- 1、本文档共18页,可阅读全部内容。
- 2、有哪些信誉好的足球投注网站(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
properties of option prices缩减参考
* Chapter 8 Properties ofStock Option Prices * 8.1 factors affecting options prices c : European call option price p : European put option price S0 : Stock price today K : Strike price T : Life of option ?: Volatility of stock price C : American Call option price P : American Put option price ST :Stock price at option maturity D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp Notation * Effect of Variables on Option Pricing c p C P Variable S0 K T ? + + – + ? ? + + + + + + – – – + * 8.2 basic option price relationship under no arbitrage condition An American option is worth at least as much as the corresponding European option C ? c P ? p upper and lower bounds for option prices Upper bounds Call options: Put options: * 8.2 basic option price relationship under no arbitrage condition upper and lower bounds for option prices Lower bond for European calls on no-dividend-paying stocks Suppose:S0=$20,K=$18,r=10%per annum, T=1year * Continued. Formal prove: Portfolio A: one European call option plus an amount of cash equal to Portfolio B: one share At time T: A is worth: B is worth: ST Under no arbitrage condition, today: * upper and lower bounds for option prices Lower bond for European puts on no-dividend-paying stocks 8.2 basic option price relationship under no arbitrage condition * Continued. Formal prove: Portfolio C: one European put option plus one share Portfolio D: an amount of cash equal to At time T: C is worth: D is worth: K Under no arbitrage condition, today: * Continued. Suppose p=$1. Is there an arbitrage opportunity? Suppose:S0=$37, X=$40, r=5%per annum, T=0.5year * Put-Call Parity for European options Portfolio A: one European call option plus an amount of cash equal to Portfolio C: one European put option plus one share Both are worth at expiration date. European options; under no arbitrage condition : portfolios A and C must ha
您可能关注的文档
- Plant Assets, Natural Resources, and Intangible Assets参考.pptx
- ppap 生产件批准程序 bld参考.ppt
- PowerNet多媒体教学网方案参考.doc
- Power System Monitoring and Control Facilities on Protective Relays参考.doc
- Portfolio Performance Evaluation参考.ppt
- PPAP(卫浴产品生产件认可程序) Training-CH1参考.ppt
- PPAP生产件批准参考.ppt
- PPAP-1 生产件批准程序参考.ppt
- PPAP生产件批准控制程序参考.doc
- PPAP生产件批准程序ProductionPartApprovalProcess参考.ppt
文档评论(0)