● 林扬圣博士 Dr Joseph Lim
A derivative is a financial instrument whose value is
derived (hence the name) from an underlying asset. For
example, the value of a warrant depends on the value of the
underlying share (or "mother share"). Or the value of a
gold futures contract is derived from the current price of
gold. Derivatives come in two forms: options and futures.
There are two types of options: a call and a put. A call
gives the holder a right, but not the obligation, to
purchase a share at a fixed price, known as the exercise
price (Warrants and TSRs are essentially calls). A put
gives the holder the right, but not the obligation, to
tender a share and receive, in return, a fixed price.
If you think that the share price of a company is going to
rise, one way to profit from this is to buy its shares.
However, if you are wrong, and the share price falls
instead, you would have suffered a loss. The size of the
loss would depend on how much the price falls, something
difficult to know ahead of time. Such an uncertainty may
prevent you from acting on your hunch.
However, if from the start you know exactly how much you
stand to lose if your hunch is wrong, you may be emboldened
to act. This is possible if you buy a call with the
exercise price equal to the current share price. The
maximum amount you can lose is the price of the call.
Why? Remember that a call gives you the right, but not the
obligation, to purchase a share. If the share price rises
above the exercise price, you would exercise the option.
You pay the exercise price and receive a share which is
worth more.
However, if the share price falls below the exercise
price, you do nothing. The maximum amount you can lose is
the call price, regardless of how much the share price has
fallen.
What about the situation where you want to profit from a
possible fall in the share price of a company? One way is
to sell short its shares. The other is to buy a put with an
exercise price equal to the current share price. If the
price indeed falls, you would buy a share, tender it with
the put and receive the exercise price, placing you in a
similar situation had you sold short the shares. Should the
price rise instead, your loss would be limited to the price
of the put. However, someone who sells short the shares may
end up with very substantial losses if the price rises by a
large amount.
The price of an option depends on five factors: the share
price, the exercise price, the time to expiration, the
interest rate and the volatility of the underlying share
price.
The higher the share price or the lower the exercise price
the more valuable a call. This is because the call gives us
the right to buy the share at a fixed price.
Options have lives of up to one year (
5 years for
warrants). The longer the time to expiration, the more
valuable the option.
The higher the interest rate, the more a call is worth. A
rise in the interest rate makes the present value of the
price you pay for the share, the exercise price, lower.
Finally, the higher the volatility of the share price, the
more valuable the option.
Another difference between investing in options and the
underlying share arises from the limited life of the option.
Unlike options, a forward contract makes you obligated you
to either buy or sell an asset at a future date, but at a
price determined today. For example, you may enter into a
gold forward contract to buy for delivery in February 1999,
100 ounces of gold at a price of US$300 an ounce.
Futures contracts are like forward contracts except that
the terms of the contract, namely the quantity and the
delivery date, are standardised. This makes each contract
freely interchangeable with another contract. This permits
their trading on an exchange thus enhancing liquidity.
Suppose you believe the price of gold will rise next year
from increased economic uncertainty, you could act on your
belief by buying gold bars. However, a more efficient way
is to buy a gold futures contract. Next year, if the price
of gold has risen, you would make a profit. However, if the
gold price falls, instead, you would sustain a loss having
to buy gold at a price much higher than the current market
price. Unlike options, a futures contract does not offer
limited losses.
(The writer is Director, MSc in Applied Finance Program at
the National University of Singapore)
什么是衍生工具？
衍生工具是一种其价值是衍生自待敲资产的金融工具。例如：凭
单的价值取决于待敲股票（或母股）的价值，或者黄金期货合同的价
值是来自黄金的现价。衍生工具有两种：期权和期货。
期权有两种：买进期权（或看涨期权）和沽出期权（或看跌期权
）。买进期权给予权利，而非强制约束，持有人以固定价格，称为转
换价（凭单实质上是买进期权）来购买股票。
沽出期权则给予权利，而非强制约束，持有人以固定价格卖出股
票。
假如你认为某家公司的股价会上涨，一个谋利的方法就是吸购有
关股票；假如估计错误，股价反而下跌了，你将会蒙受损失。亏损程
度将取决于价格的跌幅。不过，在这之前是非常难猜测的。这个不明
确因素可能阻挠你凭直觉行动。
然而，假如你一早就知道要是直觉错了，你会蒙受多少亏损，那
你可能会鼓起勇气行动。你可以通过购买进期权这么做，其中，期权
的转换价等于股票的现价。你所可能蒙受的最大亏损是期权的价格。
怎么说呢？
买进期权给予权利，而非强制约束持有人吸购股票。因此，假如
股价比转换价高，你就会行使有关期权。你只要支付转换费，就换得
价值更高的股票。
然而，假如股价比转换价低，你不需要采取行动。无论股价下跌
了多少，你最多会蒙受的亏损额是买进期权的价格。
假如你要在公司股价下跌中赚取利润，一个方式是卖空股票。另
一个方式是购买沽出期权，其转换价相等于目前的股价。
假如股价真的下跌，你就购买股票，行使沽出期权，然后取得转
换价。这个情况和你卖空股票一样。假如价格上升，你的亏损将局限
于沽出期权的价值。
然而，要是价格大幅度上升，卖空股票的人士可能会蒙受巨大亏
损。
期权的价格取决于5个因素：股价、转换价、转换期限、利率和
股价的波动。
股价越高，或者转换价越低，买进期权越有价值。这是因为买进
期权给予我们权利以固定价格买进股票。
期权的有效期限长达一年（凭单则为5年）。有效期限越长，期
权的价值就越高。
利率越高，买进期权就越有价值。利率上升，将使你所支付的转
换价的现值较低。
最后，股价的波动越大，期权就越有价值。
投资于期权和股票的另一不同点是，期权的寿命有限。期权价格
在快要到期时的波动越大。
和期权不同的是，远期合同约束你在未来的日子里吸购或卖出某
个资产，不过，价钱则在今天制定。举个例子，你可以立订黄金远期
合同，以每
2007-12-06
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