derivativesoptions(英文版)-文庫吧資料
2025-01-10 07:54本頁面
【正文】 tion Value The value of an option at expiration is a function of the stock price and the exercise price. Option Value The value of an option at expiration is a function of the stock price and the exercise price. Example Option values given a exercise price of $85 00051525ValuePut 25155000Value Call110100908070$60eStock P ric Options CBOE Success 1 Creation of a central options market place. 2 Creation of Clearing Corp the guarantor of all trades. 3 Standardized expiration dates 3rd Friday 4 Created a secondary market Options Components of the Option Price 1 Underlying stock price 2 Striking or Exercise price 3 Volatility of the stock returns (standard deviation of annual returns) 4 Time to option expiration 5 Time value of money (discount rate) BlackScholes Option Pricing Model OC = Ps[N(d1)] S[N(d2)]ert BlackScholes Option Pricing Model OC = Ps[N(d1)] S[N(d2)]ert OC Call Option Price Ps Stock Price N(d1) Cumulative normal density function of (d1) S Strike or Exercise price N(d2) Cumulative normal density function of (d2) r discount rate (90 day m paper rate or risk free rate) t time to maturity of option (as % of year) v volatility annualized standard deviation of daily returns (d1)= ln + ( r + ) t Ps S v2 2 v t 32 34 36 38 40 Cumulative Normal Density Function N(d1)= Cumulative Normal Density Function (d1)= ln + ( r + ) t Ps S v2 2 v t Cumulative Normal Density Function (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 / 3
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