投资学第21部分期权定价课程.pptVIP

CHAPTER 21 Option Valuation Put Value Using Black-Scholes P = Xe-rT [1-N(d2)] - S0 [1-N(d1)] Using the sample call data S = 100 r = .10 X = 95 g = .5 T = .25 95e-10x.25(1-.5714)-100(1-.6664) = 6.35 P = C + PV (X) - So = C + Xe-rT - So Using the example data C = 13.70 X = 95 S = 100 r = .10 T = .25 P = 13.70 + 95 e -.10 X .25 - 100 P = 6.35 Put Option Valuation: Using Put-Call Parity Hedging: Hedge ratio or delta The number of stocks required to hedge against the price risk of holding one option Call = N (d1) Put = N (d1) - 1 Option Elasticity Percenta