第八章外汇期权详解.pptVIP

重庆工商大学财政金融学院陶庆梅 * 6.3.2 Basic Principles for Option Pricing Option Values at expiration CeT = Max[ST-E, 0] and PeT = Max[E-ST, 0] Cat≥St-E, Pat≥E-St, where 0≤t≤T 2) Option Prices are Nonnegative Ce≥ 0 and Pe ≥0; Ca≥ 0 and Pa ≥0 3) Upper Boundaries for European Currency Options Cet≤St and Pet≤Ee-i*τ 重庆工商大学财政金融学院陶庆梅 * 4) Lower Boundaries for European Currency Options Cet ≥ e-i*τST - e-iτE Pet ≥ e-iτE - e-i*τST Port-folios Present Value Future Value ST ≤E ST E I Cet+e-iτE E ST II e-i*τST ST ST 重庆工商大学财政金融学院陶庆梅 * 5) Put-call Parity for European Currency Options Portfolio I Present Value Future Value ST E ST ≥ E Long put Pet E- ST 0 Short call -Cet 0 E-ST Sum Pet -Cet E- ST E- ST 重庆工商大学财政金融学院陶庆梅 * 5) Put-call Parity for European Currency Options Portfolio II Present Value Future Value ST E ST ≥ E Long domestic bond e-iτE E E Short foreign bond - e-i*τST -ST -ST Sum e-iτE - e-i*τST E- ST E- ST 重庆工商大学财政金融学院陶庆梅 * 5) Put-call Parity for European Currency Options Pet -Cet =e-iτE - e-i*τST 重庆工商大学财政金融学院陶庆梅 * 6) Time Value for American Currency Options Ca(T-t0)≥Ca(T-t1) and Pa(T-t0)≥Pa(T-t1) T≥t1t0, T-t0 and T-t1 be times to expiration 重庆工商大学财政金融学院陶庆梅 * 7) Lower Boundaries for American Currency Options Cat≥Max[0, St-E, e-i*τST - e-iτE] Pa≥Max[0, E-St, e-iτE - e-i*τST] 重庆工商大学财政金融学院陶庆梅 * 8) Put-call Parity for American Currency Options Cat+E-e-i*τSt≥Pat≥Cat+e-iτE-St 重庆工商大学财政金融学院陶庆梅 * 6.3 The Black-Scholes Model for European Currency Options Assumptions and Explanation Frictionless Market Condition: no transaction cost. All market participants are price takers; All interest rates are riskless continuously compounded rates, and do not change over the term of the options. The performance of the spot exchange rate follows the weak form market efficiency. 重庆工商大学财政金融学院陶庆梅 * Ito Process dSt=μtStdt+σStdzt μ is the risk premium on St; dt is an instant in time; σ is theoretical volatility of St; dzt is the differential of a stochastic variable. Brown motion dzt follows the rule 重