金 融 市 场 学 复旦大学经济学院.ppt

* * * * * * * * * * * * * * Alternative Portfolio Buy 1 share of stock at $100 Borrow $46.30 (8% Rate) Net outlay $53.70 Payoff Value of Stock 50 200 Repay loan - 50 -50 Net Payoff 0 150 53.70 150 0 Payoff Structure is exactly 2 times the Call Binomial Option Pricing:Text Example 53.70 150 0 C 75 0 2C = $53.70 C = $26.85 Binomial Option Pricing:Text Example Alternative Portfolio - one share of stock and 2 calls written (X = 125) Portfolio is perfectly hedged Stock Value 50 200 Call Obligation 0 -150 Net payoff 50 50 Hence 100 - 2C = 46.30 or C = 26.85 Another View of Replication of Payoffs and Option Values Generalizing the Two-State Approach Assume that we can break the year into two six-month segments In each six-month segment the stock could increase by 10% or decrease by 5% Assume the stock is initially selling at 100 Possible outcomes Increase by 10% twice Decrease by 5% twice Increase once and decrease once (2 paths) Generalizing the Two-State Approach 100 110 121 95 90.25 104.50 Expanding to Consider Three Intervals Assume that we can break the year into three intervals For each interval the stock could increase by 5% or decrease by 3% Assume the stock is initially selling at 100 S S + S + + S - S - - S + - S + + + S + + - S + - - S - - - Expanding to Consider Three Intervals Possible Outcomes with Three Intervals Event Probability Stock Price 3 up 1/8 100 (1.05)3 =115.76 2 up 1 down 3/8 100 (1.05)2 (.97) =106.94 1 up 2 down 3/8 100 (1.05) (.97)2 = 98.79 3 down 1/8 100 (.97)3 = 91.27 Co = SoN(d1) - Xe-rTN(d2) d1 = [ln(So/X) + (r + ?2/2)T] / (??T1/2) d2 = d1 + (??T1/2) where Co = Current call option value. So = Current stock price N(d) = probability that a random draw from a normal dist. will be less than d. Black-Scholes Option Valuation X = Exercise price. e = 2.71828, the base of the nat. log. r = Risk-free interest rate (annualizes continuously compounded with the same ma