隨著國(guó)內(nèi)逐漸開(kāi)放衍生品市場(chǎng),越來(lái)越需要有衍生品專業(yè)知識(shí)的人才。這部分的衍生品主要介紹衍生品的一些基本知識(shí),包括衍生品的種類及市場(chǎng)區(qū)分,4大類衍生品的基本定價(jià)原理,以及簡(jiǎn)單期權(quán)策略。
CFA一級(jí)考試的Derivatives(金融衍生品)具體的內(nèi)容知識(shí)點(diǎn)包含1個(gè)study session,3個(gè)reading。
其中,Reading 57對(duì)衍生品市場(chǎng)進(jìn)行了區(qū)別,并對(duì)4大類衍生品進(jìn)行了基本定義;
Reading 58講衍生品的定價(jià)和估值的基本原理,并對(duì)4大類衍生品的基本定價(jià)做了介紹;
Reading 59對(duì)期權(quán)做了進(jìn)一步分析,介紹兩種期權(quán)及兩種期權(quán)策略的應(yīng)用。
從考試的重要度來(lái)看,Reading 58、Reading 59是最重要的,Reading 57其次,其他Reading重要性不大。
以下是高頓教育馮老師對(duì)重要的Reading的考點(diǎn)進(jìn)行了總結(jié),以下內(nèi)容建議考生們?nèi)空莆铡?/div>
★ Reading 57:Derivative Markets and Instruments(金融衍生品市場(chǎng)及工具)
金融衍生品的定義;
金融衍生品市場(chǎng)的分類及區(qū)別;
金融衍生品的分類;
金融衍生品的優(yōu)缺點(diǎn)。
★ Reading 58:Basics of Derivative Pricing and Valuation(金融衍生品基本定價(jià)和估值原理)
金融衍生品定價(jià)的基本原理;
區(qū)別遠(yuǎn)期和期貨合約的定價(jià)以及估值;
合約期初、期中、期末如何計(jì)算遠(yuǎn)期的價(jià)值,以及理解影響遠(yuǎn)期價(jià)值的因素;
解釋期貨和遠(yuǎn)期定價(jià)的異同;
解釋互換和遠(yuǎn)期定價(jià)的不同;
歐式期權(quán)價(jià)值的計(jì)算以及影響因素;
歐式期權(quán)的平價(jià)公式、遠(yuǎn)期平價(jià)公式以及二叉樹(shù)模型的理解;
美式期權(quán)與歐式期權(quán)定價(jià)的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風(fēng)險(xiǎn)管理應(yīng)用:期權(quán)策略)
看漲期權(quán)和看跌期權(quán)的到期價(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算;
Covered call和protective put的到期價(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算。
CFA衍生品練習(xí)題
"Derivative"exercise:The value of American call options
Questions 1:
At expiration,an option that is in the money will most likely have:
A、time value,but no exercise value.
B、exercise value,but no time value.
C、both time value and exercise value.
【Answer to question 1】B
【analysis】
B is correct.At expiration,options have no time value;if they are in the money,they have exercise value.
A is incorrect.At expiration,options have no time value.
C is incorrect.At expiration,options have no time value.
Questions 2:
For a stock that pays no dividends,the value of an American call option is most likely:
A、the same as the value of a European call option with otherwise identical eatures.
B、greater than the value of a European call option with otherwise identical features.
C、less than the value of a European call option with otherwise identical features.
【Answer to question 2】A
【analysis】
A is correct.American call prices can differ from European call prices only if the underlying stock is dividend paying.In the absence of such cash payments,European and American call options have the same value.
B is incorrect.In the absence of cash payments such as dividends,the value of European and American call options is identical.
C is incorrect.In the absence of cash payments such as dividends,the value of European and American call options is identical.