M.A.ActpeGuncknn, mpog., 0.3.H. Mockoeckuti 2ocydapcmeeHHbIU 20pHel yHueepou- mem P.B.Bopucosny, mazucmp mexdyHapodHol akoHoMU- ku Konym6uticKo20 yHueepcumema KOMUKON KOPHOPEMWH, Hb1o-Vlopk ONUMOHSI HA MOHAOBOM PbIHKE 1. Ochosunre BHAbI onUHOHOB. Omics HaSbIBACTCH KOHTPAKT, Na‘oUNHii Mpaso Ha cosepuiene onpeseennoii CHeAKH MO 3apalice ycTaHoBneHHOl ucHe (crapke). HanGoxee pacnpoctpanenueian ux BHIAMM ABIMOTCA CHENKH ¢ AKUUSMH; TOBapa- MH; OOnHTaNMAMH; AenosHTHEIMH ceprHpHKa- TAMU; RaMOTOM; dbIouepcHEIMM KoHTpaKTaMH; oGobmeHHEIH HiteKcaMn HM noprbenamn ueHHbx GyMar; cBonamH (C Kypeamu H mpo- HeHTHBIMH crapKaMu). Boaburmietbo onmtonos npenyemar- PHBAET LeHY, 110 KOTOpoii conepusaetes cerKA = wena uenommenns (strike price). Hanpumep, onmHoH Ha ToKymxy axuait Kommanun IBM no uexe 55 non, 3a akuio. Hexoropsie same ONMMOHOB yeTaHaBTHBaIOT craBKy mpouenTa, 10 KoTOpoH coBepulaetca cHenka. ONIMOH Ha eBpObaMOTHEH TpexMecaunsi enosuT 10 erapke 6% npeaycnatpHpaer paso pasmeute- HWA Zcno3HTa Mo CTaBKe MCnOMHeEHHA 6% (strike rate). Heo6xonumo noguepriyrb, 470 Kae Avil omuHOH mpenctanaser coGo% paso ¢ TOUKH 3peHUs Noxynarena u OGasaTeABCTBO ¢ TOUKH spe npogasia. OnLMOH Ha HoKyTKy axuuii Kommanun IBM, Hanpumep, xaer npano Nokynaremo onuMoua norpeGosars oT npo- Aaplla HCHOMHeHMA KOHTpakTa B TeyeHHe oro- BopeHHOro cpoka. TaKoit KoHTpakT o6aabIBaeT Mpogana onuHOHa Mo TpeSosanmo jepxKaTe- AA ONUHOHA MpopazaTs nociexHeMy ycranoR- JICHHOe KOHTPakTOM KonMYeCTBO aKuHii IBM 0 ueHe SS gon. Cpok 8 revenue KoTOporo OMUKOH MoxeT GbITh HCIOMHeH Ha3EIBaetcs 138 CPpOKOM HCHIOJHEHMA IM cpokoM HeTeyeHHa (expiration date). AMepukanckuit omunoH Mo- XKeT ODITD MCHOAHEH NO TpeGORAHIO ero sepe HKATERA B NOOO! jeHE AO HacTyNAeHHA cpoKa HcHoOaHeHHA, eBportelickne onnHoHs! momIe- 2KAT MCNOMHEHHO TOABKO 3a AeHb XO Hactyn- AeHMa cpoka HcTeYeHHs 20 16 4acos 30 Mun. Bosbwaierso onuuonos wa amepie KaHCKOM PBINKe Mpogaerca B Bue cTanpapr- HuIx KoHTaxrop, Hanpumep, cranaapribtit Kontpaxt Ha akumn IBM 2anuesimaertea: 1 IBM June 97 55 Call @ 2 3/8, npn atom o6b- KTOM KoHTpakTa sBaatorca 100 aku KoMe nani IBM, Koropsie Moryr Gere KymuIens Aepxatenem onunona no 55 gost, KakNas B mMOoGoii AcHb 70 3-H NATHHUbI (110 16-30 YacoB) wiona 1997 r. Onnuon ctout 237.50 gona. =2 3/8 x 100, Cuenkn no onunonam perucrpupy- forca Onunonnpim Komutetom Unxarcxoit ToRapHoii SupxH, KoTOpEI ycTanaBnHBaet o6tllee KoAMYCCTBO ONUMOHOB Ha PHIHKE, pert CTpupyer nponapnos u noxynaresteii, a TawKe HasHayaet ucnoaHenne KoHTpaxtos. Heros HEHHC KOHTpakTOB NpoHCXOAWT no NpHHIANY first-in, first-out, r. e. xpononornueckH mepable Aposasyss onnHoHos 6ynyT OGa3aHEI MepBEIMA HCHOAHTS CBOK OGAZaTenbeTBA Hepes Zeprka- Tens Koutpaxtos. Hanpumep, ecm wa 27 anpeas 65110 sapeructpapowaHo 10000 BEultIe- yeasaHubix KOHTpakToB Ha aku IBM u 100 Aepxateneii saaBunH 0 cBocm TpeOoBaHAn HC- HOmmNTb KoHTpaxtbl, nposasist neppsrx 100 KOHTPakTOR NOWKHBI NOAyHHTE oT OnNHOHHO- TO KOMHTeTa yBesOMJcHHA 0 HeEOOXOAHMOCTHHcHOAUHTL KOHTpaKTHLIe OOAZaTeABCTBA B Te- YeHHH CICAYIOWHX 7 AHH. Hexoropsie mpuMepst apyrux cran- JapTHBIX KOHTPAKTOB: 1) omumon na 90-92 pHeBHBIe (tpexmecsunsie) Geenpouentuuie oGmraunn CLA B 1000000 noma. 2) onuHon Ha 500 HoMHHamOB HHAeKca S & P 500 (ungexc, paccunTaiBaembiii no aK- ua 500 Kpynieiiumx Komnanuit CLA — Standart & Poor 500. 3) onyHon Ha 125000 ueiinapeKnx panxos. Kpome crannapripix ommouon, cyute- crpytor apyrie Bunbt duuancossix mcrpy- MCHTOB THIIa OMMMOHOB, KOTOpbIe HasbIBaKOTCH AepHBaTHBAMH WIM MpOH3BOAHEIMH (pHHatco- BuIMH npogykranit. Takite KONTpaKTbI OGbIMHO FAKMOMAIOTCH MEK LBYMK CTOPOHAMH non TiicaHWeM cornauleHHs 06 yeuOBHaX caenku. Hectanqaprapie onuwoHEl Ropoxe HM MeHee JWKBHJIMGI, HO B OTAMUKE OF cTAaHapTHEIX KOHTPAKTOB OObIHIO COCTaBAROTeA ¢ YYeTOM KOHKpeTHBIX 3aNpocoB NoKynaresa HM HOMOra- WoT mMBepcHitMpoRATs RecEMA ereuMpiTE- ckHe puckn. 3ayactyio TAKHMM ABAAIOTCA KOH- TPakTb! THA "CBONLMOHOB"-ONUMOHOR Ha caonkt. Hampumep, cBonuHonst Ha nomyrono- Boii eapopamoribiit zeno3HT co cpoKoM HcTe- \CHHA B TPH Mecaua NO3BOTAeT NepxKatemo KOHTpakta B CpoK HcTeYeHUR OOMeHATE m1a- Baoulylo mpouertuyio cranky LIBOR » ouk- cuposannyro (ckaxkem, 4,5%) u paamectuTs TaKoll Nem03uT Ha WwecTS Mecsas. PasnmyaioT gga puja onuuoHos. On- unox om = (Call) Ha_—stoxynky Mpenyematpupaet mpapo Repxatena KOHTpak- Ta KYMHTS OObCKT KOHTPakTa [10 yCTaHOBIEH- Holi ueHe. Jlanee paccmarpusaiotea esponeii- ckwe KoHTpakTE Ha aKumH KoMnanun ABB (aanee aku) co cpokoM HCHOmHeHHa TPH Me- caua. Jlonyetum Takoii Koutpakt crouT 3 AON H Lena ero HcnonHeHHa 50 noma. Moxy- NaTedb Takoro OMLHOHa paccuHTEIBAeT Ha TO, 410 WeHa aKuMH Yepe3 TpH Mecstja 6yyeT 60- nee 53 yonn, [puGsias B 9tom cayyae rpadu- 139 MECKH MOXKHO H306paaHTs cuenyIouLUM oGpa- 3om (cM. pue.1). Ecam nena axuau (kypc) Ha MOMeHT creYeHHR Mpersicur 53 noma. (ckaKem 55 non.) Torta aoxon coctasur 2 Hosa. npudwirn so. 53 7/55 yOounxu Pue.L Punancoseiii mexames noxynamess onyuona ont no yene ucnornenus SO dor OuxebHaHo, 4To MoKynaten omuMoHa PACCHHTEIBACT HMCHHO Ha TIOBKIeEHMe HeHEL kyu. C apyroii ctopoxsi, npoxaseu store OMMMOHA JeMaeT CTABKY Ha TO, YTO HeHa aK ue mpepsicut 53 fonn. Ecnu wena va Moment MCHOSHCHHA CocTaBHT 55 gouu1., UpoaaBeL, O1- UMOHa Mponaet akuHH no SO jomn., noKynas HX Ha pBlHKe no 55 OWN, yuUTBIBAA 4TO OH Mpogal OnHOH 10 3 AomI., yYOoITKH Ha STO onepauinn cocrapu 2 ons. (pHe.2) npudoir oe | =a yOu Pue.2, Punancoesit examen npodaaya onyuona nym no yene ucnosnens 50 don.To momenta kax tleHa akuHH IpeBEicHtT 53 goun., nponasen onuHoHa ocraerea ¢ mpH- 6sunpro. JJonycram, vepes TpH Mecata aK cron 49 4ou.-KouTpakT ncTeveT Ges HcHo.t- HeHHs, MpomaRel octaneTes c MmpHOLITIO 3 HOMN., HOKynareaL nouecet yOuITOK B 3 Yo.. Onunon nyt (Put) - noma nporiao- HonoOCT OMMMOHa KOI. Hoxynaten Ta- Koro KoHTpakra HMeeT TIpaBo 110 HeTeveHHH Tpex Mecauier nposars akuuH Konami ABB Mponasuy KoHTpakra no weHe HerOHEHHA. Tipeanonoxum ariaaornsuste yonoBia - cron MOCTS ONUHOHA 3 HONK. HeHa HeHOsHEHHH -50 stom. Tokynatens takoro KowTpakra nonyunt MpHObuIb, ecm Wena aKUMM Ha MOMeHT He nonuenia npuGeum ynaxer wsrKe 47 zon, OK CMOMKCT KYNNT AKWHH Ha PBIKe, mposar, KOHTpakT 10 50 HO. M Hoay4HTS MpHOB, HOKPHIRAIONIYIO WIAIePKKH Ha HOKyNKY on. uuona "nyt" (puc.3). Tiponapen Konrpaxta, waoGopor, pac- CHMTbIBACT, 41O WeHa AKLHM OCTaHeTeH Bue 47 nonin. (puc.4). Jlo Tex nop, noKa ueHa He onyctutca HiKe 47 son. oH ocTaeTeA ¢ npH Suunto. Ormerim, To HoxynaterH onnnoHos pueylor norepatp cyMMy, paBayio croMMocTH onuMOHa. TOKO npudnian npubwirs 3 34 2 24 14 i4 o + + oy ype axquu, Kype axuuu, -1 a gona 50 goan -2 =34 yuma jeucau Puc.3 @unancosssii.wexannas noxynameza onyuona nym no yeue uen 50 don Tipoaasubt 3Ke KOHTpakTOB Hecyr “HeorpaHnuenmuii" puck, Xora mpHOsuIe ux BeckMa "orpaHiuena": B HaHnyumeM cny4ae OHM Monyualor AMIN LeAy OnUHOHA. Ocuosupie npunuuiist crparerum ¢ npu- MeHientem or1uHoHos. Psrar ~"leverage". Onunonst n0350- AAT TOay4aT TaKyiO %e MIpHGBLID, KAK OGbeKTEI PYTHX KOHTPAKTOB, HO M3NepKKH MPH 9TOM 3HaWHTeNbHO MeHBe, a pucK He Hanuoro asime. Hanpamep, cpaniiin noxynky axiwit KoMmianan ABB ¢ rioxynkoit onumona KOA Ha OTH AKUAH IPH H3HAMANbHOH WeHe B 50 aon. Honycram, 4ro Ha Moment neriomHe- Hua OnuMOHa Tena pasta’ 55 nonn. Jepxarens axusii; KyMMBMH Hx no SO goza. nonysun Pue.4 @unancoaoit meranuau npodasya onynona nym ‘no yene ucn. 50 don mpuOsin B 10% (5/50=0,1), Tora Kak AepKa- Tenb onuHoHa Tony4aet 67% (2/3-0,67). Beat wea akuMH ynageT Ha 5 gon wo 45 yom, yorma norepH Aepxavena aKUMi coctansT 5 HOMUI., a BasTeTeN OMMHORA NoTepseT TOTBKO 3 ona. Cpapimm oto rpadnuccku. "VsKoe Me- CTO" AIA AepxKATENA OUMMOHA KOJLT HAXONMTCA B miTepBare 47-53 jon, B enyuae, cmH HeHa akuuit HaXOMUTCA BHe 3TOrO MHTepBara ToTe- PH Aepxatena onyHOHAa MenBUIe, a AOXOA- Hocth Gompuic 4em y Braleabua akunit (puc.5). Takum o6pa3om, noxynatens, urpaio- MH Ha TOBBIIeEHHH, MakCHMH3HpyeT 1OXOJ- HOCTS H NMMHTHpyeT yOurTKH. AHasOrH4HO HC ONUHOHAMH TT -epxatenb, urparoumit Ha MOBBILNCHHM KYpca aKLMH, MakCHMHSHpycT 140JOXOIHOCTS HM OTpAHHMHBAeT cBOM toTepit ecau ueHa OGepHeTea nporis ero pacictos, npudeurs Aepwarein asi wee tnt wx m0 50 noun y 34 24 14 axyuy, yOoata Aeprsrers onynona Pucytiok 5 8 npoueHtHom oTHoMeHHH Gyzer MMerb BIL pHc.6 Puc.6 Hso6paocenue danneix puc. 56 npoyenmax AwanorMuHBtii "peruar" noayyaror ¢ ToMontéto ONLMOHOB NyT, Hrpaioule Ha NOKWACHHH eH va axiiu, BMecTo Toro, 4TOOHI Mpostanate aK- Wau "uopr” (short-selling), mmectop moxer KYMMTS OMMMOHBI MYT 4, EC ero OKMUIAHHA OnpaBybrBaioTca HM WeHa Ha aKUMH ymageT, MaKcHMuaHpoBaTs npHObLT. TMposiaxa "opt" oGsi4HO TpeOyeT BHeceHHa MapxKHHanbHOrO Aenosuta WIM pe3epsHpoBaHHA KpenHTHEIX sMuHii, a MOKyNKa onuMOHa HyT He cBa3aHa C Takoro pona (uHaHcoBEIMH 3aTpaTaMH. Xewxnposanue orkpsitol anHHHOl TOSHUMH MPOH3BOMMTCA NIpH NOMONI NOKyNKH omumoxa nyt. TIpeqtionoxum, ¥ro paaenen akuuit XOYeT 3aCTpaXOBaTb CBOIO HO3HUHIO Ha lpescroanjHe Tpu Mecaia. Kynup Tpexmecay- Hb "nyt Ho yeHe" HHBecTOp raparTupyeT ce- 6c BOsMOKHOCTh peamH30BaTb aKUMH lO HX CeroaHaumHei CTOHMOCTH B TeHeHMe Tpex Me- CAL Ip 9TOM OH TpOLOKaer HoNyyaT’ LH- 141 BHJCHAbI H NpHOBLIb B cnyyac, comM aKHH ABB nogopoxaior. Takum o6pasom, onnHon TT no3BorseT B KOMGMHANMH ¢ suTAHHOi no- SHUHeli YeTpaHHTe pHCK NOHIKeHHA HeHbI, HO OcTaBIaeT MHBECTOpy BO3MOXHOCTh Kari TambHOii MpHOLINH B ciy4ae yaenuyeHHA HeuBI. Ha pucyrike 7 noxasana mpuGbulb nep- xkatena akuwii ABB, kynueurero onuuon "nyt" c neHoi ucnommenua 50 croumoctsio 3 NON. 3aTparbi Ha TaKOit xemK (-3) HOTHOCTHIO MOKpbiBalored Kora wena axiynii mpeBeicuT 53. C npyroii croporsi notepa gepxatena aK- MMi H ONUHOHA NYT MMUTHpOBaHDI MO cpaR- Henuo c Hesactpaxopantioit Amoi mosH- mneli.Pue.7 Xeoxcuposanue omxpsimo’ dnuinot nosuywu ¢ noMoupo1 onquona nym: I-depacamerts axiuii, 2~ depocamets onyuona Anatoruunoe XeKUponanne KopoT- KOH NO3HIMH MpOHIBOAHTCA MPH MOMOUILH T0- KyMKH omuona Kon. Mrpaa Ha nomioKensn ett 1a AKIN , CHekyaaTHPHBU HABE Top MO- KET MpoaTh akKWHH "WOpT", HO OAHOBpeMcH- HO SACTPaXOBATb CBOIO KOPOTKYIO MOSHILIO, kynue "kom no ene" Ha cry4ait ecm aK ABB nogopoxator nompekit ero oxkHJaHHsM. Een takoe caysitea, qepykareab omuHona Koni emoxeT Kynite aku ABB zeuesne, Mem cca Gbt EMY TIPHULIOCb 3aKpbIBATb KO- pOrkylo MOsHNHIO MOKyNas akIUIM Ha PBIHKe. TIpuGeixs or xekupoRaKHs KopoTKoi! No3H- nu rpabweckH PLITNaANT KAK 3epKaTbi10e oro6paxxenne cxempt 7 (prc.8). Puc.8 Xedacuposanue kopomxo’ nonnpn \ \npodaxca “wopm” ABB no 50 dona. 2)npodamca “wopm” ABB no 50 dona. u noxynka onyuona Kon no yene 3 dann. ‘TuueckHe XapakepuctHKn KoHTpakroR. IOpH- 3. Hexotopste nonoxenns Teopun onion. Tpewste em pacenatpnparh Gox1ee CTOKHBIe BOTPOCH CTPArerHH OMHOHOB, He- OGXOAHMO ONpereTHT OcHOBHBIE NpHHHNET YCTAHORTEHMA eH Ha HUX H WByUHTE MaTeMa- 142 Zina ygoGersa paccmarpupaembie HiDKe ONLMOHBI HOLpasyMeBaloTCA eBporelicKHMH. Onmnonst Kon, KoTOpsIe HMeIOT LeHy HcHonHeHHs MpHOANHTENHO paBuyio cero- ANALIHEH PHIHOMHOH ee Ha OObCKT KOHTpaK- Ta, HaSbIBaIOT ONHOKAM Kor "no ueHe". Ha- MpHMep, ONLUKOH Koss Ha AKT TBM c teHoit uerionHenua 50 jona. 6yzer onuHoHon Koa "qo ene", een akunn IBM croat 49-51 goan. Ecan wexa Hcnonerna panne peiHO4HOl we HbI Ha OGBEKT ONUMOHA, TakHe KOHTPAKTé xa pakteprayiotces Kak “aHe wens". Korma nena HerOmHeHHa MenbuUIe ppmouToit ueHEI, roBO- PAT, 4o onmHoHSI "B neKe". Tnx onLHOHOB NYT cnpasesumB0 o6patHoe. auYeckH onus ~—mipegerasnaer cool |, HO © TOHKH 3peHHa ToproBua onlHO- HaMH, BCE MIO OH UposaeT H MoKynaet 310 PHCK, HeEHOROM pHcK, KoTOpstii MoxKHO H3Me- PHT H Mpocuntars. B ocvope Teopuu onuHonos 1ekHT MpesiionoxeuHe, 410 pEIHOK o¢ipeKTHBEH H HCgonyckaet "ap6uTpaxa" iM cieKynaTuBHoii O3MOXHOCTH HOYT NPHGKINE Ge3 BeAKOTO. pucka. JlonycTHM, "To akgHH KoMnaHHH ABB croat 52 2002., Torga OMMMOH KOT Ha HOKyT- xy ABB mo 50 gon c ueHoit nenoanenua 50 JOAN. He MOXKET CTOHTb MeHbune 2 pons. Eau onunon crout | 5/8 xona., Torua y GupxKesoro WrpoKa MOSBNKETCH BOIMOXHOCTE O;HOBpe- MeHHO KYNHTD ONUKON KOAN, MpHBecTH cro B HCHOMCHHE M NponaTs aKUMH HO HeHe Zon 52 noa., sapa6oran 1/8 yoan. haxraveckn 6e3 sa 50 46 44 42 40 of haat HA pucka.,Taxum o6pasom 2 gona. 310 "pnyrpentiaa" croumocts onumona. Vinaue Ci=St-K Pi=K-St tae;Ci - BHYTPeHHAA CTOMMOCTS ONHOHA Kou; Pi- BHyTpeHuss cTouMocTD onuona Tyr: K - yenia uenomenus St wena o6sexra KonTpakra Ha MoMeHT caeaKn. MCU yoni comportne ema yient Bpems, an Pute.9 Hanenenue yener axyuu 60 openenu Ha puc.9 u306paxaet KoneGanna 1eHbI axumt (bupMbi ABB 3a rlocneqHMe 7 Henems 70 MOMeHTa Kora MeHa Ha 3aKPbITHe PsIHKA CO- craaiiia $2 gona. Mpeanonoxum, 40 onnHoH Kou € WeHoit HcnomHeHHs 50 Nom. ucTeKaeT saatpa. CKombKo OyxeT CTOUTS TaKoit ONIHOH? Vsyyaa exennesupie KoncGanHa UeHbI 3a TO- cacuime 7 Hef HECHOKHO CieMaTh BbIBOA, 470 3a 1 HeHb wea He H3MeHANach GombUIe vem na 1 1/2 gon. PasyMio mpennonowuTe, NTO 3aBIpa UeHa ONUMOHA KON JODKHA Ger 8 Mpenenax 2-3 1/2 nonn, Ecru onuHoH crouT 2.3/8 aonn., toraa 3/8 qoma. - Bpemennas cTouMocta, HH Ci = C - Ci, T.e. BpeMeHHant 143 CTOHMOCTS ONUMOHA paBHa UcHE OMMOHa MA- nyc ero RHytpennas croumocts. Ilpennono- 2KHM, ITO OMNHOH HCTeKaeT Hepes HesemIO, TO- Ta CTOMMOCTb akUMii MOXKET Ha MOMEHT HCTe- 4eHHA MoAHATECA NO 54,5 - 55,5 oan. Coor- BETCTBEHHO H OMLHOH KOMI C eHOH HcMOnHe- nus 50 Gynet cronts ot 4,5 10 5,5, a ero Bpe- MeHHaa CTOKMOCTh cocTaBHT oT 2,5 nO 3,5 ons, Takum o6pa3oM, BpeMenHas croumocT> omumona ect byHKuuta KomeOaHNA LEAD! O6b- ekTa KOHTPakTa H.1H LeHOBOTO PHCKA. Hau6onee mpoctoe Beipaxeune ueHo- BOO PHCKa - cpesee CTaTHCTHYECKOe OTKIO- HeHe B mpouentax. OxHaKo orksionenue,Mpecrapnmomee co6oH craxzaptHoe OTK:10- HeHMe OT cpenHero, yunTeiBaeT HanpanmeHHe apwxera uentr. Hanpumep, craraprHoe oF- KIOHCHHE y CHB! HeYKIOHHO MogHMMaromeli- ca B cpenHeM Ha 0,5 B seit GysieT Goutbue Hem Y mewet, KoneGmoutelica B ropws0HTambHOM HanpansicnHnt co cpenHEM erkeAteDHbIM HIMe- HeHiteM B 0,5. Boulee TouHioe MaremarH4ecKoe BuIPAKEHHe eHOBOTO pucKa paccuiTsiRaeTcs no cnenyrouelt popayn V = Stdev (In(P,./P) X) Vt Cranmaprioe oTKAOHeHHe HaTypaltb- Horo sorapHpMa exXenHeRHoro W3MeHeHHs uenbi, St dev (In(P, . /P) X). wamepentioe ua OTpeske quell, YMHOKeHHOe Ha KBaparitetii Koperb 3 YHA aHelt. Mpasas yacrh 910r0 paipaxenus (oGo3nauim V+) onpesenser exxe- Julepubiii NeHOBo! puck, W3MepeHHbiii wa BBI- Gopxe #3 XY queii. Ynoxennem na VW puck TIpHBOAMTES K ORHOMY BPEMeHHOMY MoKasaTe- mio. Hanpumep, sT06st H3Meputb prick Ha oT- peske 30 aneli, exennesnbiit puck ymHorxact- ca Ha ¥30. Crannapriniii nopxon K pEIpaKe- Huo pucKop: = St dev(In(P;. /P)), 30) v250 T.c, @KCTHeBHbIe KONeOaHMA H3MepH- lores Ha orpesKe 30 aHeii (pexe 90 m4) H npH- BOMATCA K TOTOBOMY ToKasaremo (250 - cpen- Hee KoaHecTBO paSounX seit Ha duHarco- BbIX pbIHKkax CILIA B rom). Takum o6pa3om, Cr = £(V(V)) nan BPeMcHHa CTOHMOCTD ONMHOHA ech MaTeMa- Taueckaa yHKuMA weHOBOrO pucKka. YroGb1 THyOxXKe HCCHeLOBATb STY 3aBHCHMOCTE pa3be- pe ctannaprupiit npuMep, vacTo Hassaenciit anam30M GuHOMHOH cTyNcHH (npeanOnOKUM, uro K = S,t.e. Ci= OuC = Ct, nena onuno- Ha eIHKOM 3aRHCHT OT BpemMeHM Mt pucKa). Axuuu KommanHn ABB ctoat 50 1 oyenb He- cTaOWuIbHBI: 3a BpeMA t HX CTOMMOCTS MODKET smo ysBouTscs (100), 160 ynacte Ha Hom0- puny (25) 144 . 100 ABB (50) ~, Ha Moen HenosHeHHA ONUHOHA Kon ¢ ucHoit nenoaHeHa 50 MoxeT conte 50) C (ABB, K=50) Q Bepoatnoctb Toro 4 Apyroro BapHanta =50%, OGO3HAYHM BOSMOAKHOCTH MOBBILIEHHA went ABB - “u” (“up”): u-2, a nommxenme “d" down"): d=0,5 uS— Cu=max(uS-K,0) ABB(S0)=S: S70 7 ‘ws ‘Cd=max(dS=K,0) Huvecraunn onanon Kon caxzanet ¢ Gomuol goreit pucxa. Aabrepuarupias “Gespuckopaa” crpateria - paoxuTe X zener Hom mpoueHT, rapaHTApovanHblii rocynaper- BOM (KYMNTS KaIHaUeiicKHe GecnpoueHTHEe oGmnraunit), AOXoHOCTHIO RI=25% 3a pens t yp (FRX we - pica er! (+RX Ecmit patok Hickmouaer BO3MOxKOCTE cnexysaTHBHoit npuOButu, Tora onuHOH Kon AOWKCH MpHHOCHTb CTOABKO xe MpHOBUIH, ckonbKo “py” akuuit KoMmanun ABB w cynMa X, exoxennas nog npouent R. (Touemy 70 Tak, MbI pasGepem HIKE). Cu=y(uS)+X(1+R)=50 YS)+X=C. Cd=y(dS)+X(1+R)=0 x ¥(100)+X(1.25)=50 YWOO+X, (25) +X(1.25)=0Pemmp ypasnenue, moayyus: y=2/3, x=-13 1/3, xynup 2/3 axunii ABB (upeanonoxuM Ma pbiIKe MOxKHO KyNHTD gpobtioe KoMECTBO aKUNi) H 3aHAB CyMMy 13 1/3 mo ctapke 25% (nposars “mopt™ Ka- snaselicKnx o6anraunit, nanpuep, Ha 13 1/3) MBI HOAYHHM Ty 2%E MPHOBLID, 410 4 KYMHB omMH ONnUHOH Kon. Torga wena omyMona Kom: re. C=y(S)+X=2/3(50)-13 1/3=20. Tpeanoaoanm, pontox "xeaddbertu- ReH" H lleHa OMMMOHA KOI 23, Tora: 1) nponars onmuon no 23 ("Bpmucats onunon) 2) kynutb 2/3 akunn ABB x 3anaTh 13 1/3 nox 25%. Janse TaKyIO NOI, MBI 13 pacxoayem TombKo 20 13 23 aos., pripyyer- HBIX OT TPOAWKH OMUMOHA, a TPH - 9TO YHCTAA chexynstHBHat npHOpii! Ha sen» ucnone- kua, eoam aku Oyayt crours 100 zomm., Mut sapa6otaem 50 oMM., pOBHO CTOABKO, CKOJIBKO HYKHO OTMaTb, YTOGBI pacriaTHTBCa C Bsa- Jensyem onuuona (2/3 100 - 13 1/3 (1,25) = 50. Ecaw akunn yraayt 20 25 nosu1., Mbt 3apa- Goraem 0, posHo cTombKo HW BaaeIeN ONO Fa, HO 3 Jom. yxke Mocse MpoAwKH OTILHOHA MOKHO CiHTATD MpHODLIIO, HesaBHCHMO OT Toro, kya noligyt akuuH ABB. Ec onunow Kom cToar MeHEue 20, ckaxKem15, Tora: 1) kynuts onuHoH Kort no 15 non. 2)nporats "“wopr" 2/3 axunii ABB Aat B Lonr 13 1/3 nox 25%. Ha rakoii onepamuu, HesaBHcHMO OT TOO, 4T0 CAYYHTCA Ha JeHb HCHOAHCHHA MBI sapaSoramm (nomy4HsM) 5 AON. B HepBbIM »#Ke Jeb CHlemkH, Konuenuua sdexrusuoro — puinika Mpennonaraer, 4TO KaK TOMbKO [MOABAACTCA BO3MOKHOCTS TaKoii chekysATHBHOH NpHGBI- 145 an, Hanpumep pMecto 20 onumon cromt 15 AOAA., TO YHACTHUKH PbIHKa Cpasy xe pearH- PYIOT, HAYHHAA IKcTpeHHO NoKynark 2TH on MOHD! H tea MoRbiMaeTcA 20 20 pont. Bos- MOAHOCTS cHeKyAaINM HCKMOYACTeR caMHM puto cBOGOAHOTO puma 4. Popmyaa Baox-Lly.pua. Virak, spbexripiii prox uckmoya- ef BOIMO-HOCTE NOAyUHTE MPHOLUTG Gea puc- ka, Kak Mbt BbLICHHIH M3 pasoOpannoro BILE IpAMepa, MpHObuIb OF ONUMOHA KONI 3aBHCHT OT piicka KoneGaHHa LeHbI, KOTOpEIiT MBI cyYOL- eKTHBHO BLIpasian KaK u=2 4 d=2. Onumm 13 HaMTy4UIMX — crlocoGoB OUeNKH eRporesicKHX ONLMOHOR cuMTaercs (popmysa bask-Llymtua. Ocnopsiasch Ha TCOPHH BCPOATHOCTH, HAOMHHM, YTO BeposT- HOCTb pacnpeneneHHa "u" 4 "d" Ha pBIHKe c SombumM OGbeMoM onepanuii npuOawxKaetca kK HopMaibHomy saKoHy pacnpeenenus. Oc- HoBHDIe sNeMenTEL hopmysb - Ru V, r1pHBo- JATCA K ONHOMY BpeMeHHOMY HoKa3aTesno, Ha- npumep puck V = 34% 8 roa, a npouentuas ctaska R=12% rogossix. B xayectse “GespcKoBoii" NpoLeHTHOH cTaBKH HcHONB3y- eTea MpOueHT Mo KpaTKocpoyHBIM rocysapcT- BeHHBIM wWeHHbIM GyMaram (ecaH ecTb BO3- MOXHOCTS CBOGOLHOH NOKYNKH H Npon@KH, a rakKe Mpodaxku "WOpr", HIM xKe HaHGomee JMKBHAHGIM pHHAHCOBLIM HHCTpyMeHTaM c MHHHMaJIBHBIM Kpe/HTHBIM PHCKOM. Coraacko cbopmysie CTOHMOCTb OmuHO- Ha KOM onpegensetca: “Rt “N(d1)-K -e -N(dy), rae: dl = In(S/K)+(R +V 2/2) +t vey un d=d)-V Y(t), N -nopmaspuoe pac- npegesenue, 1 - Bpema 20 ucronHeHua B roxax (0.5, 0.25 u7. a.) CTOHMOCTS OMHOHA TIT: = Ri,PHCSK ee 5 -OCHORAHHE HaTypaibHbIx sIOra- rte: € pudos. Merog baok-Llyapua ue sapnaerca CUMHCTBEHHBIM CHOCOGOM JIA OLICHKH OTIHO- Hop (cyulecrayeT TaKKe MeTobt Koxc- PyOenureiiua u Xon-Yaitra), no cuntaeres nauGostee npocrsim Hm Gosce yrorpeGumiim Dra dopmyna - "x6" GombuHcTBa Topros- eB ONUHOH. Ocuosnoii s1ement aroli pope (dj), werpaxaet KonHYeCTBO aKUHi, KOTOpoe B coueranuu c Kpeautom so crasKe R, oOecne- UMBaeT NPHOBLTb, panity1o MpHOBLIN OT NOKyN- kit onuHoHa Kost. (AHatorMuHo y B npumepe ce axunamn ABB, rae C=y(S) +’). Boipaxenne Nd) —_naspipaetes "jenbroi” 1 MpHGnHsHTeIsHO paBHo U3Mene- HINO YeHBI ONNHOHA KON B OTBET Ha H3MeHe- Hille UcitbI O6beKTa KoHTpaKTa. Jas onunona Kon AC * A=N(d)) AS Jas onumonanyr AP ~A=N(d,)-! AS. "Jlensra"(A)-paxneiiumii oaement B noscemesHoii paGote mpoeccnonaros pbil- Ka ONNMOHOA, TK, BBIPAKaeT 3aBHICHMOCTE He- HM aKIMH H UeHbI OnNKOHOB, OSecneumBaR BOSMOXKHOCTE ONepauuit no xesKHPOBAHHIO H mpumenenmo "sexta psriara" (LEVE- RAGE). Tlonyctam, uxnectop xouer KynuTs omMoH H HonyGHTE MpHOsiN, pasnyto mpH- Gou1H oF IMHHOK nosmmMN no aKuHAM ABB. UroGs1 BocriomBsoBaTECA ONUMOHAMH IA STON ues, eMy HyKHO Kynar I/N(d}) ommonoB Kou, Torma Ha Kae MYHKT pocta eH aK- uit ABB, mpaGuuis wusecropa coctaput 1 uyakr, Haye rozops, wHpectop noayyaer paBlyio MpHGKIM, WIM ero MosnMua "neneTa- nelitpanpua" Eon unpectop sxenaer ynBouTD pHOsins - HyxxHO Kyte 2V(1/N(d))) KoAAOR. 146 Een xe upectop >xkesaer nosicrpaxonary cBOIO JUIMHIHyIO TOsHUNHO HO aKKMAM ABB g orvomiennn 1:1, emy Hy:kHO KynMTb 1/1-N(d)) onlHoHOR HyT Ha KaxyIO coTHO aKuntit ABB (kwkapiHi onunon - cnenka Ha 100 axynit). Hat xe on Moker BbulHcaTt (npozate 1/N(d)) onnHonor Kom). Ecnn weva aKnuti ynager wa 1 goa. wena onmMoHOR Kos TaKKe ynaner na | non0., unpeetop MoxkeT nponats ABB 4 BLIKYNNTS ONMMOH Ha 1 HOsUI. AeUeBTe, Hem OH HX nposat - OOuee H3MeHeHHe CTOHMOCTH nosiuntii - 0. Onunouns Kon 1 nyT aBcomoTHo B3AHMOJAMCHLIEMBI B TAKHX OMepANMAX. Tipyrite Baxkibie aemeritbt olleHKH on- UMOHOR sBIeTCA HyBCTBITeTbHOCTS UeH: a) Ha woMentenHe B pitcKe 7 (ramMa): AC um AP =y Av Av 6) ko Bpemenn netoaHeHua O(reta): AC wm AP =0 at At UroGb MOHATe BIAMMOCRAY NoKazaTe- nei R, A, y 10, neo6xonHMo npoxenar He- cCKOuKO ynpaxHenHii c opMysoi Bask Ulysena. HauGonee paxkueie MoMeHTBI‘1) ‘eM Gonpine spems ¢, Tem mensine A. 310 osHaya- eT, TO WIMeHEHHe UeH oNTOcpouHEIX on- UMOHOB B OTBET Ha H3MeHeHHe WeH O6bEKTOB KOHTpaKToB. 2) 4em Gonbure V, Tem Menbite A H Tem Somme 8 HH Y ONUMOHOB Ha aKUHH (H Mpo- ‘He aKTHBEI) © GOsIbUIIM UEHOBSIM. pHICKOM, Gonbinias 2aRHCHMOCTS OT BpeMeHH 0 con HeHHa HM MeHBUIe 3aBHCHMOCTS OT WeuBI Ha oObeKT KoHTpakta; 3) 4em Bouue R, Tem Gonsine 0, y HA, Te, UYBCTBHTeNBHOCTE UeH Ha ONNMOH K ne PHogy Bpemenn go HcromeHHs, UeHOBOMY PHCKY H YpOBHIO HeH Ha OGbexT KoxTpaKTa Bo3pacTaeT C POCTOM MPOLeHTHEIX CTABOK. Xopouio yacHue ocHOBHBIE MeTOTE ONPEACICHHA UCH Ha ONNMOHBI, “HTaTCb CMOKET MOHATh HM Hay¥HTECA cocTABIATh CIOKHMe CTpaTerHH ¢ TPHMeHeHHeM pasmH4-_HbIX KOMOMHALMi OMMHOHOB, OCHOBAHHbIC Ha peaKUWMt eH Ha ONUMOHBI B OTBET Ha H3MeHe- ane » SK, R, V, uf orpaxaiouue erage 4 iporHosbi asTopa cTpaterHut. §, KomOnnauun ommnonos. Touxit GesyGerrounocta K 4 (C+P) f N\ Pue.10 Cxesea cmpadaa na axyun Takat KOMOMHaLMA BEITAAAHT MpHBAC~ kareaAbHO, ECM HHBECTOp OTPHIaeT, YTO aK- UHH JO MoMeHTTa HenlommenHa HH MpepbienT 53,5 wim ynaner 3a 46,5. 3ameTHM, ¥ro nena c1pasuia OOBIHHO OBOSHO BEICOKA (3,5 B Ha- wen npusepe). ostomy, pasyMiio npHMenuTs yaky0 crpareriio. Eoin pvck Ha ceronHaul- Hii MOMeHT He OcoBeHHO ReTHK (V), omtHO- HbI CTOAT ZeUIeBo, HO HEBECTOP OxMAAeT yBe- aMNeHHe KoneGaHnit ucHBI B Gyayutem. Ha- NpHMep, MpencTOUT OOBABNeHHE pesysbraroR KBapraibHolt npHOeViIH H HHBecTop Mpestona- Fact, 410 MOLyT GbiTb "cropapHsbi". Kak MBI yke REICHITH, pH MOMOUL "JeneTsI" MoxHO "HACTpOHTS" CTpam TAK, ¥TO on Oynet oTpaxkarh Bsr HEBECTOpa. MoxHo kynus erpagt 3 /N()) Konston He A/I= N(d)) nytop ("nensta" - neiirpanpusiii), Torna KoneGaHna WeHbI B TY H JIpyryto cropory npH- HecyT onuHakonyio mpuOsut. Ec uHRectop cuutaer, 4T0 oj BepostHee Apyroro, Ha- Mpumep oObaBAcHHA NpHOSUIM MK AMBHACHAOB 3a NlochenHMi KRapran GyseT cKopee NIpusT- HDIM, 4eM HeMpHsTHBIM "clOppH3oM", OH MO- 147 KomOnnania onunonos "kos + nyt" ¢ OuMHAKOBBIM BPeMeHEM 10 HCTOTMEHHS Hasbi- Baetes crpast. CxemaTueckH — noKynika _nipoctoro crpauia Ha aKuMM KoMMaHun ABB c uenoit wenoanenua 50 wuiraagur tax (pac 10): (npeanosoxnm onunon Korn cront 1,1/2, a Kype axyuu GONA XKCT YBCNMYHTB KOAIMYCCTBO KONUIOB HAH YMeHBIIMT KOIMYECTBO NyToB. TaKoit cpa noKa3an Ha puc. 11 (a). Crpaaa, 8 KoTopom KosHuecTBO nyTOB B Ba pasa NPEBOCXOAUT KOMMYECTBO KOIUIOB (mpumepxo kak Ha pue.11 (6) HaaKIRaloT CTpH- nom. Tako crpadi coorseretByeT OkHsa~ HHIO cKopee MOHWKEHHA WeH, YM TMOBBILIE- Hua. Vinsectop MoxeT npogatb crpaga, ec- JIM OH pacCUHTHIRAeT, YTO LleHa Ha MOMEHT He- HonHeHHA ocTaHetca B npenenax K +(C+P), uro noxkasaHo Ha puc.12:npubman npudnipb 0 Ly _gosa._, gas, yObumxu yOounxu 6) a) Pue.11 Cmpadass c pazmuanoi KomuecmeoM OnyuoHos KONA UW nym (C+P) +(C+P) yOwumxu Puse.12 @unancosuit wexanuau cmpadaa Takylo etpatermo o6erimo mpunera- 1OT, KOra HeHOBOH pHCK OFCH BEMUK, HO B HepcneKTaBe OrKMMaeTCA ero perKoe cHYKe- nue. TpomaxKa ctpayyia - ovens puckopantas KoMOunanus, TK. mpu6cim (C+P) duxcnpo- Baila, a nlorenuansrsie yGurrkn Heorpanit- venubi, OuHaKO 970 He 3HaUHT, TO MponaKa erpaiia peqko Berpeyaetcs. BenomHuM, 4To ONMMOHBI ¢ OUeHE PHCKOBAHHEIMH OGBeKTAMH KOHTpakTa BeCbMa YYBCTSHTEABHBI K TEYEHHIO Bpemenn (Gonsmat q ). 370 jaeT BosMorK- HOCTS MAHHMysHpoRar> ctpayuiaMH, HanpH- Mep, TaKHM OOpasom: npemMoso2UM, LICHOBOI PUCK akunn Goxpute 50% B ron, H HHBecTOp OKHMAET, YTO NOMOGHEIH pHcK coxpaKUTcA B TeueHue nocneayiourero Mecaua. Torma umeer CMbICT Mpozat cTpami, co cpoKOM HcTONHe- nua 3 Mecalla, a Yepe3 MeCsIL BBIKYTIHTS ero, JIMKBHJMpOBAB TEM CaMbIM CBOM OOs3aTemECT- Ba (11H OgHy H3 "Hor" cTpaswia, B 3aBHCHMO- CTH OT Toro, B Kakylo cTopoHy oxHqaeTca AanbHeliuice ABHKCHHe eHbI). JonycruM, no- AOOHEIT crpann GEL npogan, Kora akuua 148 ctonza 50 gont., © yeHoi nenonHeHH® 50 nomi. 3a 8 3/4 nos. (4 Aou1-ommHon Kon, 4 3/4q0a1-onunon nyt ). Yepes Mecan, Korma "KUSH" eTpagyia coKparHsiach Ha OAHY TpeTb, axuma Gyxer rout» 53 A0.7., MPH 9TOM B Te MeHHe Mecsila WeHOROH pHeK ocTaeTca Ha yposne 50% (uena ax KoeGnerea or 45 on. 40 $$ gos1.). Brome BosmoxHo, 40 ONMMONSI Yepes Mecau GyzyT crouTe 6 1/8 - kona, 5/8 - nyt. Mnpecrop cMoxer BBIKYTTS onuHount 3a 6 1/8 nonn + 5/8 non = 6 3/4 Aon, nonysns npHOsL 2 TOM. M NOAHOCTBIO JIMKBHJMPOBAB CBOIO PHCKORAHHYIO TO3HUMO.. Upyrot nogxon - nponaxa (noxynka) CTpaaion - OnNMOHOB Kos BHE UeHBI HOYT BEE WCHbI - Ha3bIBaeTca CTPOHTT: pacmmupser TOUKH GesySuouHOCTH, HO genaeT cTpAadI Feulenne; B cny4ae npogaxKH - ysenHuHBaeT BEpOATHOCTS NonyycHHA mpHObuIM (puc. 13).a idle}K+1)=2 a) Puiccl3 Crypenenes cocmaanenneré wo oriyitouse oOwOt0 muta a) rpm W 6) Kon Onuospementiaa noKynka w_ mpostaxka ONNHOHOB OfHOTO THMa (MyTOB HIM Ko0B) xasmaetea cnposiom. Hanpumep, mpectop, paccuTLIBAIOLMNii, UFO Yepes Mecatt teHa aK- wii ABB noqHvMerca, MoxET KYMHTb KON 110 ewe H MpoNATh KOT RHE ILeHBI, 4TOGbI CHHBHTS sarpatbi Ha Takyo onepautio. [pearonoxns, ueHa akunn ABB - 50 noan, kos ¢ eHOli Hc- noaHexna 5S yonn - 1 1/2 zom1., Torta o6maa ctoumoctb "cnpsfa" - 1 1/2 xonn. Ecan Ha mouka Ge2y6eumounocmu = Ky + C)- C2 Maxcumaronoie yoormxu = Cy - C2 MaKcumanbHaa npuGbLi K2- Ky - (Cy - C2) MOMeHT HenoaHeHHs (06a onuHoHa HMeIOT omy aty uenosmenia) axuna ABB ctour Gombie 4em 51 1/2 Onm., MRecTop noayunT ApHOsu1b, Ho 91a MpHOLuAe He MpeBsicur 3 1/2 noan., Tk. ecnm axunx ABB Gynet crours Gosbiue 55 Bropoit onmMoH SyzteT npuBeneH B McnonHeHHe HM HHBecTop OyzeT oOs3aH Mpo- HaTb axuun no 55 jonn. Taxoit cnp9a HasBIBa- eTCH JMarOHAIbHBIM HMeeT CresyHoulMe Yep- TEE oan Ky>K; Muazonaronesit enpsd ¢ onyuonasu evienadum credyrouunt obpazom: mova 6e3yGeimownocmu = Ky~ P2 + P, Maxcumanbuotit yOermku = P2- Py Maxcumanouaa npubviuie = K;- K; - (P2- P1) Uwarovanbuelit cnpombl jelleBle OT JeTbHO BIATOHL MOSHUMH, HO HM THMMTHpyIOT mpa6sum HHBecTopa. Apyrow Bux cnpsow - KaeHapHble - Rpennoaaraet npowaxy 4 NOKyNKy OAHOTHN- HBX ONUHOHOB C OLHOH WeHOl HCHOTHeHHA, HO pasHEIMM JaTaMH HCrIOAHeHHA Hanpumep, mpogas wecrumecsuublli ONNMOH KOI Ha aKitMH ABB c ueHoil nenot- Heuua 50 noma. 3a 6 3/8 qomm. H KynMB Tpex- MECHIHBIL OMUMOH KOM C TaKOiI 2%e WeHOt uctlomHenna 3a 3 1/2 nons., HHRECTOp Hlomy4a- er yoxog B 2 7/8 gons. m paccunTEiBaeT TO deka axa: 1) 6ynet auime 50 nona. B TeveHHH 6 MecauIeB; 149 | Ona Ky>Ky 2) Gyner Hue 50 ona. B TeveHMH 6 MecaueD; 3) Gyzer Baue 50 ons. B TeHeHHH 3 MecaLeB, a norom ynager Hike 50 70n. B kakom ciy'ae 31a NosHIIHA yasBHMa? Ecnu nena aximn ABB 6yser HipKe 50 Joni. B TeveHMH mepBIX Tpex MecsueR (Cummnuas nosumaa ucteser GecnpHObiabno), H TOMHHMeTCS K HCXOAy 6 MeCsIeB, MpeBEICHB 50 noan. (KopoTKad NosHUHA - OMLHOH KONI, TpojaHHbii 3a 6 3/8 noan. npmHecer yOurrKH). Ho u Takyio cTpaTerHi0 MOXKHO MosCTpaxo- BaTb: cciH Weva B TeveHHH Tpex MecalleR onycrites auxe 50 Roan. H MMBecTOp MoTep- Tt yOBITKH Ha TPeXMeCRYHOM OmLMOHE, BIOMHe BepOosTHO, TO WeHa BTOporO ONUMOHAKOI Pe3KO CHH3HTCS, T.K. BO-MePBEIX, BpeMa FO "KH3HH" YMeHbULHNOC HanonoBHHY, a BO- BTOPEX, Moka wena aKiH ABB wie 50 JOMN., BHYTPCHHAT CTOHMOCTE OMILHOHA KOU & UeHoll ucHoHeHuA Gyaer oTpmaTembuolt (C;=S-K< 0). Bonne Bosmoxio, wro wena BTOpOrO OMMMOHA B KOHIE TPeXMECRNHOTO Te- puona ynaner nupke 2 7/8 os, H HHBeCTOp CMOXKET JNKBHAUPOBATb KOPOTKYIO OSHUHIO, OcTaBLINch ¢ NPUGELIbIO (BEITYCTHB ONHOH ONLI Ha pBIHOK). Unraremo mpegttonaraetes pony Mart, Kaka cTpaterHa upeuiiosaraer cheayrouure KOMOWHAUMH, B KAKHX CAYYAIX OHM NPHOKLT- HbI, KaK YIPABAATS QIMKHOH M KOpOTKOt MO- SHell, ecsIH B TeHEHHH rlepBBIX 3-x MecsItes TeppOHATANbHbIe OKHZAHHA He onpaBsaIOTes: 1) mposats tpexmecssnptit onuon ABB 50 Koma 2a 3, KYAHTS 6-TH MecsunbIit ABB 50 3a 5 xoa1.; 2) mponath 3-x Mecs4HBIi onuHoH ABB 50 nyr 3a 3-1/8 gous., Kynurs 6-1H Me- casas ABB 50 nyt 3a 6 3/8; 3) Kyte 3-x MecauHbift onuMoH ABB $0 nyr a2 1/2 gonn., npogzati 6-TH Mecsunbtit ABB 50 nyt 34 1/4 noma. Cnpoutbt, commenmaroue Yeprbt suaro- HaNbHbIX H KaNeHLapHBIX, HaxbIBaloT KOMGH- Hupowanubim, TaxHe cnpoubI BecbMa pasHo- OGpasHEl H CORmaIoTeH C YHETOM pasHooGpas- HDIX B3r7I8s108 HtECTOpOB. YMeune onepHpowats © onuHoHaMn HlosBosseT He TOKO NogcTpaXoBant oTAeNL- Hble MOSM, HOH XezVKMpOBAT uenBE nopripeai weHubtx GyMar. OAMHM 13 rapHBsx Hpinuuinos xeqkMpopanna - npuMenenne "eAbTbI" B KaYeCTBe OCHOBLI MaTeMaTHYecko- ro pacera etparernit Kak bi yake BBDICHIM Ha KaxKayI0 coTMO akIIKHH HeoGxoaHMO 1/1-N(dj) onuHo- nop nyt, wan 1/N(d;) koan. Toxynxka onuito- HOB MYT Cbx3aHa C HONONMMTEABHBIMK pacxo- JaMH, HO OCTABNAeT BOIMOKHOCTE NoayHeHNA MpHGLIMH B eny4ae pocta UeH Ha XexKHpOBA- nie axuntit, MIpowka OnMOHOB KON B OTIH- AHH OF MOKYMKH ONUHOHOB Nyt He NOAHOCTEIO crpaxyer wMHKYIO TOsHIUMO, @ ANUS MpHiO: CHT OTHOCHTeETBHO JUMMTUPOBAHNEI Oxo. Ecau xe wena Ha akuun yBemuntes, muse crop, 1ipoapuini ONUHOH KOs, Gys1eT BEIHY- 2kAeH NpOAATS AKUE BNaeAbLY KOHTpAKTA, Tepaa TAKMM O6PaIOM BOIMOAHOCTS MONYYHTS oMONMTenbHyIO NpHOBL (1261.1) Tabauya 1 ‘Croumocrs nomun 100 ABB + Lena akunn ABB | Kynurs 1 onunon nyt ABB503a3 1020. | Mpoaats I onumon Kona ABB 50 3a 21/2 o.na. ‘ABB i Wroro, ABB Konn Mroro 40 50. 3 47 40 42172 Riv 45 50. 3 47 45 #2172 47172 50. 50. 3 a7 30 42172 5212 35, 55 3 52 50 #2 1/2 52172 60. © 3 57 50 #21/2 32172 J Kax syquo us ra6z.1 unpectop npo- JABUINH OMUMOK Kon Honysaer GOuBLII s10- XOn (MeHBIIMe yORITKH), YeM uuBecTop Ky- THBUHH OTMHOH NYT, B TOM cmy4ae com Hea ABB Ha MoMeHT HeTedeHma KoHTpaxta Gyzer waMenena or 44 1/2 0 5S 1/2 qonn. B octanb- HBIX CHYYASX BLINTPLIBACT NOXynateb ONO Ha nyt, PaceMorpum elle osHy BOaMoxHyIO 150, cTpaTerMio - MpOaTb OMLHOH KOJI BHE WeHbE (ra6n.2). Vinnectop, we xenarounit 3aTpabats 3 aonn. Ha oKynKy onuMoHa HW paccuHTTsI- Baloumii Ha BosMOxKHOe NopbIUeHHe aKwuit ABB » Gynyuien, Moxet wocno.tssoBarbca crpatereli, sJatouleli oTHOcHTebHYIO KOM- NeHcauHlo B CRYYAe NOHWKeHHA ICHBI, HO OC-TABAMOMYIO BOIMOKHOCT Nosyenus pu | Gout, conn nena aBHKeTeR BHepX. Taéauya 2. Croumocr» nosuum 100 ABB + Ueua axwin ABB [Kymure 1 onuon nyt ABB 55 sa 3 aoaa.] Mpoaare | onumow Koaa ABB S03a1 1/4 oan. Mroro Myr | Hiroe ABB Kona | Mroro. 40 47 4212 40. +1 Wa ania 45 47 4712 45 sa 46174 50 47 S212 50 7a S14 35 32 S212 50 1/4 56174 60 37 5212 50 +a 56.174 Kakwe >Ke KOMGMHAaILHH BO3MOX%KHBI Cc Topripeasmt ueHtbix GyMar? Tpearonoxns, pyxosoauten dona uMeet xopomto suBep- cnbuponarHstit nopripets, KOTOPHIit 10 CRON aMaNMEeCKHM XapaKTepHeTHKaM. npHGmIKa- erca k uHueKcy S&P 500. XexKupowats stor noprper MoxKo Kak H OTACABHBIC AKU, HO He ToKyNad on- WOH NYT WI MpoxaRaa onIHOH KOT Ha OT- JeAbIBIE AKL, a BOCTONEIOBABINHCE OMUHO- amv Ha S&P 500. Perpeccupubtii aiann3 no- 3HONNT yCTaHOBUTD —KOppemauMIo _MexIY noprerem 1 S&P $00, ckaxem +0,8, rorma MOKHO PaCCUMTbIBATH, WTO Ha KaKUbI MYHKT wMenenua ueHbr na S&P 500 B cpeqHen cTonmocts nopriena usmenures Ha 0,8 nynK- Ta (B conocrapuMpix enHHMnax). Torta Me- Hewkep Moxxer kynuTe 0,8 (1/N(d))) onmonos nyt Ha S&P 500 Ha Karkapie 500 aKunii cBoero Hopribens (HanOMHHM, 470 ONUMONBI Ha HH exe S&P 500), mpoaatores ¢ Homunatom 500, wat npogatb 0,8 (1/N(d;)) onunoHOB KoA. Y ontmonos, rakxe Kak My aKuMit, MOKHO paccunTats B-oKasaTemb oTHOCH- TesbHOrO pucKa. beta - noka3aTesb OnlMoHa KOM HaxoguTea no opMy.te: Ss Be= + N(dl) - Bs € Te Bs - Geta o6sexta KoHTpakra. Snare Gera-nokasareia OMLHOHOB TO3KONeT TIPOM3BOAUTK BECbMa CHIOXKHBIC onepanna mpaxtaeckH ¢ m06sm nopripenem. Hanpumep, menemxep dponsa c Gera nopribe- 151 sie [is=1,75 npornosupyer HectaGuasuoers Na poluKe aKuaii B Gauxalue TpH Mecaua Ero GecnokouT wbicoKuii puck noprpens (Ps=1,75), 0 emy He xoucten npoaaBats aK TMH (NO MHOTHM TOSHIHaM OH OxHAaeT Tosy- NeHHa ANBHAeHAOB B OamKaitume TpH MecA ua). Hanaysuuit ebixon - npouate onunonst. Meuesxep rakoro dponta Moxer ckouctpyi- posats H Mponats nopriberb onunoHoR Koa Ha no3HMH C HaHGomee BbICOKHM Gera NokavaTeqeM HIM >Ke Mpogare OMUMOHEI KONA Ha utigexc ousoporo ppiixa (Hanpanep, S&P500), Tak ¥TOGs OGM GeTa-noKasaTe mM noprbens mpHOausunca « 1,0 4 pick HOBO noptiens He GyzeT MpeBBILAT pHICK pBIHKa B ues10M YKenaa Gurr Gowee KoucepBATHBHIEIM B TeHeHMM Mpeactosmero HecTabHABHOTO ne- puona, MeHexxep 3Toro nopribeta Moxer BMOCHIEACTBHM YBEHHTE CBOIO KOPOTKYIO M0- SHUHIO MO ONLMOHAM Kos M AoBecTH Gera- Tlokazatesb nopripess, ckaxem, 10 0,5. Mexannka Takix omepamuii cnemyro- las: npeanonoKuM akiyan ABB umeror Gera- noxazaten papabilt 1,85, "Konn mo mene" uineet 9,25, snaenne genbret - 0,5. Torna uTOObI HOYT’ Bs HOSHUMH 0,8 KY:HO npo- nats 0,23 onmonos Kom, Han 23 onmHora Kou Ha Kaxkabie 10000 axuntt. Tipennonoxum, 470 mo KaKHM-sH60 Npuwutam XespkupoBaume MpH OMNI on- IMoHOB Heso3Moxto. HanpuMep, Ha pEIHKe HeT CTaMJaprHoro OnUHOHA c HeOGXONHMBIMBpemeriem 20 HcrlonHeHita, a HepHBatHe cTOuT eamuIKOM ZOporo. Moxer mm Menesxep noprijens Hos- crpaxonaTs puck cRoeli AAMHHOi mosMNH? Moxker, eca oH 31laKoM ¢ mpHHuTian Teo- pun onuMoHos. Beromnum nonoxennic 06 adextuBHocri perika H (bopmysy GuHoMH0- ro awasiiza. TpxGp1ab of onmunona Kot 77C,=max (uS - K,0) Ay (uS) +X (1 + RY nN =yS +0 . ‘C, =max (dS - K,0) ™. y(dS) + X(1 + RB) IpuGei1b or onunona nyt m0 Toi xe norHKe: 7 P-max (K - $u,0) a luS) XL + R) =yS-¥ =max (K - Sd,0) + yds) (1 +R) Pyxosoactayacs teopaeit optdena MeesDKep MOKET CO31aTB CHTeTHYECKHH on- UwOH myT Hom Kon. Hanpumep, mpennonoxKum, 470 nopr- gen axunit ceiivac ctout 100, Ho 3a Bpems Moxer nomHatbes 10 130 WI ynacts 10 70 nos. Torna HeoGxoaHMo HaitrH TaKyIO mpo- Nopumo, cormacHo KoTOpoli BaoKeHe n B noprpens M » oGnurayun oGecneunBaer Mu- numyM 100 Ha Moment ¢. 7 Port=up xn + m(1 + R)-130 Port Port=down xn + m(I + R)-100 7 130.xn + m(1,25)=130 Port. 70.xn + m(1,25)=100 Orser M=0,5, n=0,52, ume nypxtio me BecTHponaTh B AKU H OGzurauHM B Mponop- uu 50:52 coorseretaento. Taxax KoMGuna- una oOecnewuT Ha MOMeHT f MMHMMamBnyio croumocts o6uteit nosnum = 100 gona, a MaxcuManbHias - 130 nom. (910 MOxKHO Mpo- neputh). TakHM OOpaioM, HHReCTOp KaK 61) KYNM1 OMMMOH MYT, HO M OCTABHA BOIMOK- Hocts nonyyenua npH6oiin mp Gxaronpasr- HOM CTe4eHHH COGEITHI. Tipumenssa Merox BaK-Llynsua Mox- Ho paccunTatb, To cHHTerHuecKuit ommHoH yr Aocturaetca BioxeHnem N(d)) B nopr- ben axnnit n Ke” -(1-N(d2)) B kpatkocpou- ubie o6aHranHH, re K -7kenaemaa MHHMManD- Had CTOHMOCTS OGLICH NO3MUHK, a B Kayectre MeHOROFO PHCKa HcrOMbayeTCa LeHOROIt pucK, paccunTannbii saa nopriena axuntit. B sakmouenun BepHemea x ytBepxue- Hui0, 4TO TOPrOBUb! ONUMOHAMH MpoxaioT H Nloxynator puck. C noMowsio opmyset Brsk- Ulyasya Moxio paccsitare puck meHbt aK- uuii, €CIH UeHa Ha ONUMOH H3BeCTHa. TaKoit weHOBOH PHCK Ha3sIRAIOT BTOpHUNEIM BAH noapasymepaemem. Ecau propwnpili puck Gonbure vem puck nepaHunstit, wamepeHasti MO ACHCTBHTEIBHOMY DBWOKEHHIO eHBI, roRo- PAT, 4TO Tpaiizepsl oMuHOHOS "npomaiot puck". B npotuaonoaoxtom cnyuae yKasbi- Balor, 40 Tpaiiaepbl "noKynaror puck", Yuu TbIBax, YTO NOSHUMH Tp3iiTepoR WeNMKOM 32- BUCAT OT HX NPOrHO30B OTHOCHTeMBHO pHCKA MpHOLLAH H YODITKOB B TAKHX OLlepaLMX Os HOCTBIO 3aBHCHT OF TOTO, ONpaBMawTCa MH UX nporHossi. Jlaxe ecm nosvunn "geapta" Heli- TPaMbHbl, CTOHMOCTE TaKOi MO3HUHH pe3Ko YMCHBUMITCA, COMM UeHOBOI PHCK yraiteT, Te, CCAM NepBHYHBI PUCK yraneT HwxKe BTOpHY- HOTO, H3MepeHHoro Ha MOMeHT mpog@kH (aoxynxn) onuona. © M.A.Acrpe6unckuii, P.B.Bopuconn: