高级公司金融Pricing DerivativesPPT.ppt

DRAFT;Chapter Outline;4.1 Introduction to Derivatives;4.2 Forward and Futures;An Example of Forward Contract;Marking to Market;Example: Marking to the Market with SP 500 Futures;;4.3 Options;Call Option;Value of a Call Option at Expiration (Long);Value of Writing a Call Option at T (Short);Put Option;Value of a Put Option at Expiration (Long);Value of Writing a Put Option at T (Short);American and European Options;Other Features of Options;4.4 The Basics of Derivatives Pricing;4.5 Perfect Tracking Portfolios and Valuation;Perfect Tracking and Forward Valuation;Perfect Tracking and Forward Valuation;Perfect Tracking and Forward Valuation;Forward Valuation with Known Dividends;Forward Valuation with Known Dividends;Forward Price;Forward Price;4.6 Perfect Tracking and Put-Call Parity;Deriving the Formula;Put-Call Parity and Forward Contract;;Put-Call Parity and a Minimum Value for a Call;Premature Exercise of American Call;Premature Exercise of American Call;Premature Exercise of American Call;Put-Call Parity for European Options on Dividend Paying Stocks;Portfolio Insurance;Portfolio Insurance;Portfolio Insurance;4.7 Binomial Pricing Model;Binomial Process;An Example: Value of a Structured Bond ;Binomial Trees For SP 500 and Structure Bond;Indentifying The Tracking Portfolio;Finding The Tracking Portfolio;The Value of Structured Bond;4.8 Risk Neutral Pricing;Further Insights For Risk Neutral Pricing;Risk Neutral Pricing Formula;Implementation of Risk Neutral Pricing;Risk Neutral Pricing and Structure Bond;Risk Neutral Pricing and Structure Bond;A General Formula for Risk Neutral Probabilities;Risk Neutral Pricing and Tracking Portfolio;4.9 Multiperiod Binomial Valuation;The Structured Bond Example Revised;Two-Period Binomial Tree;Identify the Risk Neutral Probabilities;Find the Value of Structured Bond;A General Formula Under Two Period Binomial Process;Dynamic Tracking Portfolios;4.10 Binomial Valuation of European Options;Value Under One Period Binomial Process;Valu