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2002

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1994 3. , ,

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NYMEX (New York Mercantile Exchange).
1991 ., $21,5 (
1

Gegengeschft .
Chief Financial Officer, .
3
Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2

5
2 $22,6 $13,91 ).
,
(21,5 $ ),
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1996 22 18 , ,
.
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(Heating Oil) NYMEX, 10 %
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(International Petroleum Exchange) NYMEX (5 ),
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1997 7 IPE
NYMEX. 180 ,
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The Corporate Hedging Process by Ian H. Giddy (adapted from an article published by Bank of Montreal).
. . , , 2002.

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Commodity Futures Trading Commission) ,
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Rene M. Stulz, Risk Management and Financial Engineering, 2002.
3
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4
. , . , , - 1996.
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(
Metallgesellschaft), .
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Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2

12
) . . , ,
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: LIFFE (London International Financial Futures Ezchange), CBOT
CME (Chicago Mercantile Exchange)
,
.
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ISDA (International Swap Dealers Association),
- 2001 . $69,2 ,
16
1. ,
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(reference rate),
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put
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call
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( 2000 .) 2000 . $155 .,
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13
(the buyer, the
holder) (the writer)
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call ,
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spot strike, put . ,
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. (
)
.
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1) (call) (put);
2) ;
3) ;
4) .
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5) (compound options );
6) (plain vanilla options) (exotics).
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.

14

.
1790 .,
, .
1973 .
,
, .

. 1973 . CBOE (Chicago Board of Options
Exchange)
: call 16
. , 1982 .,
. PSE (Philadelphia Stock Exchange).
1984 .
(1985) (1986).
1989 .
PSE
, 70 % CBOE AMEX
(American Exchange) , ,
, . ,
( ) 2001 $324,5 .
$143,1 . .
,
2000 :
. .
,
: CBOE 1992 .
177 . , 2000 1,3 . 1.
28,6
. .

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, 15, 2001.

15
2. .

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(call put) , .

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18

. 2. - .
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19

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5).

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(naked option position), . ,
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20
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(call put)
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: straddle, strangle, strip strap,
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put call ,
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. 11. .
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$50. ,
20 % .
put $40 call $60.
( )
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20 % put,

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24
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( flexible
options). , ,
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, :
(path-dependent derivatives),
(choice-dependent derivatives) (correlationdependent derivatives)1.
, ( )
: ARO (average rate options), ASO (average strike options),
(barrier options, trigger options).
- ARO
, ;
. - ASO
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ARO , .
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ARO.
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25
ARO ,
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ARO
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ARO
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ARO
.

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.
ASO ,
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call ASO, put ASO
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ASO ,
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, ,

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$9 $50 . : ,
Hunt Brothers .
. . , , 15, 2002.

26
. ,
. knock-in, knock-out.

: down & in, down & out, up & in, up & out.
call put.
, (normal)
(reverse) . 1.
1. .
normal

reverse

knock-out

knock-in

knock-out

knock-in

call

down & out call

down & in call

up & out call

up & in call

put

up & out put

up & in put

down & out put

down & in put

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-, (compound options)
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(installment options).
,

27
, .
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(chooser options), (call put)
( (choose date)
- ).
, , .
, (multi-asset options)
, - .
(spread options)
.
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call.
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. (basket options),
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28

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: (interest rate futures), (FRA) , ,
.
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, (interest rate
guarantee IRG). ,
( ).
, FRA. IRG
FRA. ,
IRG, .
, .
,
, .
,
( 365) .
IRG LIBOR
( ,
)1. LIBOR
, .
IRG,
. , , ,
.
.
, ,
, .
(rainbow options) ,
1

. , . , , -, 1996.

29
, ,
(, LIBOR, GILTS FTSE-100)1.

CAP, FLOOR COLLAR. CAP FLOOR
IRG, .
, .

LIBOR, .

; ,
, .
, .
(pay-as-you-go options).
,
,
.
, . ,
cap. S&P 500 S&P 100.
, ,
$30, $3000 . Call cap ,
$30 ; put cap
, $30 .
COLLAR . ,

, pay-as-you-go (
3).

(swaptions), . .
IRS (interest rate swap)
, . ,
.
:
,
, ,

. ,
.
, cap
floor .
1

. , , 15, 2002.

30
,
. , .
. LIBOR ( reference rate)
,
, . LIBOR
, ,
( ).
.


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( )

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.
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-1,
. . 1973 .
call :

C = ert[FN(d1) EN(d2)],

d1 = [ln(F/E) + (S2t/2]/St;
d2 = d1 St.
, F
, . . , t ( ), S
, , N(d)
, , ,
1

, -.

32
, , ,
d, (2,71828), r
1.
, ,
, .
put :

P = C (F Eert),
, F
, , r
.
- ,
,
(
.
-
,
.
(),
. - N(d1).

. 0 1 0,5
.
,
(. . 14).

. 14. -.
, .

. , . , , -, 1996.

33
.
-
. -.

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,
,
.
().

d[N(d1)]/dS -.
- .


(. 15).

. 15. -.
() ().
.

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1 %.

-
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34
, .
.

35
3.
.


90- .
1998 .,
: .
: , , -,
,
.
,
1998 .
.
:
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1. , , .
(1993 .)
,
. ,

14.04.93 01-20/3371 ,

,
. , 22.05.96 42
,
, (?), ,
.
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(
). ,
10.06.96 290
, ,
, , ,

36
. ,
.

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21.03.97 55
: :
, , (index forward), , ,
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call
put. ,
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-
. , 55 21.03.97
(
) .
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2. . 1998 ,
(
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3. .
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37
:

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today
tomorrow, . , ,

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38
. ,
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( call put).
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. , : , 15, 2001.

39
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41
1.

:
call:

put:.

42
call:

put:

43
2.
:
:
1 :

:
:

(call put) ,
.

44
:

45
3.
collar. .

, %

, %

46
.
1. Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2. . . , , - 2002.
3. . , . , , - 1996.
4. , , 1998.
5. . , : ,
3, 2002.
6. . , , , 15, 16, 17,
2002.
7. . , , 19,
2001.
8. . ,
, 15, 2001.
9. . , : ,
15, 2001.
10. , , 1,
2001.
11. . , , 10, 2000.
:
college.biysk.secna.ru/zenbum/book.htm
www.hf.ru/an/articles/hedge
derivatives.spb.ru/hedge.htm
www.aadsoft.com/tutorial/hedge.htm
www.finpipe.com/hedge.htm
www.internettrading.ru