Financial Derivative Product Options: A Simulation TAKABAYASHI Shigeki As the reform of the Japanese financial system proceeds, computers are increasingly used to deal with the many complicated financial derivative products (derivatives). Derivative options consist of Long Call, Short Call, Long Put, and Short Put. I have come up with a relatively easy-to-use calculation system, using Excel and VBA, for the study and analysis of derivative options. In this paper, I use this system in a simulation of a combined analysis of options, present values, strike prices, and premiums. financial derivative products 39
13 2002.03 Call Option Put Option Excel VBA 40
Call Option LongShortPut Option LongShort (1) Long Call Premium (2) Short Call Call (3) Long Put 41
13 2002.03 (4) Short Put Put Call OptionLongShort Put OptionLongShort CallPutLongShort (1) CallPut (2) LongShort (3) 42
(4) (5) 43
13 2002.03 (1) Straddle Long PutLong Call (2) Strangle Long PutLong Call (3) Bear put spread Short PutLong Put 44
(4) Bear call spread Short CallLong Call (5) Bull call spread Long CallShort Call (6) Bull put spread Long PutShort Put (7) Call ratio spread Bull call spreadlong CallShort CallShort Call (8) Put ratio spread Short PutBear put spreadshort PutLong Put (9) Call ratio back spread Bear call spreadshort CallLong CallLong Call (10) Put ratio back spread Long PutBull put spreadlong Put Short Put (11) Condor Short strangleshort PutShort CallLong StrangleLong PutLong Call 45
13 2002.03 K S σ r t C P rt C = SN( d1) Ke N( d2) P = Ke rt N( d2) SN( d1) 2 ln( S / K) + ( r + σ / 2) t d1 = σ t d 2 = d 1 σ 2 = x u 1 2 N( x) e t 2π du (1) Bull call spread S=10000 =30% t=6 =0.05% Long Call K=11000 Short Call K=11700 46
Long Call 559 Short Call 367 191 509 100 2 11700 10% 11100 2 Bull put spread Excel 47
13 2002.03 100 30% (2) Bear Put spread S=10000 =30% t=6 =0.05% Short Put K=8500 Long Put K=9200 Short Put 199 Long Put 390 191 509 100 2 8500 10% 9100 2 Bear Call spread 48
Excel 100 20% 49
13 2002.03 HV IV (n+1) S0,S1,S2,,Sn Ut=ln(St/St-1) n 1 V= n 1 = t 1 (Ut- U ) 2 = VT T=250 1 250 50
T=52 T=12 (http://chart.yahoo.co.jp/d) 20T 250 2001 10 47.2% 15.6% 28.5% 20 250 HV IVHV IV 23 (n=20) Call 1268 675 162Put 1945 696 243 Call LongPut Long Put Long Call 51
13 2002.03 LongCall Short (Long) Call Long Put Long Straddle Straddle Long 1536 1294 80 Straddle Short Straddle 10000 750012500 10%60% 52
Call Put Call Put CallPut Call Long Put Long Strangle Call 1000Put 1000 Straddle Call Put Straddle Strangle 1153 665 50 Strangle 53
13 2002.03 (1) P12-P15 1998 (2) P12-P27 2000 (3) P61-P62 1998 (4) P173-P174 () 1999 (5) P66,P200 PHP 2001 54