期权期货及其他衍生产品第9版赫尔_5.pptVIP

* * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Chapter 29Interest Rate Derivatives: The Standard Market Models Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * The Complications in Valuing Interest Rate Derivatives (page 673) We need a whole term structure to define the level of interest rates at any time The stochastic process for an interest rate is more complicated than that for a stock price Volatilities of different points on the term structure are different Interest rates are used for discounting the payoff as well as for defining the payoff. When OIS discounting is used for a product whose payoffs depend on LIBOR, two term structures must be considered Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Approaches to PricingInterest Rate Options Use a variant of Black’s model Use a no-arbitrage (yield curve based) model Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Black’s Model Similar to the model proposed by Fischer Black for valuing options on futures in 1976 Assumes that the value of an interest rate, a bond price, or some other variable at a particular time T in the future has a lognormal distribution Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Black’s Model for European Bond Options (Equations 29.1 and 29.2, page 674) Assume that the future bond price is lognormal Both the bond price and the strike price should be cash prices not quoted prices Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Forward Bond and Forward Yield Approximate dura