金融工程数值方法分析7.pptVIP

练习题1: 宝钢股份的看涨期权相关资料如下:欧式\还有0.5年到期,执行价格为3元,无风险利率为5%,宝钢股价现在为4元;假设宝钢股份无分红;宝钢股价收益率的波动率为20%,计算该看涨期权的价值，并计算五个希腊字母。 练习题2: 宝钢股份的看跌期权相关资料如下:欧式\还有0.5年到期,执行价格为5元,无风险利率为5%,宝钢股价现在为4元;假设宝钢股份无分红;宝钢股价收益率的波动率为20%,计算该看跌期权的价值，并计算五个希腊字母。 CHAPTER 7the Black–Scholes formulae and the ‘greeks’ In this Chapter the derivation of the Black–Scholes formulae for calls, puts and simple digitals the meaning and importance of the ‘greeks,’ delta, gamma, theta, vega and rho the difference between differentiation with respect to variables and to parameters formulae for the greeks for calls, puts and simple digitals the derivation of the Black–Scholes formulae for calls, puts and simple digitals: （Omitted略） When the asset is ‘at-the-money forward,’ i.e. then there is a simple approximation for the call value (Brenner Subrahmanyam, 1994): When the asset is ‘at-the-money forward,’ i.e. then there is a simple approximation for the put value (Brenner Subrahmanyam, 1994): The greeks: Delta Gamma Theta vega rho Delta: The delta of an option or a portfolio of options is the sensitivity of the option or portfolio to the underlying. It is the rate of change of value with respect to the asset: Delta hedging means holding one of the option and short a quantity ‘delta’ of the underlying. Delta can be expressed as a function of S and t. This means that the number of assets held must be continuously changed to maintain a delta-neutral position; this procedure is called dynamic hedging. Changing the number of assets held requires the continual purchase and/or sale of the stock. This is called rehedging or rebalancing the portfolio. Gamma: The gamma of an option or a portfolio of options is the second derivative of the position with respect to the underlying: Theta: Theta is the rate of change of the option price with time: Vega: Vega, a.k.a. zeta and kappa, is the sensitivity of the option price to volatility: Rho: Rho, ρ, is the sensitivity of the option value to the interest rate used in the Black–Schol