金融工程英文课件：Chapter4 Option Pricing Models.pptVIP

Option Pricing Models The Binomial Model The One-Period Binomial Model Suppose that we buy h shares of stocks and sell a call on this stock. The value of this portfolio is hS-C at time 0. We hope the value of this portfolio has only one outcome regardless of what the stock price does. Notice that we never specified the probabilities of the two stock price movements, they do not enter into the model. This model has a risk-neutral option pricing framework and investor’s sensitivities to risk are of no consequence. The model will accept the stock price as given and pay no attention to how risk w