9.期权与实物期权要点.ppt

期权与实物期权 主题 期权（Options） 看涨期权（Call options） 看跌期权（Put options） 出售期权（Selling options） 期权的组合Combinations of options 期权估值（Valuing options） 期权定价公式（An option?pricing formula） 实物期权（Real options） 期权定义: 预备知识 An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or perhaps before) a given date, at prices agreed upon today. Calls versus Puts Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. When exercising a call option, you “call in” the asset. Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset at some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone. 期权: 预备知识 执行期权（Exercising the Option） The act of buying or selling the underlying asset through the option contract. 执行价格（Strike Price or Exercise Price） Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset. 到期日（Expiry） The maturity date of the option is referred to as the expiration date, or the expiry. 欧式和美式期权（European versus American options） European options can be exercised only at expiry. American options can be exercised at any time up to expiry. 期权: 预备知识 实值（In-the-Money） The exercise price is less than the spot price of the underlying asset. 平值，两平（At-the-Money） The exercise price is equal to the spot price of the underlying asset. 虚值（Out-of-the-Money） The exercise price is more than the spot price of the underlying asset. 期权的义务（Option Obligations） 看涨期权（Call Options） Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset on or before some time in the future, at prices agreed upon today. 到期日时看涨期权的基本定价关系 在到期日, 一个美式看涨期权与欧式看涨期权的价值相等且具有相同的特征 如果看涨期权是实值, 其价值为： ST - E. 如果看涨期权是虚值, 它没有价值. CeT = Max[ST - E, 0] 这里 ST ：到期日的股票价值 (时间 T )