金融體系與金融工具(存儲(chǔ)版)
【正文】 0 4 Stock Price at Expiration Profit per Option ($) How does selling stock pare with buying a put option? Buyer Seller Profit Diagram for a Put Option Market Value, Time Value and Intrinsic Value for an American Call The value of a call option C0 must fall within max (S0 – E, 0) C0 S0. Option payoffs ($) Call ST E ST Time value Intrinsic value Market Value Inthemoney Outofthemoney Stock Prices Option Price Boundaries Stock Prices Call Prices E Put Prices E E C =S C = S N(d1) – E erTN(d2) d1 = [ln(S/E) + (r + ?2/2)T] / (??T1/2) d2 = d1 + (??T1/2) where C = Current call option value S = Current stock price N(d) = probability that a random draw from a normal distribution will be less than d BlackScholes Option Valuation E = Exercise price e = , the base of the natural log r = Riskfree interest rate (annualizes continuously pounded with the same maturity as the option) T = time to maturity of the option in years ln = Natural log function ????Standard deviation of annualized cont. pounded rate of return on the stock BlackScholes Option Valuation Continued PutCall Parity ? BlackScholes valuation is for call options ? Putcall parity shows relationship between call and put options if riskless arbitrage is not possible ? Price of put =(E/ert) S +C ? Put replicated by riskless lending, short sale of stock, purchased call Trading Data on GE Options 衍生金融工具 權(quán)證 權(quán)證 (warrant) 權(quán)證分為認(rèn)購(gòu)權(quán)證 （ call warrant)和認(rèn)沽權(quán)證(put warrant)， 它由上市公司或 第三者 發(fā)行 ， 分別給予持有者在未來某一時(shí)間或某段時(shí)間以約定價(jià)格購(gòu)買或出售特定數(shù)量特定公司股票的權(quán)利 。 衍生金融工具 金融期貨 ? 金融期貨 (financial futures) 協(xié)議雙方約定在將來某一特定時(shí)間以約定價(jià)格(strike price, 執(zhí)行價(jià)格 )買入、賣出一定數(shù)量特定金融工具的標(biāo)準(zhǔn)化協(xié)議。亦稱 基礎(chǔ)金融工具， 包括 各類初始證券（ primitive security）或基礎(chǔ)證券 (underlying security)。 在首先滿足所有債權(quán)償付要求及優(yōu)先股東的收益權(quán)要求后 ， 普通股股東對(duì)企業(yè)盈利和財(cái)產(chǎn)擁有剩余索取權(quán) 。 中長(zhǎng)期金融工具 中期 （ 110年 ， treasury notes/ Tnotes) 長(zhǎng)期 （ 10年以上 ， treasury bonds/ Tbonds) （ government agency securities） (municipal bonds) （ corporate bonds） ? 股票 (stock) 股份公司發(fā)給投資者作為投資入股的證書和索取
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