期权期货及其衍生品第19弹.ppt

* * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 19Volatility Smiles Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * What is a Volatility Smile? It is the relationship between implied volatility and strike price for options with a certain maturity The volatility smile for European call options should be exactly the same as that for European put options The same is at least approximately true for American options Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Why the Volatility Smile is the Same for European Calls and Put Put-call parity p + S0e?qT = c +K e–rT holds for market prices (pmkt and cmkt) and for Black-Scholes-Merton prices (pbs and cbs) As a result, pmkt? pbs=cmkt? cbs When pbs = pmkt, it must be true that cbs = cmkt It follows that the implied volatility calculated from a European call option should be the same as that calculated from a European put option when both have the same strike price and maturity Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Volatility Smile for Foreign Currency Options (Figure 19.1, page 411) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Implied Volatility Strike Price Implied Distribution for Foreign Currency Options Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Properties of Implied Distribution for Foreign Currency Options