期权的风险回报特征（1）

Risk-Return Characteristics of Options

　　An option is an agreement between two parties in which one party grants the other the right to buy or sell an asset under specified conditions while the counterpart assumes an obligation to sell or buy that asset. The party who must decide whether to exercise the option is termed the option buyers, since he must pay for the privilege. The party granting the right to buy or sell an asset is called the option seller or writer of the option. There are two basic types of options: calls and puts.

　　A call option gives the buyer the right to purchase, or "call away" a specified amount of the underlying securities at a specified price up to as specified date. The price at which the security may be bought is the exercise price or the striking price. The last date on which the option may be exercised is called the expiration date or the maturity date. The price of this option contract is its premium.
　　

　　期权是一种双边协议，规定其中的一方授予对方在约定的条件下购买或者售卖一项资产的权利，而由授权方承担售卖或者购买的责任义务。有权决定是否行使的一方称为期权的买方，他为获得这种特权必须支付一定的费用；授予别人购买或者售卖资产权利的一方称为期权的卖方或者出票方。期权分为：买入期权和卖出期权两种基本形式。

　　买入期权授予期权买方在未来一定时期之内，按照确定的具体价格买入或者得到一定数量的标的证券的权利。确定的价格称为履约价格或者敲定价格。期权存在的最后一天称为失效日或者到期日。期权协约的价格称为期权费。



期权的风险回报特征（2）- -                                      

                     Risk-Return Characteristics of Options

　　A call option can best be described by means of a simple example. A December call option on Treasury bonds give the holder of the option the right to purchase $100000 par value of specified Treasury bonds at a price of $ 90000 on or before the expiration date in December. The price of these bonds on September 19,1993, was $ 90500. The price of the call option on that date was $ 2094. If the market value of the bonds is greater than $ 90000 on the expiration date, the option will be exercised. The rationale is that, even if the buyer does not want to hold the bonds, they can be resold at the market price. If the market price of the Treasury bond is less than $ 90000 at expiration, the option will not be exercised because the buyer can purchase the bonds at a lower cost in the market.

　　The price of an option consists of two components----intrinsic value and time value. The price of an option, if exercised immediately, is the maximum of either zero or the market price minus the exercise price. This is called the intrinsic value?of the option. On the example above, the intrinsic value of the option is the $ 90500 market price less the $ 90000 exercise current price, or $ 500. An option must always sell for at least its intrinsic value or there will be arbitrage opportunities. Market practitioners call an option with a positive intrinsic value an in-the-money?option. Similarly, an option with zero intrinsic value is known as an out-of-the-money?option.

                                  期权的风险回报特征（2）
　　一个简单的例子可以说明一份买入期权的原理：一份12月份到期的中期国库券买入期权的持有者拥有在12月份到期日之前或者当天，以90000美元的价格购买面值为100000美元的某种中期国库券的权利。1993年9月19日， 该中期国库券市场价格为90500美元，当天这份期权费用为2094美元。如果在到期日，这种国库券价格高于90000美元，期权就会行使。道理在于：即使买方并不打算持有国库券，他可以按照市场价格抛售；如果在到期日，这种国库券价格低于90000美元，这份期权将不会行使，因为买方可以更低的价格从市场购进。

　　期权价格中包括两个部分----期权的内在价值和时间价值。如果立即行使权利，它的价格最低为零，最高等于市场价格减履约价格的差额，这就被称为期权的"内在价值"。以上面的例子说明，该份期权的内在价值等于市场价格90500美元减去履约价格90000美元的差额，即500美元。一份期权至少以其内在价值出售，不然就会出现套做的机会。市场参与者将具有正内在价值的期权叫做"赚头"期权；同样，具有零内在价值的期权成为"输头"期权。

期权的风险回报特征（3）- -                                      

                          Risk-Return Characteristics of Options

　　The time value of an option is the difference between the premium on option and its intrinsic value. This is the seller's compensation for the possibility that the option will worth more at the end of its life than if exercised immediately. In the example, the time value of the option is the difference between the total price of $ 2094 and the intrinsic value or $ 1594.

　　A put option is the right to sell, or"put to"the writer, a given amount of the underlying security at a given price on or before a specified date. In the example above, the Treasury bond December/90 put option gives the buyer the right to sell $ 100000 par value of the Treasury bonds at a price of $ 90000 on or before the expiration date. If the market value of the Treasury bonds is greater than $ 90000, the buyer will not exercise the offer, as the bonds can be sold in the open market. If the market value of the bonds is less than $ 90000 at expiration, the option to sell the bonds at that price is valuable.

                                  期权的风险回报特征（3）

　　期权的时间价值是期权费用与期权内在价值的差额。这是对于期权在到期日价值可能高于立即行使价值的情况，给予期权卖方的一种补偿。在上例中，该份期权的时间价值是期权总费用2094美元与其内在价值之间的差额，即1594美元。

　　卖出期权就是一种在未来某一确定的日期之前或者当天，按照一个确定的价格售出，或者"推给"期权卖方一定数量的标的证券的权利。在上例中，一份12月中期国库券卖出期权授予持有方在到期日或者之前，按照90000美元的价格出售面值100000美元的该种国库券的权利。如果该种国库券的市场价格高于90000美元，期权持有者就不会行使该期权，因为该国库券可以在公开市场上售出。如果在到期日该种国库券的市场价格低于90000美元，这份可以这个价格出售国库券的期权就很有价值。