properties of option prices缩减PPT.pptVIP

1 Chapter 8　 Properties ofStock Option Prices 2 8.1 factors affecting options prices 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 Notation 3 Effect of Variables on Option Pricing c p C P + + – + + + + + + + – – – + 4 8.2 basic option price relationship under no arbitrage condition