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1、Chapter14:AdvancedDerivativesandStrategiesWelookateverything.Wedon’tgetscaredbecauseofthecomplexityinvolved.Butweexamineittodeath.ArvindSodhani,treasury,IntelBusinessWeek,October21,1994,p.95D.M.ChanceCh.14:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter14Thec
2、onceptofportfolioinsuranceanditsexecutionusingputs,calls,futuresandt-billsNewandadvancedderivativesandstrategiessuchasequityforwards,warrants,equity-linkeddebt,structurednotes,andmortgagesecuritiesExoticoptionssuchasdigitaloptions,chooseroptions,Asianoptions,lookbackoptions,andbarrieroptio
3、nsDerivativesonelectricityandweatherD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.AdvancedEquityDerivativesandStrategiesPortfolioInsuranceWecaninsureaportfoliobyholdingoneputforeachshareofstock.ForaportfolioworthV,weshouldholdN=V/(S0+P)putsandsharesThiswillestablishaminimum
4、ofVmin=XV/(S0+P)whereXistheexercisepriceExample:OnSept.26,marketindexis445.75andDec485putis$38.57.ExpirationisDec.19.Risk-freerateis2.99%continuouslycompounded.Volatilityis.155.D.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.AdvancedEquityDerivativesandStrategies(continued)Po
5、rtfolioInsurance(continued)Wehold100,000unitsoftheindexportfolioforV=$44,575,000.WehaveVmin=(485)(44,575,000)/(445.75+38.57)=44,637,585N=44,575,000/(445.75+38.57)=92,036Thisguaranteesaminimumreturnof1.0014(365/84)-1=.0061peryear,whichmustbebelowtherisk-freerate.D.M.Chance4AnIntroductiontoD
6、erivativesandRiskManagement,6thed.AdvancedEquityDerivativesandStrategies(continued)PortfolioInsurance(continued)OutcomesIndexis510atexpiration92,036sharesworth510=$46,938,36092,036putsworth$0=$0Totalvalue=$46,938,360(>Vmin)Indexis450atexpirationSellstockbyexercisingputssoyouhave92,036(485)
7、=$44,637,460(»Vmin)D.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.AdvancedEquityDerivativesandStrategies(continued)PortfolioInsurance(continued)SeeFigure14.1,p.503.Ifcallsandt-billsused,NB=Vmin/BT(numberofbills)NC=V/(S0+P)(numberofcalls)SoNB=44,
