期权市场结构与定价模型.pdfVIP

2.市场

市场的结构

的概念及其种类

17世纪初围绕郁金香的米勒对的解释

的标的资产(，股指，利率，外汇)

场所(，场易)

看涨和看跌；欧式和美式；现货和

四种头寸及其合约的盈亏[附8]

满期时的价值[附9]和满期前的价值[附10](时间价值和内在

价值[附11])

外汇的投资战略[附12]

外汇的购入和看跌的购入(价格下跌风险控制)

外汇的购入和看涨的卖出(价格波动较小时利益增大)

其他组合头寸(根据协议价格，数量，满期日等的异同性)

定价模型

2.Options

market

Thestructureofthe

optionsmarket

Theconceptandtypesof

options

17OptiontradingaroundtulipsatthebeginningofthecenturyMillersexnationofoptions

Underlyingassetsofoptions(stocks,stockindexes,interestrates,foreigne)

Tradingvenues(es,over-the-countertransactions)Calloptionsandputoptions;

EuropeanoptionsandAmericanoptions;spotoptionsandfuturesoptionsProfitandlossof

fouroptionpositionsandtheircontracts[Attachment8]Optionvalueatexpiration

[Attachment9]andoptionvaluebeforeexpiration[attached10](timevalueandintrinsicvalue

[attached11])

Investmentstrategyforforeigneoptions[

Appendix12]

Purchaseofforeignefuturesandpurchaseofputoptions(pricefallrisk

control)Purchaseofforeignefuturesandsaleofcalloptions(profitsincrease

whenpricefluctuationsaresmall)Othercombinedpositions(basedonsimilaritiesand

differencesinagreementprice,numberofoptions,expirationdate,etc.)

OptionPricing

Model

二叉树定价模型[