课件希腊字母第15章例子一家银行以30万美元价格出售了10万股不.pdfVIP

The Greek Letters Chapter 15 Options, Futures, and Other Derivatives, 6th Edition, Copyright © John C. Hull 2005 15.1 Example ⚫ A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock ⚫ S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% ⚫ The Black-Scholes value of the option is $240,000 ⚫ How does the bank hedge its risk to lock in a $60,000 profit? Options, Futures, and Other Derivatives, 6th Edition, Copyright ©