第八章外汇期权教程.ppt

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 V