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Generalization(continued) Consider the portfolio that is long D shares and short 1 derivative The portfolio is riskless when S0uD – ?u = S0dD – ?d or S0uD – ?u S0dD – ?d Generalization(continued) Value of the portfolio at time T is S0uD – ?u Value of the portfolio today is (S0uD – ?u)e–rT Another expression for the portfolio value today is S0D – f Hence ? = S0D – (S0uD – ?u )e–rT Generalization(continued) Substituting for D we obtain ? = [ p?u + (1 – p)?d ]e–rT where p as a Probability It is natural to interpret p and 1-p as probabilities of up and down movements The value of a derivative is then its expected payoff in a risk-neutral world discounted at the risk-free rate S0u ?u S0d ?d S0 ? p (1 – p ) Risk-neutral Valuation When the probability of an up and down movements are p and 1-p the expected stock price at time T is S0erT This shows that the stock price earns the risk-free rate Binomial trees illustrate the general result that to value a derivative we can assume that the expected return on the underlying asset is the risk-free rate and discount at the risk-free rate This is known as using risk-neutral valuation Original Example Revisited Since p is the probability that gives a return on the stock equal to the risk-free rate. We can find it from 20e0.12 ′0.25 = 22p + 18(1 – p ) which gives p = 0.6523 Alternatively, we can use the formula S0u = 22 ?u = 1 S0d = 18 ?d = 0 S0 ? p (1 – p ) Valuing the Option Using Risk-Neutral Valuation The value of the option is e–0.12′0.25 (0.6523′1 + 0.3477′0) = 0.633 S0u = 22 ?u = 1 S0d = 18 ?d = 0 S0 ? 0.6523 0.3477 Suppose that are the prices of European call options with strike prices respectively, where and All options have the same maturity. Show that 股票现价为$40。已知在一个月后股价为$42或$38。无风险年利率为8%(连续复利)。执行价格为$39的1个月期欧式看涨期权的价值为多
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