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Implizite Bewertung der Lieferoption für den Bund-Future by Bichler, Andreas

Implizite Bewertung der Lieferoption für den Bund-Future

by Andreas Bichler
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Book cover type: Paperback
  • ISBN13: 9783838658780
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Diplom.de
  • Publisher Imprint: Diplom.de
  • Publication Date:
  • Pages: 98
  • Original Price: GBP 62.9
  • Language: German
  • Edition: N/A
  • Item Weight: 137 grams
  • BISAC Subject(s): General

Inhaltsangabe: Einleitung: Was ist der Bund-Future? Was ist die Lieferoption? Welchen Sinn hat sie? Warum ist ihre Analyse nötig? Wie wird bei ihrer Analyse verfahren? Dem im November 1990 an der Deutschen Terminbörse (DTB) eingeführten Bund-Future liegt eine fiktive 6%-Bundesanleihe mit einer Restlaufzeit von zehn Jahren (Notional Bond) zugrunde. Während sich der Verkäufer eines Bund-Futures verpflichtet, am Liefertag den Notional Bond zum vorher vereinbarten Preis zu liefern, muss ihn der Käufer zu diesem Preis abnehmen. Da eine 6%-Bundesanleihe mit zehn Jahren Restlaufzeit am Liefertag regelmä ig nicht existiert, hat der Verkäufer das Recht, aus einer gegebenen Menge an Bundesanleihen (Lieferkorb) eine Anleihe zur Lieferung auszuwählen. Dieses Recht des Verkäufers hei t Lieferoption. Mit der Einführung einer Lieferoption bezweckt man erstens, die Anzahl der lieferbaren Anleihen zu erhöhen und so eine mögliche Marktenge zu erschweren. Zweitens wird die Liquidität, die alternativ für viele entsprechende Terminkontrakte auf die einzelnen Bundesanleihen bereitsteht, auf den Bund-Future konzentriert. Allerdings werden diese Vorteile mit einer verminderten Hedging-Effektivität erkauft, da der Preis des Bund-Futures bei Verfall aufgrund der Lieferoption nicht perfekt mit dem Kassakurs einer bestimmten abzusichernden Bundesanleihe korreliert. Um den Wert der Lieferoption zu ermitteln, bedient man sich folgender Überlegung: Der Käufer eines Forwards auf eine bestimmte im Lieferkorb enthaltene Anleihe ist bereit, einen gewissen Preis für diesen Forward zu bezahlen. Für den Bund-Future wird er weniger zu zahlen bereit sein, da er nicht wissen kann, welche Anleihe ihm am Liefertag geliefert werden wird. Der Verkäufer wird seine Lieferoption zum eigenen Vorteil ausüben, d.h. er wird die im Lieferzeitpunkt günstigste Anleihe liefern. Diese Chance des Verkäufers ist gleichzeitig das Risiko des Käufers, das er sich über einen geringeren Futurepreis vergüten lässt. Zentral ist

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