期权市场基础：第17章对冲策略分析.pptx

FundamentalsofFuturesandOptionsMarkets,7thEd,Ch17,Copyright?JohnC.Hull2010TheGreekLettersChapter171

FundamentalsofFuturesandOptionsMarkets,7thEd,Ch17,Copyright?JohnC.Hull2010Example(Page359)Abankhassoldfor$300,000aEuropeancalloptionon100,000sharesofanon-dividend-payingstockS0=49,K=50,r=5%,s=20%, T=20weeks,m=13%TheBlack-Scholes-Mertonvalueoftheoptionis$240,000Howdoesthebankhedgeitsrisk?2

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