第17章 期货期权.ppt

* * * * * * * * * * * * * * * * * Generalization(continued) Substituting for D we obtain ? = [ p ?u + (1 – p )?d ]e–rT where (17-6） p在风险中性世界里期货价格上涨的概率。 * 17.7 期货价格在风险中性世界的漂移率Growth Rates For Futures Prices A futures contract requires no initial investment In a risk-neutral world the expected return should be zero The expected growth rate of the futures price is therefore zero The futures price can therefore be treated like a stock paying a dividend yield of r 在风险中性世界里，期货价格的漂移率为0. 一个具有0漂移率的随机过程被称为鞅。 * 在风险中性世界里，一个关于F遵循的过程常用的假设为 关于期货的衍生产品价格f的微分方程为 * Valuing European Futures Options We can use the formula for an option on a stock paying a dividend yield S0 = current futures price, F0 q = domestic risk-free rate, r Setting q = r ensures that the expected growth of F in a risk-neutral world is zero The result is referred to as Black’s model because it was first suggested in a paper by Fischer Black in 1976 * 17.8 期货期权定价的 Black’s Model (Equations 17.9 and 17.10, page 370) * How Black’s Model is Used in Practice Black’s model is frequently used to value European options on the spot price of an asset in the over-the-counter market This avoids the need to estimate income on the asset * 例17-6 考虑一个原油期货上的欧式看跌期权，期权的期限为4个月。同时期货价格为20美元，执行价格为20美元，无风险利率为每年9%，期货价格的波动率为每年25%。这时 * 利用DerivaGem计算 * Using Black’s Model Instead of Black-Scholes-Merton (Example 17.7, page 371) Consider a 6-month European call option on spot gold 6-month futures price is 1,240, 6-month risk-free rate is 5%, strike price is 1,200, and volatility of futures price is 20% Value of option is given by Black’s model with F0 = 1,240, K=1,200, r = 0.05, T=0.5, and s = 0.2 It is 88.37 * * 17.9美式即期期权与美式期货期权 Spot Option Price vs Futures Option Price If futures prices are higher than spot prices (normal market), an American call on futures is worth more than a similar American call on spot. An American put on futures is wor