期权、期货及其他衍生产品课件9金融工程学.pptVIP

9.* Reasons For Not Exercising a Call Early (No Dividends) No income is sacrificed Payment of the strike price is delayed Holding the call provides insurance against stock price falling below strike price 随着r、T或者波动率的增加，看涨期权的内在价值按箭头方向变动 9.* Should Puts Be Exercised Early ? Are there any advantages to exercising an American put when S0 = 60; T = 0.25; r=10% K = 100; D = 0 At point B, the price of the option is equal to its intrinsic value, represent a higher value of the stock price than point A.(BA) 9.* 当r减少、波动率增加，T增加时，看跌期权的价值按箭头方向变化 美式看跌期权 欧式看跌期权 9.* The Impact of Dividends on Lower Bounds to Option Prices(Equations 9.5 and 9.6, pages 218-219) 组合A和组合C的期末价值均为：max(ST,K)+DerT 9.* Extensions of Put-Call Parity American options; D = 0 (9.18) S0 - K ≤ C - P ≤S0 - Ke -rT (Equation 9.4, p. 215) Solution: C - P ≤S0 - Ke -rT Portfolio I : a European call + an amount of cash equal to K Portfolio J: an American put option + one share If not exercise early, the value of portfolio J at time T is max(ST,K) The value of portfolio I at time T is: If exercise put option at time , the value of J is K. The value of I is . S0 - K ≤ C - P American options; D 0 S0 - D - K C - P S0 - Ke -rT (Equation 9.8, p. 219) portfolio 1: a European call + an amount of cash equal to D+K Portfolio 2: An American put option+ one share 9.* 9.* Properties of Stock Options Chapter 9 9.* Notation c : European call option price p : European put option price S0 : Stock price today K : Strike price T : Life of option ?: Volatility of stock price C : American Call option price P : American Put option price ST :Stock price at option maturity D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp 9.* Effect of Variables on Option Pricing (Table 9.1, page 206) c p C P Variable S0 K T ? r D + + – + ? ? + + + + + + + – + – – – – + – + – + 9.* 9.* 9.* 9.* American vs European Option