6.期权定价与动态套利均衡分析清华大学绝版金融工程课件.pptVIP

The payoff profiles of call and put The Basic No-Arbitrage The Basic No-Arbitrage (Cont.) * CHAPTER FIVE: Options and Dynamic No-Arbitrage A Brief Introduction of Options An option is the right of choice exercised in future. The holder (buyer, or longer) of the option has a right but not an obligation to buy or sell a special amount of the asset with a special quality at a pre-determined price. Call and put Exercise price Expiration date American options (C and P) vs. European options ( c and p) Call Put Long Short + + _ _ X X ST ST 0 0 Long Short + + _ _ X X ST ST 0 0 In-the-money, o