第十章 股票期权的性质.pptVIP

Put-Call Parity: No Dividends  Consider the following 2 portfolios： 考虑下面两个投资组合: Portfolio A: European call on a stock + zero-coupon bond that pays K at time T 投资组合A:一个欧式看涨期权+在T时刻收益为K的零息债券 Portfolio C: European put on the stock + the stock 投资组合C:一个欧式开跌期权+一股股票 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Values of Portfolios Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * ST K ST K Portfolio A Call option ST ? K 0 Zero-coupon bond K K Total ST K Portfolio C Put Option 0 K? ST Share ST ST Total ST K The Put-Call Parity Result (Equation 10.6, page 158) Both are worth max(ST , K ) at the maturity of the options They must therefore be worth the same today. This means that c + Ke -rT = p + S0 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Suppose that What are the arbitrage possibilities when p = 2.25 ? p = 1 ? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Arbitrage Opportunities c= 3 S0= 31 T = 0.25 r = 10% K =30 D = 0 Early Exercise提前行使期权 Usually there is some chance that an American option will be exercised early An exception is an American call on a non-dividend paying stock This should never be exercised early 对于无股息股票的美式看涨期权来说在到期日之前行使永远不会是最佳的选择 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * An Extreme Situation For an American call option: S0 = 100; T = 0.25; K = 60; D = 0 Should you exercise immediately? What should you do if You want to hold the stock for the next 3 months? You do not feel that the stock is worth holding for the next 3 months? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * 第十章 股票期权的性质Properties of Stock Options Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Notation Options, Futures, and Oth