期权定价与动态套利均衡分析

《期权定价与动态套利均衡分析》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、CHAPTERFIVE:OptionsandDynamicNo-Arbitrage1ABriefIntroductionofOptionsAnoptionistherightofchoiceexercisedinfuture.Theholder(buyer,orlonger)oftheoptionhasarightbutnotanobligationtobuyorsellaspecialamountoftheassetwithaspecialqualityatapre-determinedprice.Terms

2、ofOptionsCallandputExercisepriceExpirationdateAmericanoptions(CandP)vs.Europeanoptions(candp)2ThepayoffprofilesofcallandputCallPutLongShort++__XXSTST00LongShort++__XXSTST00In-the-money,out-of-the-money,at-the-money,intrinsicvalueandtimevalue—ABriefIntroducti

3、onofOptions(Cont.)3TheBasicNo-Arbitrage1),2)3),4)If,then,5)4TheBasicNo-Arbitrage(Cont.)Theunderlyingisanon-dividend-payingstockSuppose,thenArbitrageImmediateCashFlowPositionCashFlowontheexpireddateShortastockLonganEuropeancallLongrisklesssecurityNetcashflows

4、ArbitrageOpportunity!5TheBasicNo-Arbitrage(Cont.)PropositionIftheperiodtoexpirationisverylong,thevalueofanEuropeancallisalmostequaltoitsunderlying.PropositionAnAmericancallonanon-dividend-payingstockshouldneverbeexercisedpriortotheexpirationdate.6Therelation

5、shipbetweenAmericanoptionsandEuropeanoptions?andConclusion:7TheParityofCallandPutTheunderlyingisanon-dividend-payingstockScanbereplicatedbyc,pandrisklesssecuritySupposePositionCashflowatCashflowattimeTtimetBuyashareShortacallLongaputShorttreasuryNetcashflowA

6、rbitrage!8RelationshipbetweenexerciseandforwardpriceNon-dividend-payingstock’sAmericancallandput?9Non-dividend-payingstock’sAmericancallandput(Cont.)PositionCashflowatCashflowattimewhenputexercisedtimetShortashareLonganAmer.callShortanAmer.putLongtreasuryNet

7、cashflow10Non-dividend-payingstock’sAmericancallandput(Cont.)Underlyingisdividend-payingstockPresentvalueofdividendsattimetPresentvalueofalongstockforwardpositionPresentvalueofashortstockforwardposition11Underlyingisdividend-payingstockForEuropeancallandputF

8、orAmericancallandputHoldsfornon-dividend-payingstockunderlyingDividendpaidProved!Howtoproveit?Pleaseseethenextpage!12ProofofPositionCashflowatCashflowattimewhenputexercisedtimetShortashareEffect