properties of option prices缩减参考.pptVIP

* Chapter 8　 Properties ofStock Option Prices * 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 * Effect of Variables on Option Pricing c p C P Variable S0 K T ? + + – + ? ? + + + + + + – – – + * 8.2 basic option price relationship under n