期权讲义分析报告.ppt

Put-Call Parity Portfolio A: one European call option + an amount of cash equal to Ke^{-rT} Portfolio B: one European put option plus one share Both are worth Max(S_T, K) at expiration. c+ Ke^{-rT}=p+S c+ Ke^{-rT}=p+S c=3, r=10%, S=31, K=30, T=1/4, p=2.25 c+ Ke^{-rT}=p+S Action now: Buy call for 3, Short put to realize 2.25, Short the stock to realize 31, Invest 30.25 for 3 months Action in 3 months if S_T 30: Receive 31.02 from investment Exercise call to buy stock for 30 Net profit = 1.02 Action now: Buy call for 3, Short put to realize 2.25, Short the stock to realize 31, Invest 30.25 for 3 months Action in 3 months if S_T 30: Receive 31.02 from investment Put exercised: buy stock for 30 Net profit=1.02 c+ Ke^{-rT}=p+S c=3, r=10%, S=31, K=30, T=1/4, p=2.25 Action now: Buy call for 3, Short put to realize 2.25 Short the stock to realize 31 Invest 30.25 for 3 months Action in 3 months if S_T 30: Receive 31.02 from investment Exercise call to buy stock for 30 Net profit = 1.02 Action in 3 months if S_T 30: Receive 31.02 from investment Put exercised: buy stock for 30 Net profit=1.02 Problem: c+ Ke^{-rT}=p+S c=3, r=10%, S=31, K=30, T=1/4, p=1 Action now: Borrow 29 for 3 months Short call to realize 3 Buy put for 1 Buy the stock for 31 Action in 3 months if S_T30: Call exercised: sell stock for 30 Use 29.73 to repay loan Net profit=0.27 Action now: Borrow 29 for 3 months Short call to realize 3 Buy put for 1 Buy the stock for 31 Action in 3 months if S_T 30: Exercise put to sell stock for 30 Use 29.73 to repay loan Net profit 0.27 B-S-M 微分方程 构建无风险组合：空头一单位的期权，多头 单位的股票 Risk-Neutral Valuation 风险中性定价： 在对衍生证券定价时，所有投资者都是风险中性的。 风险中性原理 在所有投资者都是风险中性的条件下，所有证券的预期收益率都等于无风险利率r, 因为风险中性的投资者并不需要额外的收益来吸引他们承担风险。 在风险中性条件下，所有现金流都应该使用无风险利率进行贴现求得现值。 例子： 一种不支付红利的A股票目前价格为10元，假设知道在3个月后，该股票价格要么11元，要么是9元。现在找出一份3个期协议价格为10.5 元的A 股票欧式看涨期权的价值。