ChPropertiesofStockOptionPrices(金融工程华东师范大学汤银才)课件.pptVIP

Properties ofStock Option PricesChapter 7 Notation c : European call option price p : European put option price S0 : Stock price today X : Strike price T : Life of option s: Volatility(波动率) of stock price C : American Call option price P : American Put option price ST :Stock price at time T D : Present value of dividends during option抯 life r : Risk-free rate for maturity T with cont comp Effect of Variables on Option Pricing (Table 7.1, page 169) c p C P Variable S0 X T s r D + + ? + ? ? + + + + + + + ? + ? ? ? ? + ? + ? + American vs Europea