Properties ofStock Option PricesChapter 7.ppt
上传人:王秋****哥哥 上传时间:2024-09-10 格式:PPT 页数:16 大小:63KB 金币:10 举报 版权申诉
预览加载中,请您耐心等待几秒...

Properties ofStock Option PricesChapter 7.ppt

PropertiesofStockOptionPricesChapter7.ppt

预览

免费试读已结束,剩余 6 页请下载文档后查看

10 金币

下载此文档

如果您无法下载资料,请参考说明:

1、部分资料下载需要金币,请确保您的账户上有足够的金币

2、已购买过的文档,再次下载不重复扣费

3、资料包下载后请先用软件解压,在使用对应软件打开

PropertiesofStockOptionPricesChapter7NotationEffectofVariablesonOptionPricing(Table7.1,page169)AmericanvsEuropeanOptionsCalls:AnArbitrageOpportunity?LowerBoundforEuropeanCallOptionPrices;NoDividends(Equation7.1,page172)Puts:AnArbitrageOpportunity?LowerBoundforEuropeanPutPrices;NoDividends(Equation7.2,page173)Put-CallParity;NoDividends(Equation7.3,page174)ArbitrageOpportunitiesEarlyExerciseForanAmericancalloption:S0=100;T=0.25;X=60;D=0Shouldyouexerciseimmediately?WhatshouldyoudoifYouwanttoholdthestockforthenext3months?Youdonotfeelthatthestockisworthholdingforthenext3months?ReasonsForNotExercisingaCallEarly(NoDividends)ShouldPutsBeExercisedEarly?TheImpactofDividendsonLowerBoundstoOptionPrices(Equations7.5and7.6,page179)ExtensionsofPut-CallParity