Chapter 3 Principles of Option Pricing 衍生工具与风险相关管理课件.pptVIP

D. M. Chance An Introduction to Derivatives and Risk Management, 6th ed. (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide 15) (Return to text slide 13) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide 16) (Return to text slide 17) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide) (Return to text slide) * * Chapter 3: Principles of Option Pricing Asking a fund manager about arbitrage opportunities is akin to asking a fisherman where his favorite hole is. He will be glad to tell you a fish story from long ago, but he will not tell you where he caught the trout that in our analogy can be translated into millions of dollars, lest there will be hundreds of fishermen in his spot pulling in their own trout and reducing the inefficiency that made that arbitrage opportunity profitable in the first place. Daniel P. Collins Futures, December, 2001, p. 66 Important Concepts in Chapter 3 Role of arbitrage in pricing options Minimum value, maximum value, value at expiration and lower bound of an option price Effect of exercise price, time to expiration, risk-free rate and volatility on an option price Difference between prices of European and American options Put-call parity Basic Notation and Terminology Symbols S0 (stock price) X (exercise price) T (time to expiration = (days until expiration)/365) r (see below) ST (stock price at expiration) C(S0,T,X), P(S0,T,X) Basic Notation and Terminology (continued) Computation of risk-free rate Date: May 14. Option expiration: May 21 T-bill bid discount = 4.45, ask discount = 4.37 Average T-bill discount = (4.45+4.37)/2 = 4.41 T-bill price = 100 - 4.41(7/360) = 99.91425 T-bill yield = (100/99.91425)(365/7) - 1 = .0457 So 4.57 % is risk-free rate for options expiring May 21 Other risk-free rates: 4.56 (June 18), 4.63 (July 16) See