期货期权及其衍生品配套课件（全4章）Ch09.pptVIP

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期货期权及其衍生品配套课件（全4章）Ch09.ppt

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期货期权及其衍生品配套课件（全4章）Ch09

Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Properties of Stock Options Chapter 9 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Notation c : European call option price p : European put option price S0 : Stock price today K : Strike price T : Life of option ?: Volatility of stock price C : American Call option price P : American Put option price ST :Stock price at option maturity D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Effect of Variables on Option Pricing (Table 9.1, page 202) Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * c p C P Variable S0 K T ? r D + + – + ? ? + + + + + + + – + – – – – + – + – + American vs European Options An American option is worth at least as much as the corresponding European option C ? c P ? p Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Calls: An Arbitrage Opportunity? Suppose that c = 3 S0 = 20 T = 1 r = 10% K = 18 D = 0 Is there an arbitrage opportunity? Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Lower Bound for European Call Option Prices; No Dividends (Equation 9.1, page 207) c ? max(S0 –Ke –rT, 0) Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Puts: An Arbitrage Opportunity? Suppose that Is there an arbit