期权期货及其衍生产品约翰赫尔官方课件.pptxVIP

Chapter 17Futures Options;Options on Futures;Mechanics of Call Futures Options;Mechanics of Put Futures Option;Example 1 (page 361);Example 2 (page 362);The Payoffs;Potential Advantages of Futures Options over Spot Options;European Futures Options;Put-Call Parity for Futures Options (Equation 16.1, page 345);Other Relations;Binomial Tree Example;Setting Up a Riskless Portfolio;Valuing the Portfolio( Risk-Free Rate is 6% );Valuing the Option;Generalization of Binomial Tree Example (Figure 17.2, page 368);Generalization(continued);Generalization(continued);Generalization(continued);Growth Rates For Futures Prices;Valuing European Futures Options;Black’s Model (Equations 17.9 and 17.10, page 370);How Black’s Model is Used in Practice;Using Black’s Model Instead of Black-Scholes-Merton (Example 17.7, page 371);Futures Option Price vs Spot Option Price;Futures Style Options (73);Put-Call Parity Results;Summary of Key Results from Chapters 16 and 17