Options explained:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke
Macmillan u.a.
1991
|
| Edition: | 1. publ. |
| Series: | Finance and capital markets
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 301 S. graph. Darst. |
| ISBN: | 0333569113 1561590436 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Dedication viii
Preface ix
1 The Basics of Options 1
Introduction 1
Why options exist 2
The two kinds of options 3
Definitions 4
Disposition of options contracts 5
Exercise and assignment of options 7
Why options are tied to the underlying market 9
Profit/loss profiles 10
Options as the good and bad features of the underlying 11
Splitting a short underlying position into good and bad parts 14
Summary 16
2 Basic Concepts in Options Pricing 17
In the money 17
At the money 18
Out of the money 18
The fundamental components of an options price 19
3 Advanced Concepts in Options Pricing 41
The role option pricing models play in option evaluation 41
Option derivatives compared to aeroplane gauges 43
The delta concept 43
The concept of gamma 51
The measure of volatility exposure the vega 52
The exposure of the option to time decay the theta 54
The sensitivity of options to interest rates the rho 55
The appropriate pricing models for options on foreign exchange 55
Put call parity: the fundamental arbitrage relationship 63
v
4 Directional Trading Strategies 74
Possible viewpoints for the underlying market and volatility 75
Three ways to benefit from an increase in the underlying market 76
Three ways to benefit from a decrease in the underlying market 82
Vertical spreads 86
Directional trading strategies placement in the strategy matrix 91
5 Volatility Trading Strategies 93
How to make money from a change in volatility 94
The pure buying volatility strategies 97
Leaning volatility buying strategies: ratio back spreads 101
The pure selling volatility strategies 106
Leaning volatility selling strategies: the ratio spreads 117
The difference between trading futures and options 122
6 Option Arbitrage 123
The types of arbitrage strategies 124
Calendar spreads 124
Delta neutral trading 128
Pure arbitrage strategies 134
The conversion arbitrage strategy 138
The reversal arbitrage strategy 140
The box arbitrage strategy 142
Where the arbitrage strategies fit into the strategy matrix 145
7 Option Hedging Strategies 147
Basic considerations in designing a hedging strategy 148
Market conditions: 14 June 1991 149
The relationship between US Treasury Bonds and T bond futures 149
Hedging example 1: buying T bond futures versus buying call options
to hedge a US Treasury Bond purchase 153
Hedging example 2: buying a put option on T bond futures to protect
the value of a US Treasury Bond 162
Hedging example 3: selling call options on T bond futures against a
US Treasury Bond to reduce risk and enhance yields 166
Hedging example 4: selling put options in anticipation of the purchase
of a US Treasury Bond 170
Summary 172
8 Option Portfolio Applications 174
Basics of stock indices 174
Stock index futures contracts 176
Portfolio insurance 186
Basic concepts in portfolio theory 187
9 Risk Management of Options 201
A brief history of options markets 201
Why options markets have grown exponentially since the 1970s 201
An option risk analysis computer program 202
Graphing the risks of the option portfolio 212
Applications of computer risk analysis programs for the management
of live cattle option portfolios by market makers 215
How to reduce the risk of the live cattle option portfolio 215
10 OTC Interest Rate Options 218
OTC options on bonds 218
Down and out calls and up and out puts 220
Why clients and banks deal in OTC bond options 221
Examples of applications for OTC bond options 221
Pricing of OTC bond options 222
Interest rate guarantee agreements 225
Interest rate ceiling, floor and collar agreements 227
Hedging a ceiling rate agreement with Eurodollar futures and options 231
Options on cap rate agreements captions and floptions 234
Options on interest rate swaps 237
Exotic options average rate and min/max options 244
Maximum/minimum options the lookback options 245
Conclusion 248
11 Structure of Exchange traded Options Markets 251
The clearing house and its role 251
Structure of different option markets worldwide 255
12 Accounting, Regulation and Taxation Issues for Options 272
Regulations: a global survey 272
Appendix 288
Worldwide exchanges trading options contracts 288
Index 298
|
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| id | DE-604.BV005902197 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:36:35Z |
| institution | BVB |
| isbn | 0333569113 1561590436 |
| language | English |
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| physical | XII, 301 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Macmillan u.a. |
| record_format | marc |
| series2 | Finance and capital markets |
| spelling | Tompkins, Robert Verfasser aut Options explained Robert Tompkins 1. publ. Basingstoke Macmillan u.a. 1991 XII, 301 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003695872&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tompkins, Robert Options explained Optionsgeschäft (DE-588)4043670-6 gnd |
| subject_GND | (DE-588)4043670-6 |
| title | Options explained |
| title_auth | Options explained |
| title_exact_search | Options explained |
| title_full | Options explained Robert Tompkins |
| title_fullStr | Options explained Robert Tompkins |
| title_full_unstemmed | Options explained Robert Tompkins |
| title_short | Options explained |
| title_sort | options explained |
| topic | Optionsgeschäft (DE-588)4043670-6 gnd |
| topic_facet | Optionsgeschäft |
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