期权期货及他衍生品8版25章.pptVIP

Static Options Replication(Section 25.16, page 591) This involves approximately replicating an exotic option with a portfolio of vanilla options Underlying principle: if we match the value of an exotic option on some boundary , we have matched it at all interior points of the boundary Static options replication can be contrasted with dynamic options replication where we have to trade continuously to match the option Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 傀飘驻兄蒲媒博恫凌盔莉瑚着煤钟棱金言蔡跋梆灵靴望诀颓剖佑蛙吨旁龋期权期货及其他衍生品8版25章Options, Futures, and Other Derivatives, 8e Example A 9-month up-and-out call option an a non-dividend paying stock where S0 = 50, K = 50, the barrier is 60, r = 10%, and s = 30% Any boundary can be chosen but the natural one is c (S, 0.75) = max(S – 50, 0) when S 60 c (60, t ) = 0 when 0 ￡ t ￡ 0.75 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 措值观袋王罩料厨室裕稀钓纸惺凰仗蛊胜骋体虚蔬慕扯哦英茸躬师葫朽驶期权期货及其他衍生品8版25章Options, Futures, and Other Derivatives, 8e The Boundary Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 痔饯薛旬谐福教哭肛鸳气艳吨荆洪原撑胎枝劳跨溉镜纬守偷乌蹋柔庸隧婴期权期货及其他衍生品8版25章Options, Futures, and Other Derivatives, 8e Example (continued) We might try to match the following points on the boundary c(S , 0.75) = MAX(S – 50, 0) for S 60 c(60, 0.50) = 0 c(60, 0.25) = 0 c(60, 0.00) = 0 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 哗争土水飞遂倘机斜距扁鞠梳阑樊现野倒活两载崩征即盔卵脸柏褪害涨芝期权期货及其他衍生品8版25章Options, Futures, and Other Derivatives, 8e Example continued(See Table 25.1, page 593) We can do this as follows: +1.00 call with maturity 0.75 strike 50 –2.66 call with maturity 0.75 strike 60 +0.97 call with maturity 0.50 strike 60 +0.28 call with maturity 0.25 strike 60 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 诗照唬庶艇纤剩歧康痈撕脆墩硼婆课三隧租彰何夏涝凿乙抒配九赘夸庙亮期权期货及其他衍生品8版25章Options, Futures, and Other Derivatives,