金融工程二叉树.pptVIP

Binomial Trees Chapter 11 A Simple Binomial Model A stock price is currently $20 In three months it will be either $22 or $18 Stock Price = $22 Stock Price = $18 Stock price = $20 Stock Price = $22 Option Price = $1 Stock Price = $18 Option Price = $0 Stock price = $20 Option Price=? A Call Option A 3-month call option on the stock has a strike price of 21. Consider the Portfolio: long D shares short 1 call option Portfolio is riskless when 22D ?1 = 18D or D = 0.25 22D ?1 18D Setting Up a Riskless Portfolio Valuing the Portfolio(Risk-Free Rate is 12%) The riskless portfolio is: long 0.25 shares short 1 call option The value of the portfolio in 3 months is 22 ×0.25 ?1 = 4.50 The value of the portfolio today is 4.5e ?0.12×0.25 = 4.3670 Valuing the Option The portfolio that is long 0.25 shares short 1 option is worth 4.367 The value of the shares is 5.000 (= 0.25 × 20 ) The value of the option is therefore 0.633 (= 5.000 ?4.367 ) Generalization A derivative lasts for time T and is dependent on a stock S0u 僽 S0d 僤 S0 ? Generalization(continued) Consider the portfolio that is long D shares and short 1 derivative The portfolio is riskless when S0uD ?僽 = S0dD ?僤 or S0uD ?僽 S0dD ?僤 Generalization(continued) Value of the portfolio at time T is S0uD ?僽 Value of the portfolio today is (S0uD ?僽)e杛T Another expression for the portfolio value today is S0D ?f Hence ?= S0D ?(S0uD ?僽 )e杛T Generalization(continued) Substituting for D we obtain ?= [ p僽 + (1 ?p)僤 ]e杛T where 注：公式不涉及标的股票上涨或者下跌的概率，我们本来可以很正常的认为股票上涨概率大，看涨期权的价值就应该大。但事实不是这样。 p as a Probability It is natural to interpret p and 1-p as probabilities of up and down movements。 The value of a derivative is then its expected payoff in a risk-neutral world discounted at the risk-free rate。 S0u 僽 S0d 僤 S0 ? p (1 ?p ) Risk-neutra