第十章股票期权的性质概念.ppt

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 Th