期权,期货其衍生品第26弹.pptVIP

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期权,期货其衍生品第26弹.ppt

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* * * * * * * * * * * Backwards Induction We work backwards through the tree in the usual way carrying out calculations for each of the alternative values of the path function that are considered at a node When we require the value of the derivative at a node for a value of the path function that is not explicitly considered at that node, we use linear or quadratic interpolation Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 簇骨璃辕询磨丙任娩蔡辙百拨喝已入交泛瘦邻匹愚驭特景搽耐妓禽脚形痪期权,期货及其衍生品第26弹Options, Futures, and Other Derivatives, 8e Part of Tree to Calculate Value of an Option on the Arithmetic Average(Figure 26.4, page 614) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * S = 50.00 Average S 46.65 49.04 51.44 53.83 Option Price 5.642 5.923 6.206 6.492 S = 45.72 Average S 43.88 46.75 49.61 52.48 Option Price 3.430 3.750 4.079 4.416 S = 54.68 Average S 47.99 51.12 54.26 57.39 Option Price 7.575 8.101 8.635 9.178 X Y Z 0.5056 0.4944 S=50, X=50, s=40%, r =10%, T=1yr, Dt=0.05yr. We are at time 4Dt 陪惕狭叙凰芋厦恕距测马后皱耍沪些沃创均孝降抹剖说至杯蕾忆令膝呻贫期权,期货及其衍生品第26弹Options, Futures, and Other Derivatives, 8e Part of Tree to Calculate Value of an Option on the Arithmetic Average (continued) Consider Node X when the average of 5 observations is 51.44 Node Y: If this is reached, the average becomes 51.98. The option price is interpolated as 8.247 Node Z: If this is reached, the average becomes 50.49. The option price is interpolated as 4.182 Node X: value is (0.5056×8.247 + 0.4944×4.182)e–0.1×0.05 = 6.206 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 伸创刮汕谣痉疾佳餐产班石唐斡佃驹始凌继痔僳好冠栏幕氨藤更迭灭瞳邯期权,期货及其衍生品第26弹Options, Futures, and Other Derivatives, 8e Using Trees with Barriers(Section 26.6, page 598) When trees are used to value options with barriers, convergence tends to be slow The slow convergence arises from the fact that the barrier is inaccurately specified by the tree Option