期权期货及其衍生品第12弹.pptxVIP

Chapter 12Binomial TreesOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20121第一页，共二十六页。 A Simple Binomial ModelA stock price is currently $20In 3 months it will be either $22 or $18Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20122Stock Price = $18Stock Price = $22Stock price = $20第二页，共二十六页。 A Call Option (Figure 12.1, page 254) A 3-month call option on the stock has a strike price of 21. Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20123Stock Price = $18Option Price = $0Stock Price = $22Option Price = $1Stock price = $20Option Price=?第三页，共二十六页。 Setting Up a Riskless PortfolioFor a portfolio that is long D shares and a short 1 call option values are Portfolio is riskless when 22D – 1 = 18D or D = 0.25Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012422D – 118D第四页，共二十六页。 Valuing the Portfolio(Risk-Free Rate is 12%)The riskless portfolio is: long 0.25 shares short 1 call optionThe value of the portfolio in 3 months is 22 ×0.25 – 1 = 4.50The value of the portfolio today is 4.5e–0.12×0.25 = 4.3670Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20125第五页，共二十六页。 Valuing the OptionThe portfolio that is long 0.25 shares short 1 option is worth 4.367The value of the shares is 5.000 (= 0.25 × 20 )The value of the option is therefore 0.633 ( 5.000 – 0.633 = 4.367 )Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20126第六页，共二十六页。 Generalization (Figure 12.2, page 255) A derivative lasts for time T and is dependent on a stockOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20127S0u ?uS0d ?dS0?第七页，共二十六页。 Generalization (continued)Value of a portfolio that is long D shares and short 1 derivative: The portfolio is riskless when S0uD – ?u = S0dD – ?d orOption