option pricing （巴克莱银行，ppt）课件

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1、OP102OptionPricingMikePawleyAimsBytheendofthismoduleyoushould:UnderstandthebinomialoptionpricingmodelBeabletocalculateanoptionpriceusingthebinomialmethodUnderstandthebroadconceptsbehindtheBlack-ScholesmodelBeabletocalculateanoptionpriceusingtheBlack-Scholesmet

2、hodPubGame!StartingPosition=SX000000102030405060WinNothingWinaPrizeOptionPremiumDefinitionTheprobability-weightedintrinsicvaluediscountedbacktotoday‘Wine’OptionTheforwardpriceisbasedonthespotpriceadjustedforcostofcarry.Themarketisthuswillingtosellwineforwardat

3、apriceof£110percase.OneYearWineoption.Marketpriceofwine=£100.One-yearinterestrate=10%Wine,ofcourse,paysnoyield.InitialPriceAssumptionLet’sassumethatthemarketforthisspecialwineisabitodd:weknowwithcertaintythatthepriceoneyearfromtodaywillbeeither£120or£83.Yourcl

4、ientwouldliketopurchasea1-yearat-the-moneycalloption(strike=£110)onthewine.Howmuchshouldyouchargeforthecall,suchthatyoucanhedgeitwithouttakinganyrisk?InitialPriceAssumptionMarketrisesto£120Marketfallsto£83Marketprice=£100ShortCallRiskCollectPremiumof£??Marketr

5、isesto£120Marketfallsto£83Call:-10Wine:0Premium:??Net:-10Ifwesimplysellthecallandputonnohedge,weappeartobehedgedifthepriceofwinefalls.Butwewillobviouslylosemoneyifthepricerises.Call:0Wine:0Premium:??Net:0BasicHedgeTheonlywaytohedgethiscallistobuywinetodayandpa

6、ythe10%financingcost—orbuywineforwardat£110(whichisthesamething).Ifwebuyawholecaseofwineforwardwewouldappeartobehedgedifthepriceofwinerises.Butwheredowestandifthepricefalls?BasicHedgeMarketrisesto£120Marketfallsto£83Call:-10Wine:+10Premium:??Net:0Call:0Wine:-2

7、7Premium:??Net:-27Buy1caseofwindforwardat£110CollectPremiumof£?Clearly,thisisnottherightapproach,either.HedgeThesolutiontothisproblemisbasedontakingapartialpositioninwine1-yearforward.Whatweneedisapositionthathasequalgainswhetherthepricemovesupordown.Ifwecanf

8、indthisposition,weknowhowmuchpremiumtocollect.Algebragivesusasolutionforhowmuchwinetobuyforward.LetWine%bethefacevalueofthewinewemustbuyforward.Wewillbuythewineandsellthecallstruck