.

(
)
.


,

.

, long
short .


,
..

.

,


,
.


(Forwards,
Futures ())
(Options)
(Swaps)
(Warrants)


(Forwards)
&

(Futures)

(forward contract)
,
(
)
.

long
short .

(delivery price).

(time of maturity)
(time of expiry) (time of delivery) .

.

() (futures contract)
.
.

.
(
).

t, (forward price) Ft,T ( ),

t.

 ()
(Futures)

()

/
/


(Forwards)
[over the
counter (OTC)]

()

ST

forward

A Long :
Short :

ST K
K ST

 Long Forward
( LONG)
100
80

60
40
20

0
0

10

20

30

40

50

60

70

80

90

-20
-40
-60

ST =

ST

A Short Forward
( SHORT)
100
80

60
40
20

0
-20

10

20

30

40

50

60

70

80

90

-40
-60
-80

ST =

ST

( ) 100.000
1 0,68$ .
0,65$. 0,68$
.
68.000$ 100.000
.
1$ , ( )
32.000$. 0,50$
( )
18.000$.

0,65$ 1$ .

0,68$ , 1,05$ .

.
1,05$
.
1,05$ .
(?) (
).


(Options)

,



.




.

.
(premium) .
.


:
( )
(
)

,
( )


.
:

:


OTC

()




(.

)


(Call Put)

:
FTSE/ASE 20, FTSE/ASE 40

:
:
(bid-ask):
: 5

:
, , Alpha ank, Intracom

:
:
: 100

premium



St =
=
=

( . t)


.
t
T-t

rf

( )


(call option)
call option ( )
,
,

.
call option ( )
, ,

.

 (put option)
put option ( )
,
,

.
put option ( )
, ,

.

option ,
.
(premium,
)
(
) .
long
.
premium


.
short
.


:
long call
short call
long put
short put
option ( )
option
, .

option .
ST .

[ Call ]
max (ST K, 0)
[ Put ]
max (K - ST, 0)

:
Long call:
max (ST K, 0)
Short call: - max (ST K, 0) = min (K - ST, 0)
Long put:
max (K - ST, 0)
Short put:
- max (K - ST, 0) = min (ST K, 0)

Long call
ST =

ST

Short Call
ST =

ST

Long put
ST =

ST

Short put
ST =

ST

 ()

premium ( p).



.
Long call: max (ST K, 0) - p
Short call: p - max (ST K, 0) = p + min (K - ST, 0)
Long put: max (K - ST, 0) - p
Short put: p - max (K - ST, 0) = p + min (ST K, 0)

 ()

()

Long call

ST

 ()

()

Short Call

ST

 ()

()

Long put

ST

 ()

()

Short put

ST

Call

Put

St

T-t

rf



H t
:
[ Call ]
max [ST K*e-r *(T-t) , 0]
[ Put ]
max [K*e-r *(T-t) - ST, 0]


.


.
=
f

In-, At- Out of the money

In the money options:

(in the money)
At the money options:


(at the money)
Out of the money options:



(out of the money)




(Arbitrage)


C1
C2 . ()

()

arbitrage C1=C2.
(
, ,
arbitrage,

)


(Arbitrage)


trading

arbitrage
arbitrageurs
,
,

arbitrage.

arbitrage

(forwards) :
: () Forward (
)
t:
( )
S: t
ST: (
t)
: Forward
f:
long Forward t
F: Forward t
r:
,
t .

Forward Forward

arbitrage

F = S e r (T t )

r
n (-t)*n


r

F = S 1 +
n

( T t )n

 F > Se r (T t ) .
, t S
-t, S forward (.
short forward).
, forward
F Se r (T t ) .
, , F Se r (T t ) >0.
, arbitrage.
, F < Se r (T t ) .
, t short
(. ) S
r T-t. forward (.
long forward).
, Se r (T t ) ,
forward F short
( ).
, Se r (T t ) F >0.
, arbitrage.
, arbitrage F = Se r (T t )


(cost of carry)

arbitrage
.

.

,
, r
( )

(options)
:
:
() ( )
t:
( )
S:
t
ST: ( t)
:
(strike)
C:
call option t [
C(St, K, T-t)
, ]
P:
put option t [
P(St, K, T-t)
]
r:
, t
.
:

Black & Scholes

C = S N (d1 ) K e r (T t ) N (d 2 )

P = C S + K e r (T t )

ln( S / K ) + [r + (1/ 2) 2 ] [T t ]
d1 =
T t
ln( S / K ) + [r (1/ 2) 2 ] [T t ]
d2 =
T t

N ()

 () ()

() ,
.
.

,
. (..

put option (-0,5).

1 put (-0,5) 0,5 .
, 1 put 0,5 ).

,
( ).
,
,
spot .

.

(
)

 call options
C =

C
= N (d1 ) > 0
S
2

C
2C
e d1 / 2
=
=
=
S
S 2
S T t

>0

0 C 1
C > 0
Out of the money call: C 0
At the money call: C 0,5
In the money call: C 1

 put options
P =

P
= N ( d1 ) < 0
S
2

P 2 P
e d1 / 2
P =
= 2 =
>0
S
S
S T t 2

1 P 0
P > 0
Out of the money put: p 0
At the money put: p 0,5
In the money put: p 1



call put
, 100,
1,5 ,
50%
5%


.
(
).
.
.
.

 call

250

Call option
= 100
=1,5

= 50%
r=5%

200

150

C(t)

call

100

100),

call



call at the money out of the
money, call
.
in the
money call

50

0
0

50

100

150

strike

-50
S(t)

200

 put

Put option
= 100
=1,5
= 50%
r=5%

100
80
60

put

40
20
0
0
-20

20

40

60

80

100 120
strike

140

160

180

200