Chapter 1

Introduction

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 1
What is a Derivative 衍生产
品?
A derivative is an instrument whose value depends
on, or is derived from, the value of another asset.
Examples: forwards, futures, options, swaps,
exotics…
• 衍生工具是一种其价值取决于另一种资产的价值
或从另一种资产的价值中衍生出来的工具。
• 例如：远期、期货、期权、掉期、外币 ...

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 2
Why Derivatives Are Important
衍生品为何重要
Derivatives play a key role in transferring risks in the economy 衍生
产品在转移经济风险方面发挥着关键作用
The underlying assets include stocks, currencies, interest rates, debt
instruments, commodities, electricity, insurance payouts, the weather,
etc. 相关资产包括股票、货币、利率、债务工具、商品、电力、保险
赔付、天气等。
Many financial transactions have embedded derivatives 许多金融交
易都嵌入了衍生工具
The real options approach to assessing capital investment decisions
has become widely accepted 评估资本投资决策的实物期权方法已被
广泛接受

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How Derivatives Are Traded 如
何进行衍生品交易
On exchanges such as the CME Group,
Chicago Board Options Exchange (CBOE). 在交
易所，如芝加哥商品交易所集团（ CME
Group ）和芝加哥期权交易所（ CBOE ）。
In the over-the-counter (OTC) market where
traders working for banks, fund managers and
corporate treasurers contact each other directly
在场外交易（ OTC ）市场，为银行、基金经理
和企业财务主管工作的交易员直接相互联系
4
Size of OTC and Exchange-Traded Markets
(Figure 1.1, Page 3) 场外交易市场和交易所交易市场的规模

场外市场交易
交易所交易

Source: Bank for International Settlements. Chart shows total principal amounts for
OTC market and value of underlying assets for exchange market 资料来源 : 国际清
算银行。图表显示了场外交易市场的总本金金额和交易所市场的标的资产价值
5
The Lehman Bankruptcy (Business
Snapshot 1.10) 雷曼破产
Lehman’s filed for bankruptcy on September 15, 2008. This was the biggest
bankruptcy in US history 雷曼公司于 2008 年 9 月 15 日申请破产。这是美国
历史上最大的破产案
Lehman was an active participant in the OTC derivatives markets and got into
financial difficulties because it took high risks and found it was unable to roll
over its short term funding 雷曼是场外衍生品市场的积极参与者，由于承担了高
风险并发现无法展期其短期资金而陷入财务困境
It had hundreds of thousands of transactions outstanding with about 8,000
counterparties 它与大约 8000 个交易对手进行了数十万笔交易
Unwinding these transactions has been challenging for both the Lehman
liquidators and their counterparties 解除这些交易对雷曼清算人及其交易对手来
说都具有挑战性

6
How Derivatives are Used
如何使用衍生工具
To hedge risks 对冲风险
To speculate (take a view on the future direction of
the market) 投机（对市场未来走向的看法）
To lock in an arbitrage profit 锁定套利利润
To change the nature of a liability 改变负债性质
To change the nature of an investment without
incurring the costs of selling one portfolio and buying
another 改变投资性质，而无需承担卖出一个投资组
合、买入另一个投资组合的成本
7
Foreign Exchange Quotes for GBP, May 24,
2010 (See page 5) 英镑外汇牌价， 2010 年 5 月 24 日
Bid 投标 Offer 报价
Spot （现货交易） 1.4407 1.4411

1-month forward 1.4408 1.4413

（远期交易）
3-month forward 1.4410 1.4415

6-month forward 1.4416 1.4422

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 8
 Forward Price 未来交易价格
The forward price for a contract is the delivery
price that would be applicable to the contract if
were negotiated today (i.e., it is the delivery price
that would make the contract worth exactly zero)
合约的远期价格是指在今天谈判时适用于合约的交
割价格（即使合约价值正好为零的交割价格）。
The forward price may be different for contracts of
different maturities (as shown by the table) 不同期
限的合约远期价格可能不同（如表所示）

9
Terminology 术语

The party that has agreed to buy has what is

termed a long position 同意买入的一方持有多头
头寸（手上拥有这类资产）
The party that has agreed to sell has what is
termed a short position 同意卖出的一方持有空
头头寸（卖出这类资产）

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 10
Example (page 5)
On May 24, 2010 the treasurer of a corporation enters into
a long forward contract to buy £1 million in six months at
an exchange rate of 1.4422
2010 年 5 月 24 日，一家公司的财务主管签订了一份多头
远期合约，约定在 6 个月后以 1.4422 的汇率购买 100
万英镑。
This obligates the corporation to pay $1,442,200 for £1
million on November 24, 2010
这就要求该公司在 2010 年 11 月 24 日为 100 万英镑支
付 144.22 万美元。
What are the possible outcomes? 可能的结果是什么？

11
Payoff from a Long Forward Position
(K= delivery price=forward price at time contract is
entered into) 远期多头头寸的回报（ K= 交割价格 = 签
订合约时的远期价格）
Profit

Price of Underlying at
K Maturity, ST
到期标的价格， ST

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 12
Payoff from a Short Forward Position
(K= delivery price=forward price at time contract is entered into)
远期空头头寸的回报 (K= 交货价格 = 签订合同时的远期价
格）
Profit

Price of Underlying 标的价格

K at Maturity, ST 到期时的价格

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 13
Payoffs from forward contracts
远期合同的回报
The payoff from a long position in a forward contract on one
unit of an asset 一单位资产远期合约多头头寸的收益 :
St  K

Where S t  spot price of the asset at maturity,

K=delivery price. 到期时资产的现货价格， K= 交割价格。
The payoff from a short position in a forward contract
on one unit of an asset: 一单位资产远期合约空头头
寸的收益
K  ST
1. Gold: An Arbitrage Opportunity?
黄金： 一个套利机会？
Suppose that:
The spot price of gold is US$1,400
黄金现货价格为 1,400 美元
The 1-year forward price of gold is US$1,500
1 年期远期黄金价格为 1,500 美元
The 1-year US$ interest rate is 5% per annum
1 年期美元年利率为 5
Is there an arbitrage opportunity? 是否存在套利
机会？

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 15
2. Gold: Another Arbitrage Opportunity?
黄金： 另一个套利机会？

Suppose that:
- The spot price of gold is US$1,400 黄金现货价格
为 1,400 美元
- The 1-year forward price of gold is US$1,400
1 年期远期黄金价格为 1,400 美元
- The 1-year US$ interest rate is 5% per annum
Is there an arbitrage opportunity?1 年期美元年
利率为 5% 是否存在套利机会？

16
 The Forward Price of Gold
黄金远期价格
(ignores the gold lease rate)( 忽略黄金租赁率 )
If the spot price of gold is S and the forward price for
a contract deliverable in T years is F, then 如果黄金
现货价格为 S ， T 年后可交割合约的远期价格为
F ，那么
F = S (1+r )T
where r is the 1-year (domestic currency) risk-free
rate of interest. 其中， r 为 1 年期（本国货币）无风
险利率。
In our examples, S = 1400, T = 1, and r =0.05 so that
F = 1400(1+0.05) = 1470

17
Futures Contracts (page 7) 期货合同
A standardized agreement to buy or sell an
asset for a certain price at a certain time in
the future. 在未来某个时间以某个价格购买
或出售某种资产的标准化协议。
Similar to forward contract 与远期合约类似
Whereas a forward contract is traded OTC,
a futures contract is traded on an exchange
远期合约在场外交易，而期货合约在交易所
交易

18
Exchanges Trading Futures 期货交易
CME Group (formerly Chicago Mercantile Exchange
and Chicago Board of Trade) 芝加哥商业交易所集团
（前芝加哥商业交易所和芝加哥期货交易所）
China Financial Futures Exchange (CFFEX) 中国金融
期货交易所（ CFFEX ）
Hong Kong Futures Exchange (HKFE) 香港期货交易
所
Shanghai Futures Exchange (SHFE) 上海期货交易所
and many more (see list at the end of book)

19
Options
A call option is an option to buy a certain asset by a
certain date for a certain price (the strike price) 看
涨期权是在某一日期之前以某一价格（执行价格）
买入某一资产的期权。

A put option is an option to sell a certain asset by a

certain date for a certain price (the strike price) 看
跌期权是在某一日期之前以某一价格（执行价格）
卖出某一资产的期权

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 20
American vs European Options
An American option can be exercised at any
time during its life 美式期权可以在其有效期内
的任何时候行使
A European option can be exercised only at
maturity 欧式期权只能在到期日行使

21
Google Call Option Prices (June 15, 2010; Stock Price is bid
497.07, offer 497.25); See Table 1.2 page 8; Source: CBOE 谷歌看涨期权价
格
Strike Jul 2010 Jul 2010 Sep 2010 Sep 2010 Dec 2010 Dec 2010
Price 期 Bid Offer Bid Offer Bid 银行的 Offer 银行的
权的执行 买入价 卖出价
价格
460 43.30 44.00 51.90 53.90 63.40 64.80

480 28.60 29.00 39.70 40.40 50.80 52.30

500 17.00 17.40 28.30 29.30 40.60 41.30

520 9.00 9.30 19.10 19.90 31.40 32.00

540 4.20 4.40 12.70 13.00 23.10 24.00

560 1.75 2.10 7.40 8.40 16.80 17.70

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Google Put Option Prices (June 15, 2010; Stock Price is bid
497.07, offer 497.25); See Table 1.3 page 9; Source: CBOE
谷歌认沽期权价格
Strike Jul 2010 Jul 2010 Sep 2010 Sep 2010 Dec 2010 Dec 2010
Price Bid Offer Bid Offer Bid Offer
460 6.30 6.60 15.70 16.20 26.00 27.30

480 11.30 11.70 22.20 22.70 33.30 35.00

500 19.50 20.00 30.90 32.60 42.20 43.00

520 31.60 33.90 41.80 43.60 52.80 54.50

540 46.30 47.20 54.90 56.10 64.90 66.20

560 64.30 66.70 70.00 71.30 78.60 80.00

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Figure 1.3 (a) Net profit per share from purchasing a contract
consisting of100 Google December call options with a strike price
of $520. 购买由 100 份执行价为 520 美元的谷歌 12 月看涨
期权组成的合约的每股净利润。

属于多头看涨期权

24
 如果没有第三方赚
Options, Futures, and Other Derivatives, 8th Edition, 差价，交易的盈亏
Copyright © John C. Hull 2012 是对称的 25
Figure 1.3 (b) Net profit per share from selling a contract
consisting of 100 Google September put options with a
strike price of $480. 卖出一份由 100 份执行价为 480
美元的谷歌 9 月看跌期权组成的合约的每股净利润。
long put
K=480

short put ，
看跌期权

26
Options vs Futures/Forwards
期权与期货 / 远期
A futures/forward contract gives the holder
the obligation to buy or sell at a certain price
期货 / 远期合约赋予持有者以一定价格买入或
卖出的义务
An option gives the holder the right to buy or
sell at a certain price 期权赋予持有人以一定
价格买入或卖出的权利

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 27
Types of Traders
Hedgers 套期保值者
Speculators 投机者
Arbitrageurs 套利者

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 28
 Hedging Examples (pages 10-12) 套期保
值实例

On May 24, 2010, a US company will pay £10 million for

imports from Britain in 3 months and decides to hedge using
a long position in a forward contract.2010 年 5 月 24 日，
一家美国公司将在 3 个月内为从英国进口的产品支付 1 千
万英镑，并决定使用远期合约中的多头头寸进行套期保值。
An investor owns 1,000 Microsoft shares currently worth
$28 per share. A two-month put with a strike price of $27.50
costs $1. The investor decides to hedge by buying 10
contracts 某投资者持有 1,000 股微软股票，目前每股价值
28 美元。行权价为 27.50 美元的两个月看跌期权价格为 1
美元。

29
Value of Microsoft Shares with and
without Hedging (Fig 1.4, page 12) 有和没有对冲的微软股
票价值

30
A Comparison between the use of forward contracts and
options for hedging. 远期合约与期权套期保值的比
较。
1. Forward contracts are designed to neutralize risk by fixing the price
that the hedger will pay or receive for the underlying asset. 远期合约旨
在通过确定套期保值者将为标的资产支付或接收的价格来抵消风险。
Option contracts, by contrast, provide insurance. They offer a way for
investors to protect themselves against adverse price movements in
the future while still allowing them to benefit from favorable price
movements. 相比之下，期权合约提供了保险。它们为投资者提供了一
种保护自己免受未来不利价格变动影响的方式，同时仍允许他们从有利
的价格变动中受益。
2. Unlike forwards, options involve the payment of an up-front fee. 与远期交
易不同，期权交易需要预先支付费用。

31
Speculation using futures 利用期货进行投机
Table 1.4 Speculation using spot and futures contracts. One
futures contract is on ￡ 62,500. Initial margin on four
futures contracts=$20,000. 表 1.4 利用现货和期货合约进行
投机。一份期货合约的价格为 6.25 万英镑。四份期货合约的
初始保证金 = 20,000 美元。

利用现货交易
利用期货交易
1.4470*250000=
(1.5-1.4470 ） 250000=

(1.4-1.4470 ） 250000=

32
Speculation using options 利用期权进行投
机
An investor with $2,000 to invest feels that a stock
price will increase over the next 2 months. The
current stock price is $20 and the price of a 2-month
call option with a strike of 22.50 is $1
一个有 2000 美元投资的投资者认为股票价格将在未来
2 个月内上涨。当前股票价格为 20 美元，期权的执行
价格执行权为 22.50 的 2 个月看涨期权价格为 1 美元。
What are the alternative strategies? 有哪些替代策
略?

33
Table 1.5 Comparison of profits from two alternative
strategies for using $2,000 to speculate on a stock worth $20 in
October.10 月份用 2000 美元投机价值 20 美元的股票的两种
策略的利润比较。

假设股价下降到 15 美元 上涨至 27 美元

直接投资股票的情况

购买期权的情况 （ 27-22.5-1 ） *2000=7000

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 34
Figure 1.5 Profit or loss from two alternative strategies for
speculating on a stock currently worth $20. 图 1.5 当前价值 20 美
元的股票投机的两种不同策略的利润或损失。

买股票
买期权

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 35
A Comparison between the use of futures and options
for speculation. 利用期货和期权进行投机的比较。
1. Similarity: Both futures and options provide speculators with a way in
which a type of leverage can be obtained. 相似之处 : 期货和期权都为
投机者提供了一种获得杠杆的方式。
2. Important difference: When a speculator uses futures, the potential
loss as well as the potential gain is very large. When options are
used, no matter how bad things get, the speculator’s loss is limited to
the amount paid for the options. 重要的区别是 : 当投机者使用期货
时，潜在的损失和潜在的收益都非常大。当使用期权时，无论情况变
得多么糟糕，投机者的损失仅限于为期权支付的金额。（不同点）

36
Arbitrage Example 套利的例子
A stock price is quoted as £100 in London
and $140 in New York 股票的报价在伦敦是
100 英镑，在纽约是 140 美元
The current exchange rate is 1.4300 现在
的汇率是 1.4300
What is the arbitrage opportunity? 套利机会
是什么 ?

Options, Futures, and Other Derivatives, 8th Edition,

Copyright © John C. Hull 2012 37
Dangers
Traders can switch from being hedgers to speculators
or from being arbitrageurs to speculators 交易者可以
从对冲者变成投机者，或者从套利者变成投机者
It is important to set up controls to ensure that trades
are using derivatives for their intended purpose 重要
的是建立控制措施，以确保交易将衍生品用于其预期
目的
Soc Gen (see Business Snapshot 1.3 on page 17) is
an example of what can go wrong 重要的是建立控制
措施，以确保交易将衍生品用于其预期目的