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ID:14354379
大小:353.50 KB
页数:57页
时间:2018-07-28
《金融学概论讲义(北大光华管理学院)lecture07》由会员上传分享,免费在线阅读,更多相关内容在应用文档-天天文库。
1、PrinciplesofFinanceLecture07OptionPricingModels57Options:Definition·AnAmerican-stylecalloptiongivestheownertheright(butnotobligation)tobuyaspecifiedassetataspecifiedpriceatanypointintimepriortoaspecifieddate·AnAmerican-styleputoptiongivestheownertheright(butnotobligat
2、ion)tosellaspecifiedassetataspecifiedpriceatanypointintimepriortoaspecifieddate·FortheEuropean-styleoptions,theownercanonlyexerciseontheexpirationdate57OptionsaroundusGovernmentpricesupport:Governmentssometimesprovideassistancetofarmersbyofferingtopurchaseagricultural
3、productsataspecifiedsupportprice.Ifthemarketpriceislowerthanthesupport,thenafarmerwillexerciseherrightto‘put’hercroptothegovernmentatthehigherprice.Insurance:Insurancepolicyoftengivesyoutheright,butnottheobligationtodosomething,itisthereforeoption-like.57Optionsaround
4、usLimitedliability:Theownersofalimitedliabilitycorporationhavetheright,butnottheobligation,to‘put’thecompanytothecorporation’screditorsandbondholders.Limitedliabilityis,ineffect,aputoption.TradingonCommission:Youareatraderwithacontractgivingyouacommissionof20%ofeachmo
5、nth’stradingprofits.Ifyoumakealoss,thenyouwalkaway,butifyoumakeaprofit,youstay.(Youmaybetemptedtoincreaseyourvolatilitytoboostthevalueofyouroption).57SpecificationsofOptionsContracts·EuropeanorAmerican·CallorPut(OptionClass)·UnderlyingAsset·StrikePrice·Maturity(Expira
6、tion)Date57SomeTerminology·Longposition:Thepartywhobuystheoptionsissaidtohavealongposition·Shortposition:Thepartywhowrites(i.e.sells)theoptionissaidtohaveashortposition57SomeTerminology·IntheMoney:exerciseoftheoptionwouldbeprofitable.Call:marketprice>exercisepricePut:
7、exerciseprice>marketprice·OutoftheMoney:exerciseoftheoptionwouldnotbeprofitable.Call:marketprice8、ffLongCall0ShortCallStockPrice57PayofftoPutOptionsPayofftoalongput:Payofftoashortput:57PayofftoPutOptionsPayoffShortPutStock
8、ffLongCall0ShortCallStockPrice57PayofftoPutOptionsPayofftoalongput:Payofftoashortput:57PayofftoPutOptionsPayoffShortPutStock
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