Bodie2e_Chapter15 Markets for Options and Contingent Claims 英文版PPT金融学（第二版) 教程文件.ppt

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Bodie2e_Chapter15 Markets for Options and Contingent Claims 英文版PPT金融学（第二版) 教程文件.ppt

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Chapter 15: Markets for Options and Contingent Claims;Chapter 15 Contents;Objectives;Introduction;Definition of an Option;Old Mortgage;New Mortgage;Tenure and Seniority;Copper Pennies, Silver Coin;Insurance;Supply Contracts;Technological Leases;Limited Liability;Trading on Commission;15.1 How Options Work;European Option: an option that can only be exercised on the maturity date Tangible Value: The hypothetical value of an option if it were exercised immediately At-the-Money: an option with a strike price equal to the value of the underlying asset Out-of-the-Money: an option that’s not at-the-money, but has no tangible value In-the-Money: an option with a tangible value Time Value: the difference between an option’s market value and its tangible value Exchange-Traded Option: A standardized option that an exchange stands behind in the case of a default Over the Counter Option: An option on a security that is not an exchange-traded option ;19;20;15.2 Investing with Options;Option Payoff Diagrams;;Put Option Payoff Diagram;Payoff Diagrams for Alternative Bullish Stock Strategies;26;15.3 The Put-Call Parity Relation;Payoff Diagram for Pure Discount Bond Plus Call;29;30;Observation;Technical Note;Put-Call Parity for American and European Options;Put-Call Parity Equation;Synthetic Securities;Synthetic Securities;Options and Forwards;Implications for European Options;Implications for European Options;Strike = Forward;41;PV Strike;15.4 Volatility and Option Prices;44;Illustration Explained;15.5 Two-State (Binomial) Option-Pricing;Binary Model Assumptions ;Binary Model Assumptions ;Binary Model: Call;Binary Model: Call;Binary Model: Call;Binary Model: Call;Binary Model: Put;Binary Model: Put;Decision Tree for Dynamic Replication of Call Option;Binary Model: Put;Binary Model: Put;15.6 Dynamic Replication and the Binomial Model;Decision Tree for Dynamic Replication of a Call Option;Reading the Decision Tree;The Power of Lattice Models;15.7 The Black-Scholes Model;The