期权期货及其他衍生品版.ppt

* * * * * * * * Static Options Replication(Section 25.16, page 591) This involves approximately replicating an exotic option with a portfolio of vanilla options Underlying principle: if we match the value of an exotic option on some boundary , we have matched it at all interior points of the boundary Static options replication can be contrasted with dynamic options replication where we have to trade continuously to match the option Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example A 9-month up-and-out call option an a non-dividend paying stock where S0 = 50, K = 50, the barrier is 60, r = 10%, and s = 30% Any boundary can be chosen but the natural one is c (S, 0.75) = max(S – 50, 0) when S 60 c (60, t ) = 0 when 0 ￡ t ￡ 0.75 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Boundary Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example (continued) We might try to match the following points on the boundary c(S , 0.75) = MAX(S – 50, 0) for S 60 c(60, 0.50) = 0 c(60, 0.25) = 0 c(60, 0.00) = 0 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example continued(See Table 25.1, page 593) We can do this as follows: +1.00 call with maturity 0.75 strike 50 –2.66 call with maturity 0.75 strike 60 +0.97 call with maturity 0.50 strike 60 +0.28 call with maturity 0.25 strike 60 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example (continued) This portfolio is worth 0.73 at time zero compared with 0.31 for the up-and out option As we use more options the value of the replicating portfolio converges to the value of the exotic option For example, with 18 points matched on the horizontal boundary the value of the replicating portfolio reduces to 0.38; with 100 points being matched it reduces to 0.32 Options, Futures, and Other Derivatives, 8th Edition,