restrictionsonoptionsprices(衍生金融工具-人民-文庫吧資料
2025-02-18 05:29本頁面
【正文】 ast business day European cash settlement HK Futures Exchange Open outcry 10:00am12:30pm 2:30pm4:00pm Current next month plus two more in the maturity cycle Second last business day American Physical delivery HK Futures Exchange Market makers 10:00am12:30pm 2:30pm4:00pm Euro or American HK Futures Exchange Market makers 10:00am12:30pm 2:30pm4:00pm ? Introduction Exact pricing formulas for options are more difficult to derive than formulas for forwards and futures. To arrive at a pricing formula for stock options, which we will do in a few lectures, we need to make assumptions on the dynamic behavior of the prices of the underlying stock. In what follows will derive some general restrictions on stock option price without assuming a dynamic model for stock price movement. The main purpose of doing that is to improve our understanding of option contracts. Outline: A. Notation B. Basic intuition C. Basic arbitrage relations D. Arbitrage bonds on prices and PutCall parity E. Effects on dividends on arbitrage restrictions F. Conclusions ? Notation Current date Maturity or expiration date Price of the underlying asset Current price of a $1 face value bond that matures at T Exercise (strike) price Value of a European call Value of an American call Value of a European put Value of a American put T T S(t) B(t,T)=er(Tt) K (or X) c(S,K,t,T) C(S,K,t,T) p(S,K,t,T) P(S,K,t,T) ? Basic Intuition Effect on the price of a stock option of increasing one variable while keeping all others fixed: Variable European Call European Put American Call American Put Stock price Strike price Time to expiration Volatility Riskfree rate Dividends ? Basic arbitrage relations: Note: The following restrictions hold regardless of whether the underlying stock pays dividends or not. A. A call is never worth more than the stock and a put is never worth more than exercise price C(S,K,t,T) ?S(t) c(S,K,t,T) ?S(t) P(S,K,t,T) ?K p(S,K,t,T) ?K B. European puts are never worth more than the p
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