衍生工具和风险管理-ch03.pptVIP

D. M. Chance An Introduction to Derivatives and Risk Management, 6th ed. 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 Table 3.1, p. 58 for prices of AOL options Principles of Call Option Pricing The Minimum Value of a Call C(S0,T,X) 3 0 (for any call) For American calls: Ca(S0,T,X) 3 Max(0,S0 - X) Concept of intrinsic value: Max(0,S0 - X) Proof of intrinsic value rule for AOL calls Concept of time value See Table 3.2, p. 59 for time values of AOL calls See Figure 3.1, p. 60 for minimum values of calls Principles of Call Option Pricing (cont