ch21期定价.pptVIP

1-1 第21章 期权定价Option Valuation 期权定价Option Valuation 期权定价Option Values 内在价值 – 立即执行该期权能获的收入 Intrinsic value - profit that could be made if the option was immediately exercised 看涨期权: 股票价格 – 执行价格 Call: stock price - exercise price 看跌期权: 执行价格 - 股票价格 Put: exercise price - stock price 时间价值 – 期权价格与内在价值间的差异Time value - the difference between the option price and the intrinsic value 期权的时间价值 ：看涨期权Time Value of Options: Call 影响看涨期权价值的因素Factors Influencing Option Values: Calls 因素 Factor 对价值的作用 Effect on value 股票价格 Stock price increases 执行价格 Exercise price decreases 股票价格的波动Volatility of stock price increases 到期 Time to expiration increases 利息率 Interest rate increases 股利 Dividend Rate decreases 二项式期权定价模型：举例Binomial Option Pricing: Text Example 二项式期权定价模型：举例Binomial Option Pricing: Text Example 二项式期权定价模型：举例Binomial Option Pricing: Text Example 收入和期权价值的另一种观点Another View of Replication of Payoffs and Option Values 另一个组合 – 1股股票和两个售出的看涨期权的组合恰好被套期保值 Alternative Portfolio - one share of stock and 2 calls written (X = 125) Portfolio is perfectly hedged 股票价值 Stock Value 50 200 两个售出的看涨期权的义务 Call Obligation 0 -150 净收入 Net payoff 50 50 Hence 100 - 2C = 46.30 or C = 26.85 布莱克-斯科尔斯期权定价模型Black-Scholes Option Valuation Co = Soe-dTN(d1) - Xe-rTN(d2) d1 = [ln(So/X) + (r – d + s2/2)T] / (s T1/2) d2 = d1 - (s T1/2) 式中 where Co = 当前看涨期权的价值Current call option value. So = 当前股票价格 Current stock price N(d) = 随机的偏离标准正态分布的概率小于d probability that a random draw from a normal dist. will be less than d. 布莱克-斯科尔斯期权定价模型Black-Scholes Option Valuation X = 执行价格Exercise price. d = 标的股票的年股利收益率Annual dividend yield of underlying stock e = 2.71828, 自然对