ch21期權(quán)定價(jià)-文庫吧資料
2024-08-17 08:47本頁面
【正文】 Valuesl內(nèi)在價(jià)值 – 立即執(zhí)行該期權(quán)能獲的收入 Intrinsic value profit that could be made if the option was immediately exercised–看漲期權(quán) : 股票價(jià)格 – 執(zhí)行價(jià)格 Call: stock price exercise price–看跌期權(quán) : 執(zhí)行價(jià)格 股票價(jià)格 Put: exercise price stock price l時(shí)間價(jià)值 – 期權(quán)價(jià)格與內(nèi)在價(jià)值間的差異Time value the difference between the option price and the intrinsic value214期權(quán)的 時(shí)間價(jià)值 ： 看漲期權(quán)Time Value of Options: Call期權(quán) 價(jià)值Option valueX 股票價(jià)格 Stock Price看漲期權(quán)價(jià)值Value of Call 內(nèi)在價(jià)值內(nèi)在價(jià)值 Intrinsic Value時(shí)間價(jià)值Time value215影響看漲期權(quán)價(jià)值的因素Factors Influencing Option Values: Calls因素 Factor 對(duì) 價(jià)值的作用 Effect on value股票價(jià)格 Stock price increases執(zhí)行價(jià)格 Exercise price decreases股票價(jià)格的波動(dòng) Volatility of stock price increases到期 Time to expiration increases利息率 Interest rate increases股利 Dividend Rate decreases216二項(xiàng)式期權(quán)定價(jià)模型：舉例Binomial Option Pricing: Text Example10020050股票價(jià)格 Stock PriceC750看漲期權(quán)價(jià)值Call Option Value X = 125217二項(xiàng)式期權(quán)定價(jià)模型：舉例Binomial Option Pricing: Text Example另一個(gè)組合另一個(gè)組合 Alternative Portfolio買買 1股股 100元的股票借元的股票借 $8%的利率）凈支出是的利率）凈支出是 $Buy 1 share of stock at $100Borrow $ (8% Rate)Net outlay $收入收入 PayoffValue of Stock 50 200Repay loan 50 50Net Payoff 0 1501500收入結(jié)構(gòu)正好是看漲期權(quán)的 2倍Payoff Structure is exactly 2 times the Call218二項(xiàng)式期權(quán)定價(jià)模型：舉例Binomial Option Pricing: Text Example1500C7502C = $C = $219收入和期權(quán)價(jià)值的另一種觀點(diǎn)Another View of Replication of Payoffs and Option Values 另一個(gè)組合 – 1股股票和兩個(gè)售出的看漲期權(quán)的 組合恰好被套期保值 Alternative Portfolio one share of stock and 2 calls written (X = 125) Portfolio is perfectly hedged股票價(jià)值 Stock Value
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