博迪的金融学简板ppt课件.ppt

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1、Chapter15:Options&ContingentClaimsCopyright©PrenticeHallInc.2000.Author:NickBagley,bdellaSoft,Inc.ObjectiveToshowhowthelawofonepricemaybeusedtoderivepricesofoptionsToshowhowtoinferimpliedvolatilityfromoptionprices1Chapter15Contents15.1HowOptionsWork15.2InvestingwithOpti

2、ons15.3ThePut-CallParityRelationship15.4Volatility&OptionPrices15.5Two-StateOptionPricing15.6DynamicReplication&theBinomialModel15.7TheBlack-ScholesModel15.8ImpliedVolatility15.9ContingentClaimsAnalysisofCorporateDebtandEquity15.10CreditGuarantees15.11OtherApplicationso

3、fOption-PricingMethodology2ObjectivesToshowhowtheLawofOnePricecanbeusedtoderivepricesofoptionsToshowhowtoinferimpliedvolatilityformoptionprices345678Put-CallParityEquation9SyntheticSecuritiesTheput-callparityrelationshipmaybesolvedforanyofthefoursecurityvariablestocreat

4、esyntheticsecurities:C=S+P-BS=C-P+BP=C-S+BB=S+P-C10OptionsandForwardsWesawinthelastchapterthatthediscountedvalueoftheforwardwasequaltothecurrentspotTherelationshipbecomes11ImplicationsforEuropeanOptionsIf(F>E)then(C>P)If(F=E)then(C=P)If(F

5、iceFistheforwardpriceofunderlyingshareCisthecallpricePistheputprice12Strike=ForwardCall=Put1314PVStrikeStrike1516BinaryModel:CallImplementation:thesyntheticcall,C,iscreatedbybuyingafractionxofshares,ofthestock,S,andsimultaneouslysellingshortriskfreebondswithamarketvalue

6、ythefractionxiscalledthehedgeratio17BinaryModel:CallSpecification:Wehaveanequation,andgiventhevalueoftheterminalshareprice,weknowtheterminaloptionvaluefortwocases:Byinspection,thesolutionisx=1/2,y=4018BinaryModel:CallSolution:Wenowsubstitutethevalueoftheparametersx=1/2,

7、y=40intotheequationtoobtain:19BinaryModel:PutImplementation:thesyntheticput,P,iscreatedbysellshortafractionxofshares,ofthestock,S,andsimultaneouslybuyriskfreebondswithamarketvalueythefractionxiscalledthehedgeratio20BinaryModel:PutSpecification:Wehaveanequation,andgivent

8、hevalueoftheterminalshareprice,weknowtheterminaloptionvaluefortwocases:Byinspection,thesolutionisx=1/2,y=6021B