金融工程-第十章期权的回报与价格分析

...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong20100415Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................=+0Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................max(,0)TSXmax(,0)rTtSXemax(,0)TSXmax(,0)rTtSDXemax(,0)TSXmax(,0)rTtSXemax(,0)SXmax(,0)rtSDXemax(,0)TXSmax(,0)rTtXeSmax(,0)TXSmax(,0)rTtXeSDmax(,0)XSmax(,0)XSmax(,0)XSmax(,0)rtXeSDCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEI9.19.2200783110:18CBOE14020079220.351.7638.5GE20070.289201025Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEIIGE919919max(SXer(Tt);0)=max(38:540e4%19365;0)=max(1:42;0)=0Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEIIImax(SDXer(Tt);0)=max(38:50:28e4%5536540e4%22365;0)=max(1:68;0)=0Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEIV831max(XS;0)=max(4038:5;0)=max(1:5;0)=1:5919max(Xer(Tt)S;0)=max(40e4%1936538:5;0)=max(1:42;0)=1:42Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEV920max[Xer(Tt)(SD);0]=max(40e4%20365(38:50:28e4%55365);0)=max(1:69;0)=1:69Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.1GEVI922max[Xer(Tt)(SD);0]=max(40e4%22365(38:50:28e4%55365);0)=max(1:68;0)=1:68GE1.69Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................rTtSDXerTtSDXerTtSDXerTtSDXerTtSDXerTtSDXerTtSXerTtSXerTtSXertSXeDrtSXeDrtSXeDSXSXSXrtSXeDrtSXeDrtSXeDD=00DCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................=Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.2IA9.05A1081110%max(SXer(Tt);0)=max(9:0510e10%1;0)=0max(SXer(Tt);0)=max(9:058e10%1;0)=1:8112Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.2II21223.811ST101(ST102e0:1)=(ST12:21)2(ST83:81e0:1)=(ST12:21)12Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.2III8ST1012e0:1=2:212(ST83:81e0:1),2.214.2112ST6812e0:1=2:2123:81e0:1=4:2112Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................10.2IVA12123X3=12131323Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................c6SC6SP6XP6Xer(Tt)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................IAXer(Tt)BTAmax(ST;X)BSTTAmax(ST;X)TBSTCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................IImax(ST;X)STtABc+Xer(Tt)ScSXer(Tt)cmax(SXer(Tt);0)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................AD+Xer(Tt)Dcmax(SDXer(Tt);0)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................ICDXer(Tt)TCmax(ST;X)DXCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................IICTDCtDp+SXer(Tt)pXer(Tt)Spmax(Xer(Tt)S;0)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................DXer(Tt)+Dpmax(Xer(Tt)+DS;0)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................cS()max(,0)rTtcSXecSD()max(,0)rttcSDXecS()max(,0)rTtCSXecSmax(,0)rtCSDXe()rTtpXe()max(,0)rTtpXeS()rTtpDXe()max(,0)rttpXeSDpXmax(,0)XSPPXmax(,0)rtPXeSDCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................IAXer(Tt)BTAmax(ST;X)BSTATBCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................IIASX+Xe^r(T)BST^r0Xe^r(T)XABCmax(SXer(Tt);0)Copyright©2010Zheng,Zhenlong&Chen,Rong...............................................IABXer(Tt)TAmax(ST;X)BXABAXBXe^r(T)ABCopyright©2010Zheng,Zhenlong&Chen,Rong...............................................IIXSSXrPm