金融工程导论课件.ppt

《金融工程导论课件.ppt》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-Arbitrage—ABriefIntroductionofOptionsAnoptionistherightofchoiceexercisedinfuture.Theholder(buyer,orlonger)oftheoptionhasarightbutnotanobligationtobuyorsellaspecialamountoftheassetwithaspecialqualityatapre-determinedprice.TermsofOptionsCallandputExercisepr

2、iceExpirationdateAmericanoptions(CandP)vs.Europeanoptions(candp)1ThepayoffprofilesofcallandputCallPutLongShort++__XXSTST00LongShort++__XXSTST00In-the-money,out-of-the-money,at-the-money,intrinsicvalueandtimevalue—ABriefIntroductionofOptions(Cont.)2TheBasicNo-Arbitrage1),2)3),4)If,then,5

3、)3TheBasicNo-Arbitrage(Cont.)Theunderlyingisanon-dividend-payingstockSuppose,thenArbitrageImmediateCashFlowPositionCashFlowontheexpireddateShortastockLonganEuropeancallLongrisklesssecurityNetcashflowsArbitrageOpportunity!4TheBasicNo-Arbitrage(Cont.)PropositionIftheperiodtoexpirationisve

4、rylong,thevalueofanEuropeancallisalmostequaltoitsunderlying.PropositionAnAmericancallonanon-dividend-payingstockshouldneverbeexercisedpriortotheexpirationdate.5TherelationshipbetweenAmericanoptionsandEuropeanoptions?andConclusion:6TheParityofCallandPutTheunderlyingisanon-dividend-paying

5、stockScanbereplicatedbyc,pandrisklesssecuritySupposePositionCashflowatCashflowattimeTtimetBuyashareShortacallLongaputShorttreasuryNetcashflowArbitrage!7RelationshipbetweenexerciseandforwardpriceNon-dividend-payingstock’sAmericancallandput?8Non-dividend-payingstock’sAmericancallandput(Co

6、nt.)PositionCashflowatCashflowattimewhenputexercisedtimetShortashareLonganAmer.callShortanAmer.putLongtreasuryNetcashflow9Non-dividend-payingstock’sAmericancallandput(Cont.)Underlyingisdividend-payingstockPresentvalueofdividendsattimetPresentvalueofalongstockforwardpositionPresentvalueo

7、fashortstockforwardposition10Underlyingisdividend-payingstockForEuropeancallandputForAmericancallandputHoldsfornon-dividend-payingstockunderlyingDividendpaidProved!Howtoproveit?Pleaseseethenextpage!11ProofofPositionCashflowatCashflowattimewhenputexercisedtimetShortashareEffecto