[求助]期货和期权是一个零和游戏

从整个市场来看并没有创造新的价值，即空方和多方的损益之和为零

从经济上来说,一个人挣的钱恰好是另一个人亏损的.但从效用角度分析,期货和期权其实并不是零和游戏.假设你是期货的购买者,如果你是理性的,那么你选择买期货是因为期货稳定的价格所带来的效用超过了价格变化所带来的效用,在这一过程中,你的效用至少是不下降,有可能是增加的.同样卖方也是一样.所以对整个社会而言,效用至少是不减的,有可能是增加的.所以应该是个双赢的结果

If you have to emphasis the zero of the whole market, yes, it is. But isn't every and each market is zero? In derivative market, you must have two counterparties; but in other markets, there also exists two counterparties. No offense, when you mention underlyings, like equity market; so, you buy a share, someone has to be your counterparty to sell that to you. Agree? That's called the supply and demand which is the same for every market. Not any special in derivative market though.

I guess people like to mention option seperating from other commoditized derivatives is because it's a nonlinear derivative comparing to other linear derivatives. I.e. as an investor in forward, futures and swap, donesn't matter what position you take, the upside and the downside are the same. But option is different; as a buyer, your downside is capped at the premium and your upside is unlimited (ignore the price can't be negative here) vice verse.

And when people say underwriting option is infavor of other derivatives mentioned above is again the nonlinear characteristic. Hedging nonlinear derivatives, like option, you need to consider at the very least, the gamma (second-order) risk which makes it a bit complex

BTW, the complexity is not the major reason whether an option is rich or cheap.

好象不是那么样的！

以下是引用butyip在2006-12-2 14:50:00的发言：

If you have to emphasis the zero of the whole market, yes, it is. But isn't every and each market is zero? In derivative market, you must have two counterparties; but in other markets, there also exists two counterparties. No offense, when you mention underlyings, like equity market; so, you buy a share, someone has to be your counterparty to sell that to you. Agree? That's called the supply and demand which is the same for every market. Not any special in derivative market though.

I guess people like to mention option seperating from other commoditized derivatives is because it's a nonlinear derivative comparing to other linear derivatives. I.e. as an investor in forward, futures and swap, donesn't matter what position you take, the upside and the downside are the same. But option is different; as a buyer, your downside is capped at the premium and your upside is unlimited (ignore the price can't be negative here) vice verse.

And when people say underwriting option is infavor of other derivatives mentioned above is again the nonlinear characteristic. Hedging nonlinear derivatives, like option, you need to consider at the very least, the gamma (second-order) risk which makes it a bit complex

BTW, the complexity is not the major reason whether an option is rich or cheap.

Zero sum is true not only for the whole derivatives market, but also for a single contract.

You're confused about but/sell and long/short. The stock equity market is NOT a zero sum market.

Swap is nonlinear too.

Don't know what you mean by "underwriting option is infavor of other derivatives mentioned above is again the nonlinear characteristic". Although you talked about "hedging options" and "gamma", I guess you never had hands-on experience.

Zero sum is true not only for the whole derivatives market, but also for a single contract.

Don't disagree with this.

You're confused about but/sell and long/short. The stock equity market is NOT a zero sum market.

Would love to hear your argument. When you buy sth (doesn't matter what), doesn't it mean you are long sth, vice verse? Any new explanation for this?? About the equity market, I was trying to say, when you buy (long) a stock, there must be someone selling (short) that; otherwise, where you get the stock (ignore new share issuance here)??

Swap is nonlinear too.

Swap is linear. About this, I don't even bother throwing out a working example. But just in case you are not convinced, I just googled it with key works "swap is a linear derivative". Guess what is the first item? Pls check out this link: http://www.riskglossary.com/link/derivative_instrument.htm

Don't know what you mean by "underwriting option is infavor of other derivatives mentioned above is again the nonlinear characteristic". Although you talked about "hedging options" and "gamma", I guess you never had hands-on experience.

If you really identify the difference of linear and nonlinear derivatives, you will appreciate the complexity.

BTW, although ppl likes to say "in investment banking, arrogance is an asset but not a handicap", would it be too soon for you to draw the conclusion like "you never had hands-on experience"?? Have you heard somewhat old school saying "never say never"?? To the extent, even though I will like to see more guys like you in this bbs discussing questions but not only downloading books, would it be better to comment only on the question itself but not the ppl or his/her job?? Till the end, this is just a place for ppl to communicate, learn and improve. The truth will justify your points on the question but not your comments on the ppl.

Agree?

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[此贴子已经被作者于2006-12-26 2:30:50编辑过]

1) About the stock market, put it this way; by theory, equity (stock) can always be treated as a call option on the underlying assets. So if you think the derivative market is zero-sum, how about this? I.e. when you buy a stock (long the call option), would you agree there is always a seller (short the call)? I don't get it, how come there is always long?

2) About the swap, here is another definition of linear derivative from Bank of England. "These are instruments with a linear payoff profile, ie they provide symmetric payoffs to upward and downward movements in the price of the underlying contract. Examples of such derivatives include interest rate futures, forward-rate agreements (FRAs), and interest rate swaps." (http://www.bankofengland.co.uk/publications/quarterlybulletin/qb010203.pdf) No one denies the convexity of most of the swaps. Actually, when the derivative's underlier is closely related to the change of the yield curve, it must have some sort of convexity. If we use the exsitence of convexity as a standard, even the most simple interest rate futures can't be called a linear instrument. So, here, whether the instrument is linear or not depends on the payoff pattern, but not the mark-to-market pattern. Obviously, in these couple instruments, only option's payoff pattern is non-linear. I have no idea what riskglossary is, as I said, I had just googled it and that link jumpped out at the top.

3) I don't know how come you think dealer never underwrites options. Yes, dealer will do a lot of back-to-back trades on exchanged, standard, liquid options. But, there are quite a lot of (and juicy too) options are either illiquid or bespoke or both sold by dealer as well. About the hedging strategy, whether we zero out the gamma of our position, it depends. Considering the underlying's performance, whether it is a cheaper/more expensive strategy comparing to the only delta hedge and/or the necessarity of the hedge from a risk's point of view make the call. Yes, if you want to hedge two or more parameters, one instrument is insufficient.

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[此贴子已经被作者于2006-12-26 2:32:53编辑过]

1) Creditor is long a risk free bond and short a put. If you don't agree, please draw a diagram or just check that from some credit risk modeling books

2) I don't care who/what you don't care. The reason I put the definition here is just trying to tell you, that classification of linear/nonlinear derivatives is the market consensus which you can say that's wrong, it's your own business. But, talking about the underlying of IRS is a single forward rate (??) I hope you mean the spot rate (or the term strucutre). I guess when you argue the convexity thing, not only ignore what BoE said but also for sure ignore my previous comments on convexity,derivatives with underlying closely related to (or simply being) interest rate and the difference of the concepts of the derivative's payoff function and its MtM. No one says the convexity of swap is zero. But no one says there is no convexity effect on IRF too. Assume what you said is right (non zero convexity of IRS and zero convexity of IRF), since a vanilla IRS is just a portfolio of FWDs; so mathematically, we have IRS = \sum_t (FWD_t). Take the second derivative on both sides, following what you said, LHS != 0 and RHS = 0. Does that make any sense?

3) "It seems you like google very much. Then why don’t you google what "underwrite" means?"

--- I don't know what you are implying. But personally I don't like this comment since this is not directly hitting on what we discussed (doesn't matter agree or disagree as long as it's reasonable)

Hopefully next time when you give your argument, please agree or disagree my points directly on itself and, at the same time, pls use the correct fundamental knowledges (unless you don't agree with or you don't care those too). Otherwise, it's really just a waste of time.