期权 期货以及其他衍生品

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1、8.1PropertiesofStockOptionPricesChapter8Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.2Notation•c:Europeancall•C:AmericanCalloptionoptionpriceprice•P:AmericanPutoption•p:Europeanputpriceoptionprice•ST:Stockpriceatoption•S0:Stockpricet

2、odaymaturity•K:Strikeprice•D:Presentvalueof•T:Lifeofoptiondividendsduringoption’slife•:Volatilityofstockprice•r:Risk-freerateformaturityTwithcontcompOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.3EffectofVariablesonOptionPricing(Tabl

3、e8.1,page168)VariablecpCPS0+–+–K–+–+T??++++++r+–+–D–+–+Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.4AmericanvsEuropeanOptionsAnAmericanoptionisworthatleastasmuchasthecorrespondingEuropeanoptionCcPpOptions,Futures,andOtherDerivati

4、ves,5thedition©2002byJohnC.Hull8.5Calls:AnArbitrageOpportunity?•Supposethatc=3S0=20T=1r=10%K=18D=0•Isthereanarbitrageopportunity?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.6LowerBoundforEuropeanCallOptionPrices;NoDividends(Equation

5、8.1,page173)-rTcS0–KeOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.7Puts:AnArbitrageOpportunity?•Supposethatp=1S0=37T=0.5r=5%K=40D=0•Isthereanarbitrageopportunity?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.8Lowe

6、rBoundforEuropeanPutPrices;NoDividends(Equation8.2,page174)-rTpKe–S0Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.9Put-CallParity;NoDividends(Equation8.3,page174)•Considerthefollowing2portfolios:–PortfolioA:Europeancallonastock+PVoft

7、hestrikepriceincash–PortfolioC:Europeanputonthestock+thestock•BothareworthMAX(ST,K)atthematurityoftheoptions•Theymustthereforebeworththesametoday–Thismeansthatc+Ke-rT=p+S0Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.10ArbitrageOpport

8、unities•Supposethatc=3S0=31T=0.25r=10%K=30D=0•Whatarethearbitragepossibilitieswhenp=2.25?p=1?Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull8.11EarlyExercise•UsuallythereissomechancethatanAmericanoptionwillbeexerc