derivativesoptions(英文版)(編輯修改稿)
2025-01-24 07:54 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 365 Call Option Example What is the price of a call option given the following?. P = 36 r = 10% v = .40 S = 40 t = 90 days / 365 (d1) = ln + ( r + ) t Ps S v2 2 v t (d1) = .3070 N(d1) = 1 .6206 = .3794 Call Option .3070 = .3 = .00 = .007 Call Option Example What is the price of a call option given the following?. P = 36 r = 10% v = .40 S = 40 t = 90 days / 365 (d2) = .5056 N(d2) = 1 .6935 = .3065 (d2) = d1 v t Call Option Example What is the price of a call option given the following?. P = 36 r = 10% v = .40 S = 40 t = 90 days / 365 OC = Ps[N(d1)] S[N(d2)]ert OC = 36[.3794] 40[.3065]e (.10)(.2466) OC = $ Put Call Parity Put Price = Oc + S P Carrying Cost + Div. Carrying cost = r x S x t Example IBM is selling at $41 a share. A six month May 40 Call is selling for $. If a May $ .50 dividend is expected and r=10%, what is the put price? Put Call Parity Example IBM is selling at $41 a share. A six month May 40 Call is selling for $. If a May $ .50 dividend is expected and r=10%, what is the put price? Put Call Parity Op = Oc + S P Carrying Cost + Div. Op = 4 + 40 41 (.10x 40 x .50) + .50 Op = 3 2 + .5 Op = $ Warrants Convertibles Review Ch 22 (not going over in class) Warrant a call option with a longer time to expiration. Value a warrant as an option, plus factor in dividends and dilution. Convertible Bond with the option to exchange it for stock. Value as a regular bond + a call option. Won’t require detailed valuation general concept on valuation + new option calc and old bond calc
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