian

shu(T)

Thigian cnlinkhi

ohn

Ph khi mua

liQC muaLinhun

Ngn Di Cao Thp

Di Ngn Thp Cao


69/106

QUYN CHN BN C PHNG NGA

CHIN LC QUYN CHN V C


70/106

Q PHIU

Quynchnmua t riro

Quynchnbnc phng nga

- Shucphiu- Bn 1 quynchn

mua

- Mua cphiu- Mua mtquynchn

bn cphiu

Q h b h


71/106

Tc dng

Quynchnbn c phng nga

Khi thtrnggi xung

Khi thtrnggi ln

Tnthtcacphiusphnno cbpbivicthchinquynchn

Mclinhundo tnggibgimido chi

ph quynchntrtrc



72/106


Mua c

phiu

Mua quyn

chnbn

= NS(STS0) + NP[Max(0, X ST)P]

ViNS>0NP>0

NS=NP


73/106

Phngtrnh linhun:

= NS(STS0) + Np[Max(0, X ST)P]

= STS0+Max(0, X ST)P

= STS0P , ST X

= X S0 P , ST< X

ViNS= NP= 1

X = 250 ; C = 27 ; S = 251 875


74/106

Linhuntia=khng xc nh

Ltia= X S0- P

imha vn= P + S0

Linhun

Gi c phiu khi o hn

= 274,875

= 2.487,5

= STS0P , ST X

= X

S0P , ST< X

X = 250 ; C = 27 ; S0= 251,875

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

(10.000)

150 170 190 210 230 250 270 290 310 330 350



75/106

Q y p g ggithchinkhc nhau

Linhu

n

Gi cphiukhi ohn

240250

260

Gi thchincao hntora mcbovcao hnkhi gi gimnhngilillinhunthphnkhi gitng.

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

200 210 220 230 240 250 260 270 280 290 300


76/106


Lachngithchin

Gi thchin(X)

Ph quynchn

Khi gi CP

gimKhi gi CP tng

Cao CaoMcbov

caoLinhunthphn

Thp ThpMcbov

thp

Linhuncao hn

Quynchnbn c phng nga: thigian s


77/106

Linhun

Gi cphiuvo cuithigian shu

T1

T

T2

Vimtmcgi cphiucho

trc, thigian shuvthcnglu, gitrthigian cng mticng nhiuv linhuncng thp.Tuy nhin, ngoilc thxyrakhi cphiuthp

6.000

4.000

2.000

0

(2000)

(4.000)

(6.000)

(8.000)

150 170 190 210 230 250 270 290 310 330 350

hukhc nhau:

L h thi i h


78/106


Lachnthigian shu

Thigianshu

(T)

Thigian cnlinkhi

ohn

Ph khi

bn liQC bn

Linhun

Ngn Di CaoCao

Di Ngn Thp Thp


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Nhutc thsdngchinlc

quynchnmua t riro vquynchnbn c

phng ngagimriro.


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Butterfly spreads

Butterfly Spreads


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Nmgicc quynchncng loihockhc loiviba mc

gi thchinkhc nhau.

Cc kthpc thxyra:

Mua hai quynchnmua v bn hai quynchnmua

Mua hai quynchnbn v bn hai quynchnbn

Butterfly Spreads


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Nh ut- mua 1 quynchnmua vigi thchinX1

- mua 1 quynchnmua vimcgi thchinX3cao hnX1

- bn 2 quynchnmua vimcgi thchinX2

nmgiaX3v X1

X1 < X2 < X3

Sdngquynchnmua


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Sdngquynchnmua


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Mtnh uttora butterfly spread:NC = 1 vigi thchinl 55NC = 1 vigi thchinl 65NC = -2vigi thchinl 60

BitSo= 61, T = 0.5

Biulinhunrng

X X1X2

Gi thchin

Gi quynchn

55 10

60 7

65 5

Tngph:10 + 52x7= 1

S dng quyn chn mua


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Gi thchin

Gi quynchn

55 10

60 7

65 5

Payoff(X1=55)

Payoff(X3=65)

Payoff(X2=60)

Tngpayoff

ST 55(ST X1) 0 0 0 0

55


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X1+ X3= 2X2

Biulinhunrng

Sdngquynchnmua

Payoff

(X1=55)

Payoff

(X3=65)

Payoff

(X2=60)

Tngpayoff

ST X1 0 0 0 0

X1 < ST


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S b


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Sdngquynchnbn

thcvdatrn ginh:X1+ X3= 2X2

Biulinhunrng

X3X1 X2

Sdngquynchnbn


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Mtnh uttora butterfly spread:NP = 1 vigi thchinl 55NP = 1 vigi thchinl 65NP = -2vigi thchinl 60

BitSo= 61, T = 0.5

Gi thc

hinGi quyn

chn

55 5

60 7

65 10

Tngph:10 + 52x7 = 1

Biulinhunrng

X3X1 X2

S dng quyn chn bn


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Sdngquynchnbn

Payoff

(X1=55)

Payoff

(X3=65)

Payoff

(X2=60)

Tngpayoff

ST 55(ST X1)

55ST 65ST -2(60ST) 0

55 < ST < 60(X1 < ST < X2)

0 65ST -2(60ST) ST55

60 < ST < 65(X2 < ST < X3)

0 65ST 0 65ST

ST 65(ST X3)

0 0 0 0

Gi thc

hin

Gi quyn

chn

55 5

60 7

65 10

X3X1 X2

Butterfly spreads

S dng quyn chn bn


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Payoff

(X1=55)

Payoff

(X3=65)

Payoff

(X2=60)

Tngpayoff

ST

X1 X1ST X3ST -2(X2ST) 0

X1 < ST < X2 0 X3ST -2(X2ST) STX1

X2 < ST < X3 0 X3ST 0 X3ST

ST X3 0 0 0 0

X1+ X3= 2X2

Sdngquynchnbn

Biulinhunrng

X3X1 X2


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Butteffly Spread


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Nhnxt

Khonphbra ban ukhng ln, linhuntcgiihn,

riro cgiihn

iviquynchnkiuu, butterfly spreads chai chin

lcquynchnbn v mua gingnhau.

Thch hpvi:

Cc khonutnh

Nh utkhng chcchnvik vngcabnthn mnh

(vvictngmnhcagi)

Butteffly Spread


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Quynchnbn lai tp


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Quynchnbn lai tp?

ucgi xung

Bn khngcphiu Mua quynchnmua

Gimthiucriro ngk

ucgi lnP + S0= C + X(1+R)-T


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Xt v dsau:


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CphiuABC hintiangcgiao dchtrn sn vimcgi 130.Danh mchintigm: Bn khngcphiutimcgi hinti Mua quynchnmua: Gi thchin: X = 130 Gi quynchn: C = 10Gis-Ns=Nc=100

0

-1000

90 100 110 120 130 140 150 160 170 180 190

3000

Ltia= 100 x (130-130-10)

imha vn130 -10 =120


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102/106


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P(CS0) > X(1+R)-T


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(C S0) ( )

Quynchnbnbnhgi cao Bn quynchnbn thts

Quynchnbn lai tpbnhgi thpMua quynchnbn lai tp(mua quynchnmua v bn khngcphiu)

Chinlcchuyninghcho


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Documents

Nhóm 3.1_CHiến Lược Phòng Ngừa Rủi Ro Bằng Quyền Chọn