ch5期权.pdfVIP

期权：一个套利定价的例子 第5章 Fischer Black (1938-1995) Harvard BS (1959), PhD (kicked out of GS; 1964) Arthur D. Little, Treynor and CAPM Black-Scholes PDE in 1969 Chicago, 1971-1975 MIT, 1976-1984 Goldman Sachs, 1984-1995 Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.2 Myron Scholes (1941-) Canadian, Jewish Chicago, PhD (1968): programming Miller MIT, 1968-1974 Chicago, 1974-1983 Stanford, 1983- LTCM, 1994 Nobel, 1997 Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.3 Rebert Merton (1944-) Famous father, Jewish MIT, PhD (1969): apply to economics, Samuelson Failed to get the Society of Fellows MIT, 1969-1988: Modigliani Harvard, 1988- LTCM, 1994 Nobel, 1997 Finance, Continuous-Time Finance Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.4 5.1 期权option 欧式买权European call使其持有人有 权在未来某一给定日期、以某一确定价格 买入一定单位的股票 欧式卖权put：卖出股票 相关术语：  到期日maturity date, maturity  执行价格exercise price  标的证券underlying security：标的资产 underlying asset Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.5 期权（续）  终期收支Payoff：    c [X K ] max[0, X K ]    [  ] max[0,  ] p K X  K X Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.6 期权（续）  内在价值intrinsic value (IV)：  看涨期权：S-K  看跌期权：K-S 期权按内在价值分类：  实值in-the-money： IV0  平值in-the-money： IV=0  虚值out-of-the-money：IV0 Qiang Liu, School of Finance, SWUFE, Chengdu, China 5.7 期权（续） 期权的立权人option writer：期权的卖 出者 期权是买、卖者之间的零和交易 期权的净头寸恒为0 衍生证券derivative security：  净供给为0  支付由其他证券的价格或