Stochastic Processes · 免费预览
看涨期权与看跌期权
Black-Scholes 看涨期权价格等于 S0 乘以 d1 处的 Phi 值，再减去折现后的执行价格乘以 d2 处的 Phi 值；正态分布函数给出这两个风险中性概率；看涨看跌平价关系可由对应的看涨期权价格确定任意看跌期权的价格；本章最后将整门课程的内容纳入同一个鞅的框架之下。
1. The formula and its two probabilities
The formula and its two probabilities
2. Why the normal appears twice
Why the normal appears twice
3. Puts by parity
Puts by parity
4. The whole course, one idea
The whole course, one idea
5. Anatomy of the formula
In V C equal to S0 times Phi of d1 minus e to the minus r T times K times Phi of d2, what do the two terms represent?
6. Reading d2 off the formula
What does Phi of d2 equal to 0.416 say about the Google call?
7. The one volatility shift
Why is d1 exactly d2 plus sigma times the square root of T?
8. Puts without a put formula
How does put-call parity price the March Google put struck at 635?
9. What the formula never asks
Which quantity never enters the Black-Scholes price?
10. The course in one sentence
Which statement best unifies the pricing methods of this course?
11. Checking the identity at expiry
A call struck at 635 expires with the stock at 700. Compute the call's payoff (700 - 635)+ and write the number.
12. The parity gap
For the Google pair with e to the minus r T equal to 0.9973, strike 635 and stock at 620, compute V P minus V C using put-call parity and write the number of dollars.
13. The put from the call
Using the market call price 33.10 and the parity gap 13.26 for the March Google put struck at 635, compute the put's value and write the number of dollars.