Trading and investing in bond options: risk management, arbitrage, and value investing
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
Wiley
1991
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | XVIII, 262 S. graph. Darst. |
| ISBN: | 047152560X |
Internformat
MARC
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| 100 | 1 | |a Wong, M. A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Trading and investing in bond options |b risk management, arbitrage, and value investing |c M. Anthony Wong in collab. with Robert High |
| 264 | 1 | |a New York u.a. |b Wiley |c 1991 | |
| 300 | |a XVIII, 262 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturangaben | ||
| 650 | 7 | |a Financas |2 larpcal | |
| 650 | 4 | |a Bonds | |
| 650 | 4 | |a Government securities | |
| 650 | 4 | |a Options (Finance) | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of Tables and Figures xvii
1 Introduction to Options 1
What Are Options?, 1
Why Is an Options Market Necessary?, 11
2 The Bond Option Market 19
U.S. Treasury Securities: The Primary Market, 19
Role of a Primary Dealer in The Secondary Market, 27
The U.S. Debt Futures Market, 31
The U.S. Debt Options Market, 44
The Japanese Government Bond Market: An Overview, 47
3 Pricing Models for Bond Options 58
Introduction to Option Pricing, 58
Common Closed Form Option Pricing Models, 62
Lattice Based (Binomial) Option Pricing Models, 70
4 Advanced Pricing Models for Bond Options 86
Need for More Sophisticated Bond Options Pricing Models, 86
Term Structure Based Option Pricing Models, 90
•••
XIII
List of Tables and Figures
TABLES
2.1 Issues Deliverable against September 1988, Bond Future Contract 38
22 UST 12% Issue of August 15, 2013, Versus September T Bond Future 40
3.1 Put Call Parity 60
51 Normal Price Versus Black Scholes 121
5.2 Black Scholes Versus Lognormal Yield 123
5.3 Bond Price Variability Date 125
5.4 Bond Price Volatility Calculations 126
5.5 Implied Volatilities: Black Scholes Versus Lognormal Yield 129
6 1 Price Information for Examples 6.1 and 6.2 142
6 2 Cash and Options Positions on UST 7.25% Bond of May 15, 2016 153
63 Prices and Deltas of 30 Day Call and 30 Day Put 154
6 4 December 12, 1988, Market Data for Examples 6.3 6.6 156
6 5 A Spread Trade 168
71 UST 9.00% Issue of November 15, 2018, Holdings 184
7.2 UST 7.25% Issue of May 15, 2016, Holdings 184
81 December 12, 1988 Date on March 1989, T Bond Contract 200
82 Structure of Puts Implied Volatilities across Strike Prices 204
83 A Snapshot of March 1989, T Bond Options Prices on December 13, 1988 204
84 Hedged Position in March T Bond Puts 206
91 Scenarios for Calendar Volatility Spread on December 19, 1988 218
»1.1 Dynamically Hedged Position (12% Volatility, 7.5% Short Rate) 239
•1 2 Dynamic Hedging with Short Dated Option Positions 241
1 • 3 Dynamically Hedged Position (12% Volatility, 7.5% Short Rate) with Sharper
Bond Price Fall 241
xvii
xviii LIST OF TABLES AND FIGURES
11.4 Dynamic Hedging with Short Dated Option Positions during Sharper Bond Price
Fall 242
FIGURES
1.1 Call option payoff function 3
1.2 Written call option payoff function 4
1.3 Put option payoff function 5
1.4 Written put option payoff function 6
1.5 Time decay in option value. A: 60 day option; B: 30 day option; C: at
expiration 7
1.6 Probability distribution for bond prices at option expiration 8
1.7 Probability distribution for bond prices at option expiration, with doubled
volatility 9
2.1 Yield curve for April 20, 1988 25
2.2 Yield curve for April 20, 1989 26
3.1 Bond price lattice 76
3.2 Call option price lattice 77
3.3 Hedge ratio lattice 77
3.4 Lattice of interest rates 80
3.5 Lattice of bond prices 80
3.6 Lattice of call option prices 82
4.1 Lattice of discount functions 91
4.2 Lattice of short rates (ZCB, = 96.15; ZCB2 = 92.86) 99
4.3 Lattice of short rates after adding drift term at level 1 100
5.1 Change in option price for 0.05% change in volatility as a function of bond
price 129
6.1 Call price as a function of bond price (60 day call option struck at 100) 147
6.2 Call delta as a function of bond price (60 day call option struck at 100) 147
6.3 Call gamma as a function of bond price (60 day call option struck at 100) 148
6.4 Call price as a function of time to expiration (at the money call option struck at
100) 149
6.5 Call theta as a function of time to expiration (at the money call option struck at
100) 150
6.6 Call price as a function of volatility (30 day at the money call option struck at
100) 151
6.7 Prices of 30 day options on UST 7.25% issue of May 15, 2016 154
6.8 Deltas of 30 day options on UST 7.25% issue of May 15, 2016 155
11.1 A put protected portfolio 234
11.2 Convexity of option price as time to expiration decreases 237
11.3 Delta hedging as tangent line (slope = delta) 238
|
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| id | DE-604.BV005466830 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:30:04Z |
| institution | BVB |
| isbn | 047152560X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003422424 |
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| physical | XVIII, 262 S. graph. Darst. |
| publishDate | 1991 |
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| publisher | Wiley |
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| spelling | Wong, M. A. Verfasser aut Trading and investing in bond options risk management, arbitrage, and value investing M. Anthony Wong in collab. with Robert High New York u.a. Wiley 1991 XVIII, 262 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturangaben Financas larpcal Bonds Government securities Options (Finance) Optionshandel (DE-588)4126185-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Optionshandel (DE-588)4126185-9 s Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 High, Robert Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003422424&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wong, M. A. High, Robert Trading and investing in bond options risk management, arbitrage, and value investing Financas larpcal Bonds Government securities Options (Finance) Optionshandel (DE-588)4126185-9 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4126185-9 (DE-588)4121262-9 |
| title | Trading and investing in bond options risk management, arbitrage, and value investing |
| title_auth | Trading and investing in bond options risk management, arbitrage, and value investing |
| title_exact_search | Trading and investing in bond options risk management, arbitrage, and value investing |
| title_full | Trading and investing in bond options risk management, arbitrage, and value investing M. Anthony Wong in collab. with Robert High |
| title_fullStr | Trading and investing in bond options risk management, arbitrage, and value investing M. Anthony Wong in collab. with Robert High |
| title_full_unstemmed | Trading and investing in bond options risk management, arbitrage, and value investing M. Anthony Wong in collab. with Robert High |
| title_short | Trading and investing in bond options |
| title_sort | trading and investing in bond options risk management arbitrage and value investing |
| title_sub | risk management, arbitrage, and value investing |
| topic | Financas larpcal Bonds Government securities Options (Finance) Optionshandel (DE-588)4126185-9 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Financas Bonds Government securities Options (Finance) Optionshandel Festverzinsliches Wertpapier |
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