Options, futures, and other derivative securities:
Gespeichert in:
| Vorheriger Titel: | Hull. John C. Options, futures, and other derivatives |
|---|---|
| 1. Verfasser: | |
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Englewood Cliffs, New Jersey
Prentice Hall
1993
|
| Ausgabe: | second edition |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xix, 492 Seiten Diagramme |
| ISBN: | 0136390145 |
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Datensatz im Suchindex
| _version_ | 1804123162269450240 |
|---|---|
| adam_text | Titel: Options, futures, and other derivative securities
Autor: Hull, John
Jahr: 1993
Contents
PREFACE xvli
INTRODUCTION 1
1.1 Forward Contracts 2
1.2 Futures Contracts 3
1.3 Options 5
1.4 Other Derivative Securities 9
1.5 Types of Traders 12
1.6 Summary 14
Questions and Problems 15
vii
viii Contents
2 FUTURES MARKETS AND THE USE OF FUTURES
FOR HEDGING 18
2.1 Trading Futures Contracts 18
2.2 The Specification of the Futures Contract 19
2.3 The Operation of Margins 22
2.4 Newspaper Quotes 27
2.5 Convergence of Futures Price to Spot Price 32
2.6 Cash Settlement 33
2.7 Hedging Using Futures 33
2.8 Optimal Hedge Ratio 37
2.9 Rolling the Hedge Forward 39
2.10 Summary 40
Suggestions for Further Reading 42
Questions and Problems 42
3 FORWARD AND FUTURES PRICES 45
3.1 Some Preliminaries 46
3.2 Forward Contracts on a Security that Provides No
Income 51
3.3 Forward Contracts on a Security that Provides a
Known Cash Income 53
3.4 Forward Contracts on a Security that Provides a
Known Dividend Yield 54
3.5 A General Result 55
3.6 Forward Prices versus Futures Prices 56
3.7 Stock Index Futures 57
3.8 Forward and Futures Contracts on Currencies 63
3.9 Futures on Commodities 65
3.10 The Cost of Carry 69
3.11 Delivery Options 69
3.12 Futures Prices and the Expected Future Spot
Price 70
3.13 Summary 72
Suggestions for Further Reading 74
Contents ix
Questions and Problems 75
Appendix 3A: A Proof that Forward and Futures
Prices Are Equal When Interest Rates Are
Constant 78
4 INTEREST RATE FUTURES 80
4.1 Some Preliminaries 81
4.2 Treasury Bond and Treasury Note Futures 88
4.3 Treasury Bill Futures 94
4.4 Eurodollar Futures 98
4.5 Duration 99
4.6 Duration-Based Hedging Strategies 101
4.7 Limitations of Duration 103
4.8 Summary 105
Suggestions for Further Reading 106
Questions and Problems 106
5 SWAPS ^ 111
5.1 Mechanics of Interest Rate Swaps 111
5.2 Valuation of Interest Rate Swaps 118
5.3 Currency Swaps 123
5.4 Valuation of Currency Swaps 126
5.5 Other Swaps 128
5.6 Credit Risk 129
5.7 Summary 131
Suggestions for Further Reading 132
Questions and Problems 132
6 OPTIONS MARKETS 136
6.1 Exchange-Traded Options 136
6.2 Over-the-Counter Options 138
6.3 Specification of Stock Options 138
6.4 Newspaper Quotes 142
6.5 Trading 144
x Contents
6.6 Margins 145
6.7 The Options Clearing Corporation 147
6.8 Warrants and Convertibles 148
6.9 Summary 149
Suggestions for Further Reading 149
Questions and Problems 150
7 PROPERTIES OF STOCK OPTION PRICES 151
7.1 Factors Affecting Option Prices 151
7.2 Assumptions and Notation 153
7.3 Upper and Lower Bounds for Option Prices 154
7.4 Early Exercise: Calls on a Non-Dividend-Paying
Stock 158
7.5 Early Exercise: Puts on a Non-Dividend-Paying
Stock 160
7.6 Put-Call Parity 163
7.7 Effect of Dividends 166
7.8 Empirical Research 167
7.9 Summary 169
Suggestions for Further Reading 170
Questions and Problems 170
8 TRADING STRATEGIES INVOLVING OPTIONS 173
8.1 Strategies Involving a Single Option and a
Stock 173
8.2 Spreads 175
8.3 Combinations 183
8.4 Other Payoffs 184
8.5 Summary 187
Suggestions for Further Reading 188
Questions and Problems 188
9 A MODEL OF THE BEHAVIOR OF STOCK PRICES 190
9.1 The Markov Property 191
9.2 Wiener Processes 192
Contents xi
9.3 The Process for Stock Prices 196
9.4 A Review of the Model 198
9.5 The Parameters 200
9.6 A Binomial Model 201
9.7 Summary 204
Suggestions for Further Reading 204
Questions and Problems 205
10 THE BLACK-SCHOLES ANALYSIS 207
10.1 Ito sLemma 208
10.2 The Lognormal Property of Stock Prices 210
10.3 The Distribution of the Rate of Return 212
10.4 Estimating Volatility from Historical Data 214
10.5 Option Valuation Using a Simple Binomial
Model 217
10.6 Concepts Underlying the Black-Scholes
Differential Equation 218
10.7 Derivation of the Black-Scholes Differential
Equation 219
10.8 Risk-Neutral Valuation 218
10.9 The Black-Scholes Pricing Formulas 224
10.10 The Cumulative Normal Distribution
Function 226
10.11 Wanants Issued by a Company on Its Own
Stock 228
10.12 Implied Volatilities 229
10.13 The Causes of Volatility 230
10.14 Dividends 232
10.15 Summary 237
Suggestions for Further Reading 238
Questions and Problems 239
Appendix 10A: Derivation of Ito s Lemma 243
Appendix 10B: An Exact Procedure for
Calculating the Values of American Calls on
Dividend-Paying Stocks 244
xii Contents
11 OPTIONS ON STOCK INDICES, CURRENCIES, AND
FUTURES CONTRACTS 247
11.1 Options on Stocks Paying Known Dividend
Yields 247
11.2 Options on Stock Indices 249
11.3 Currency Options 255
11.4 Futures Options 258
11.5 Summary 265
Suggestions for Further Reading 267
Questions and Problems 267
Appendix 11 A: Derivation of Differential Equation
Satisfied by a Derivative Security Dependent on a
Stock Paying a Continuous Dividend Yield 270
Appendix IIB: Derivation of Differential Equation
Satisfied by a Derivative Security Dependent on a
Futures Price 271
12 A GENERAL APPROACH TO PRICING DERIVATIVE
SECURITIES 274
12.1 A Single Underlying Variable 274
12.2 Interest-Rate Risk 278
12.3 Securities Dependent on Several State
Variables 279
12.4 Derivative Securities Dependent on Commodity
Prices 282
12.5 Cross-Currency Futures and Options 284
12.6 Summary 287
Suggestions for Further Reading 288
Questions and Problems 288
Appendix 12A: A Generalization of Ito s
Lemma 290
Appendix 12B: Derivation of the General
Differential Equation Satisfied by Derivative
Securities 291
Contents xiii
13 HEDGING POSITIONS IN OPTIONS AND OTHER
DERIVATIVE SECURITIES 295
13.1 An Example 295
13.2 Naked and Covered Positions 295
13.3 A Stop-Loss Strategy 296
13.4 More Sophisticated Hedging Schemes 298
13.5 Delta Hedging 298
13.6 Theta 307
13.7 Gamma 310
13.8 The Relationship between Delta, Theta, and
Gamma 314
13.9 Vega 315
13.10 Rho 317
13.11 Hedging Option Portfolios in Practice 318
13.12 Portfolio Insurance 318
13.13 Summary 323
Suggestions for Further Reading 324
Questions and Problems 325
Appendix 13A: Taylor Series Expansions and
Hedge Parameters 327
14 NUMERICAL PROCEDURES 329
14.1 Monte Carlo Simulation 329
14.2 Binomial Trees 335
14.3 Using the Binomial Tree for Options on Indices,
Currencies, and Futures Contracts 343
14.4 The Binomial Model for a Dividend-Paying
Stock 345
14.5 Extensions to the Basic Tree Approach 348
14.6 Avoiding Negative Probabilities 351
14.7 Finite Difference Methods 352
14.8 Analytic Approximations in Option Pricing 362
14.9 Summary 362
Suggestions for Further Reading 363
xiv
Contents
Questions and Problems 364
Appendix 14A: The Analytic Approximation
to American Option Prices of MacMiUlan, and
Barone-Adesi and Whaley 367
15 INTEREST RATE DERIVATIVE SECURITIES 370
15.1 Exchange-Traded Bond Options 370
15.2 Embedded Bond Options 371
15.3 Mortgage-backed Securities 372
15.4 Swaptions 372
15.5 Interest Rate Caps 373
15.6 Simple Approaches to Valuing Bond Options 378
15.7 Limitations of Simple Models 383
15.8 Traditional Approach Used by Researchers to
Model the Term Structure 383
15.9 The Rendleman and Bartter Model 385
15.10 Mean Reversion 388
15.11 The Vasicek Model 390
15.12 The Cox, Ingersoll, and Ross Model 396
15.13 Two-Factor Models 397
15.14 No-Arbitrage Models 398
15.15 The Heath, Jarrow, and Morton Approach 401
15.16 The Ho and Lee Model 403
15.17 The Hull and White Model 404
15.18 Hedging 408
15.19 Summary 409
Suggestions for Further Reading 410
Questions and Problems 411
16 EXOTIC OPTIONS 414
16.1 Types of Exotic Options 415
16.2 Basic Valuation Tools 425
16.3 American Path-Dependent Options 426
16.4 Options on Two Correlated Assets 428
Contents xv
16.5 Hedging Issues 430
16.6 Summary 430
Suggestions for Further Reading 431
Questions and Problems 432
17 ALTERNATIVES TO BLACK-SCHOLES FOR OPTION
PRICING 434
17.1 Known Changes in the Interest Rate and
Volatility 435
17.2 Merton s Stochastic Interest Rate Model 435
17.3 Pricing Biases 436
17.4 Alternative Models 439
17.5 Overview of Pricing Biases 444
17.6 Empirical Research 445
17.7 How the Models Are Used in Practice 448
17.8 Summary 448
Suggestions for Further Reading 449
Questions and Problems 451
Appendix 17A: Pricing Formulas for Alternative
Models 452
18 CREDIT RISK 455
18.1 The Nature of the Exposure 456
18.2 Contracts that Are Unambiguously Assets 459
18.3 Contracts that Can Be Assets or Liabilities 461
18.4 The BIS Capital Requirements 464
18.5 Reducing Default Risk 466
18.6 Summary 467
Suggestions for Further Reading 467
Questions and Problems 468
19 REVIEW OF KEY CONCEPTS 469
19.1 Riskless Hedges 469
**i Contents
19.2 Traded Securities versus Other Underlying
Variables 470
19.3 Risk-Neutral Valuation 470
19.4 A Final Word 471
TABLE FOR N{X) WHEN X 0 473
TABLE FOR N(X) WHEN X 0 474
WORLD EXCHANGES 475
GLOSSARY OF NOTATION 476
AUTHOR INDEX 481
SUBJECT INDEX 484
|
| any_adam_object | 1 |
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| dewey-sort | 3332.63 12 220 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | second edition |
| era | Geschichte 1800-1900 gnd |
| era_facet | Geschichte 1800-1900 |
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| geographic | Russland (DE-588)4076899-5 gnd |
| geographic_facet | Russland |
| id | DE-604.BV008808315 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T17:25:23Z |
| institution | BVB |
| isbn | 0136390145 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-005827519 |
| oclc_num | 26261445 |
| open_access_boolean | |
| owner | DE-29T DE-N2 DE-91G DE-BY-TUM DE-20 DE-83 DE-11 DE-188 |
| owner_facet | DE-29T DE-N2 DE-91G DE-BY-TUM DE-20 DE-83 DE-11 DE-188 |
| physical | xix, 492 Seiten Diagramme |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Prentice Hall |
| record_format | marc |
| spelling | Hull, John 1946- (DE-588)109733290 aut Options, futures, and other derivative securities John Hull second edition Englewood Cliffs, New Jersey Prentice Hall 1993 xix, 492 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Geschichte 1800-1900 gnd rswk-swf Marchés à terme Opties gtt Options d'achat d'actions Pronósticos Termijnhandel gtt Futures Stock options Derivative securities Financial Futures (DE-588)4128564-5 gnd rswk-swf Behörde (DE-588)4005298-9 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf Terminhandel (DE-588)4059499-3 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf Optionsmarkt (DE-588)4381644-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Wissenschaftlicher Ausschuss (DE-588)4659913-7 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Russland (DE-588)4076899-5 gnd rswk-swf Termingeschäft (DE-588)4117190-1 s Optionshandel (DE-588)4126185-9 s DE-604 Optionsmarkt (DE-588)4381644-7 s Terminhandel (DE-588)4059499-3 s Optionspreistheorie (DE-588)4135346-8 s Derivat Wertpapier (DE-588)4381572-8 s DE-188 Russland (DE-588)4076899-5 g Behörde (DE-588)4005298-9 s Wissenschaftlicher Ausschuss (DE-588)4659913-7 s Geschichte 1800-1900 z 1\p DE-604 Optionsgeschäft (DE-588)4043670-6 s Financial Futures (DE-588)4128564-5 s 2\p DE-604 3. Auflage Hull. John C. Options, futures, and other derivatives 3. Aufl. u.d.T. Hull. John C.: Options, futures, and other derivatives HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005827519&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Hull, John 1946- Options, futures, and other derivative securities Marchés à terme Opties gtt Options d'achat d'actions Pronósticos Termijnhandel gtt Futures Stock options Derivative securities Financial Futures (DE-588)4128564-5 gnd Behörde (DE-588)4005298-9 gnd Optionshandel (DE-588)4126185-9 gnd Terminhandel (DE-588)4059499-3 gnd Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wissenschaftlicher Ausschuss (DE-588)4659913-7 gnd Optionsgeschäft (DE-588)4043670-6 gnd |
| subject_GND | (DE-588)4128564-5 (DE-588)4005298-9 (DE-588)4126185-9 (DE-588)4059499-3 (DE-588)4117190-1 (DE-588)4381644-7 (DE-588)4381572-8 (DE-588)4135346-8 (DE-588)4659913-7 (DE-588)4043670-6 (DE-588)4076899-5 |
| title | Options, futures, and other derivative securities |
| title_auth | Options, futures, and other derivative securities |
| title_exact_search | Options, futures, and other derivative securities |
| title_full | Options, futures, and other derivative securities John Hull |
| title_fullStr | Options, futures, and other derivative securities John Hull |
| title_full_unstemmed | Options, futures, and other derivative securities John Hull |
| title_old | Hull. John C. Options, futures, and other derivatives |
| title_short | Options, futures, and other derivative securities |
| title_sort | options futures and other derivative securities |
| topic | Marchés à terme Opties gtt Options d'achat d'actions Pronósticos Termijnhandel gtt Futures Stock options Derivative securities Financial Futures (DE-588)4128564-5 gnd Behörde (DE-588)4005298-9 gnd Optionshandel (DE-588)4126185-9 gnd Terminhandel (DE-588)4059499-3 gnd Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wissenschaftlicher Ausschuss (DE-588)4659913-7 gnd Optionsgeschäft (DE-588)4043670-6 gnd |
| topic_facet | Marchés à terme Opties Options d'achat d'actions Pronósticos Termijnhandel Futures Stock options Derivative securities Financial Futures Behörde Optionshandel Terminhandel Termingeschäft Optionsmarkt Derivat Wertpapier Optionspreistheorie Wissenschaftlicher Ausschuss Optionsgeschäft Russland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005827519&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hulljohn optionsfuturesandotherderivativesecurities |