ch21期權定價-資料下載頁
2025-08-14 11:02本頁面
【正文】 充分了。但是，對于支付紅利的股票美式看漲期權的定價則需要更復雜的公式。 The BlackScholes formula is valid for options on stocks that pay no dividends. Dividend adjustments may be adequate to price European calls on dividendpaying stocks, but the proper treatment of American calls on dividendpaying stocks requires more plex formulas. 2127 Summary 不管股票是否支付紅利，看跌期權都可提前執(zhí)行。因此，一般來講，美式看跌期權比歐式看跌期權更有價值。 Put options may be exercised early, whether the stock pays dividends or not. Therefore, American puts generally are worth more than European puts. 2128 Summary 歐式看跌期權的價值可以從與看漲期權的平價關系中得到，但是由于美式看跌期權有提前執(zhí)行的可能，歐式看跌期權的定價方法不適用于美式看跌期權。 European put values can be derived from the call value and the putcall parity relation ship. This technique cannot be applied to American puts for which early exercise is a possibility. 2129 Summary 套期保值率是在出售期權時，為抵消期權的價格風險所需要的股票的數(shù)量，深度虛值看漲期權的套期保值率接近于 0，而深度實值的看漲期權的套期保值率接近 1。 The hedge ratio is the number of shares of stock required to hedge the price risk involved in writing one option. Hedge ratios are near zero for deep outofthemoney call options and approach for deep inthemoney calls. 2130 Summary 雖然套期保值率小于 1，但看漲期權的彈性卻大于 1。股票價格的波動帶來的看漲期權的收益率大于 1比 1。 Although hedge ratios are less than , call options have elasticities greater than . The rate of return on a call (as opposed to the dollar return) responds more than one for one with stock price movements. 2131 Summary 通過購買股權頭寸的保護性看跌期權可以獲得資產(chǎn)組合保險，當交易適當?shù)牡跈鄷r，賣出等于預期的看跌期權得爾塔值的比例的股權，換成無風險的證券，就可以實現(xiàn)資產(chǎn)組合保險的動態(tài)套期保值策略。 Portfolio insurance can be obtained by purchasing a protective put option on an equity position. When the appropriate put is not traded, portfolio insurance entails a dynamic hedge strategy where a fraction of the equity portfolio equal to the desired put option’s delta is sold and placed in riskfree securities
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