Options, Futures, and Other Derivatives, 6
th
Edition, Copyright © John C. Hull 2005
15.1
Các ký tự Hy lạp
Chương 15
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.2
Ví dụ

Μ τ νγν η◊νγ  β〈ν µ τ θυψ ν χη ν µυα κι υ ộ đ ộ ề ọ ể
Χηυ ℜυ τρ γι〈 ∃300,000 τρν 100,000 χ πηι υ ị ổ ế
κηνγ τρ χ τ χả ổ ứ

S
0
= 49, K = 50, r = 5%, σ = 20%,
T = 20 τυ ν, ầ µ = 13%

Γι〈 τρ τηεο Βλαχκ−Σχηολεσ χ α χ πηι υ λ◊ ị ủ ổ ế
∃240,000

Νγν η◊νγ σ πη∫νγ νγ α ρ ι ρο χηο µνη β νγ χ〈χη ẽ ừ ủ ằ
ν◊ο γι χ λ ι νηυ ν ∃60,000?để ữ đượ ợ ậ
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.3
Vị thế Naked & Covered
ς τη Νακεδ ị ế

Giá quyền chọn
A
B
Độ dốc = ∆
Giá cổ phiếu
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.6
Phòng ngừa Delta

ι υ ν◊ψ λιν θυαν ν ϖι χ δυψ τρ µ τ Đ ề đế ệ ộ
δανη µ χ τρυνγ λ π ϖ ι δελταụ ậ ớ

∆ελτα χ α µ τ θυψ ν χη ν µυα κι υ Χηυ
ℜυ ι ϖ ι µ τ χ πηι υ χ⌠ συ τ σινη λ ι đố ớ ộ ổ ế ấ ợ
χ τ χ ổ ứ q λ◊

N (d
1
)e
– qT

∆ελτα θυψ ν χη ν β〈ν κι υ Χηυ ℜυ λ◊
e
– qT
[N (d
1
) – 1]
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005

Copyright © John C. Hull 2005
15.9
Theta

Τηετα (Θ) χ α µ τ σ ν πη µ πη〈ι σινη (ηο χ ủ ộ ả ẩ ặ
µ τ δανη µ χ πη〈ι σινη) λ◊ τ λ τηαψ   ι γι〈
τρ σ ν πη µ  ⌠ σο ϖ ι τηαψ   ι χ α τη ι
γιαν σ η υ.

Τηετα χ α µ τ θυψ ν χη ν µυα ηο χ β〈ν
τη νγ λ◊ σ µ. ι υ ⌠ χ⌠ νγη α λ◊ ν υ τη ι ườ ố Đề đ ĩ ế ờ
γιαν τρι  ι, γι〈 τ◊ι σ ν χ σ ϖ◊   βι ν   νγ
χ α ν⌠ ϖ ν κηνγ τηαψ   ι τη γι〈 τρ χ α
θυψ ν χη ν σ γι µề ọ ẽ ả
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.10
Gamma

Γαµµα (Γ) τ λ τηαψ   ι χ α δελτα (∆) σο
ϖ ι τηαψ   ι γι〈 χ α σ ν πη µ πη〈ι σινη

Γαµµα λ◊ λ ν νη τ   ι ϖ ι νη νγ θυψ ν
χη ν γ ν ϖ ι τι ν µ τ (ξεµ Ηνη 15.9, τρανγ
358)
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.11
Gamma nhắm đến Phòng ngừa Delta
Các lỗi do độ cong gây ra

Copyright © John C. Hull 2005
15.13
Mối quan hệ giữa Delta, Gamma,
và Theta
Đối với một danh mục các sản phẩm
phái sinh trên một cổ phiếu có suất lợi
cổ tức liên tục q
Θ ∆ Γ Π+ − + =( )r q S S r
1
2
2 2
σ
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.14
Vega

ςεγα (ν) λ◊ τ λ τηαψ ι γι〈 τρ δανη µ χ ỷ ệ đổ ị ụ
σ ν πη µ πη〈ι σινη σο ϖ ι τηαψ ι χ α ả ẩ ớ đổ ủ độ
βι ν νγế độ

ςεγα χ⌠ ξυ η νγ λ ν νη τ ι ϖ ι νη νγ ướ ớ ấ đố ớ ữ
θυψ ν χη ν γ ν ϖ ι τι ν η ν (Ξεµ ề ọ ầ ớ ề ơ
Ηνη15.11, τρανγ 361)
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.15
Quản lý Delta, Gamma, & Vega
•
∆ χ⌠ τη τηαψ ι β νγ χ〈χη τηαµ για τη ể đổ ằ ị

Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.18
Phân tích tình huống
Πην τχη τνη ηυ νγ λ◊ ϖι χ κι µ   νη τ〈χ
  νγ χ α νη νγ γι   νη κη〈χ νηαυ ϖ γι〈 τ◊ι
σ ν ϖ◊   βι ν   νγ λν γι〈 τρ δανη µ χ
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.19
So sánh phòng ngừa rủi ro với việc
tạo ra một quyền chọn lai tạp

Κηι χηνγ τα πη∫νγ νγ α ρ ι ρο, χηνγ τα τηαµ
για νη νγ ϖ τη β π ữ ị ế đắ ∆, Γ, ν, ϖν ϖν.

Κηι χηνγ τα τ ο ρα µ τ θυψ ν χη ν λαι τ π,
χηνγ τα χη ν νη νγ ϖ τη κ τ η π χ ọ ữ ị ế ế ợ đượ
∆, Γ, & ν.
Options, Futures, and Other Derivatives, 6th Edition,
Copyright © John C. Hull 2005
15.20
Bảo hiểm danh mục

ς◊ο τη〈νγ 10 ν µ 1987, νηι υ νη◊ θυ ν λ ă ề ả
δανη µ χ   χ γ νγ τ ο ρα µ τ θυψ ν χη ν
β〈ν τρν µ τ δανη µ χ λαι τ π

 ι υ ν◊ψ λιν θυαν   ν ϖι χ βαν   υ β〈ν  
δανη µ χ (ηο χ χ〈χ η π νγ γιαο σαυ χη ụ ặ ợ đồ ỉ