文档介绍：Hedging Strategies Using Futures
Chapter 4
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Long & Short Hedges
A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price
A short futures hedge is appropriate when you know you will sell an asset in the future & want to lock in the price
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Arguments in Favor of Hedging
Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Arguments against Hedging
Shareholders are usually well diversified and can make their own hedging decisions
It may increase risk to hedge petitors do not
Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Convergence of Futures to Spot
Time
Time
(a)
(b)
Futures
Price
Futures
Price
Spot Price
Spot Price
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Basis Risk
Basis is the difference between spot & futures
Basis risk arises because of the uncertainty about the basis when the hedge is closed out
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Long Hedge
Suppose that
F1 : Initial Futures Price
F2 : Final Futures Price
S2 : Final Asset Price
You hedge the future purchase of an asset by entering into a long futures contract
Cost of Asset=S2 –(F2 – F1) = F1 + Basis
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Options, Futures, and Other Drerivatives, 5th edition © 2002 by John C. Hull
Short Hedge
Suppose that
F1 : Initial Futures Price
F2 : Final Futures Price
S2 : Final Asset Price
You hedge the future sale of an asset by entering into a short futures contract
Price Reali