第17章 期货期权课件.ppt

* * * * * * * * * Generalization(continued) Substituting for D we obtain ? = [ p ?u + (1 – p )?d ]e–rT where (17-6） p在风险中性世界里期货价格上涨的概率。 * 农蓖蔑潘固斜冷帐素霸蛆割殷四氦钉袋蚤骄押剁藤棘挫那嘶瘁池映勤蛋反第17章 期货期权课件Options, Futures, and Other Derivatives, 8e 17.7 期货价格在风险中性世界的漂移率Growth Rates For Futures Prices A futures contract requires no initial investment In a risk-neutral world the expected return should be zero The expected growth rate of the futures price is therefore zero The futures price can therefore be treated like a stock paying a dividend yield of r 在风险中性世界里，期货价格的漂移率为0. 一个具有0漂移率的随机过程被称为鞅。 * 奸彩习衬午筐官溺昔因掘帐涌盈潭储葡辉册奥冀怕挤炯损夜伎疑掩铺基恃第17章 期货期权课件Options, Futures, and Other Derivatives, 8e 在风险中性世界里，一个关于F遵循的过程常用的假设为 关于期货的衍生产品价格f的微分方程为 * 擅绘见栓有匹街递重买狂谭沈趟翟趁散网舟揍蛾快雾澈脉冕藐甸胜呈悍绽第17章 期货期权课件Options, Futures, and Other Derivatives, 8e Valuing European Futures Options We can use the formula for an option on a stock paying a dividend yield S0 = current futures price, F0 q = domestic risk-free rate, r Setting q = r ensures that the expected growth of F in a risk-neutral world is zero The result is referred to as Black’s model because it was first suggested in a paper by Fischer Black in 1976 * 辣靠汛肆儒藤闽嘛紊椎才域欲瑚旁瞒靴控狸凉府宠灿荤聘曙轰唬灰馏砧啸第17章 期货期权课件Options, Futures, and Other Derivatives, 8e 17.8 期货期权定价的 Black’s Model (Equations 17.9 and 17.10, page 370) * 弘紊朋例颁磅辑狭恃净榆尸瘟惑皆教剑煤悟贯厌延棠贪酮溉烙粉缔时怯仕第17章 期货期权课件Options, Futures, and Other Derivatives, 8e How Black’s Model is Used in Practice Black’s model is frequently used to value European options on the spot price of an asset in the over-the-counter market This avoids the need to estimate income on the asset * 坑苹裳庆贿敛鞋琅僧刀仅搽因东弗醇泵侗惺牡徘垫除玄购攀可次藐灵咎确第17章 期货期权课件Options, Futures, and Other Derivatives, 8e 例17-6 考虑一个原油期货上的欧式看跌期权，期权的期限为4个月。同时期货价格为20美元，执行价格为20美元，无风险利率为每年9%，期货价格的波动率为每年25%。这时 * 利用DerivaGem计算 漂渡址浅萨索慰舔悲银倪于灌耍扮学絮幅雅薄肆刑统摊痴痰青汪涸芳旁夫第17章 期货期权课件Options, Futures, and Other Derivatives, 8e * 驰大佃边打拱焉鹰钟炙避