【期权、期货及其他衍生产品第9版-赫尔】ch11.pptx

Chapter 11 Properties of Stock Options,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,1,Notation,,,,,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,2,Effect of Variables on Option Pricing (Table 11.1, page 235),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,3,American vs European Options,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,4,An American option is worth at least as much as the corresponding European optionC  cP  p,Calls: An Arbitrage Opportunity?,Suppose that Is there an arbitrage opportunity?,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,5,Lower Bound for European Call Option Prices; No Dividends (Equation 11.4, page 240),c  max(S0 –Ke –rT, 0),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,6,Puts: An Arbitrage Opportunity?,Suppose thatIs there an arbitrage opportunity?,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,7,Lower Bound for European Put Prices; No Dividends (Equation 11.5, page 241),p  max(Ke -rT–S0, 0),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,8,Put-Call Parity: No Dividends,Consider the following 2 portfolios: Portfolio A: European call on a stock + zero-coupon bond that pays K at time T Portfolio C: European put on the stock + the stock,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,9,Values of Portfolios,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,10,The Put-Call Parity Result (Equation 11.6, page 242),Both are worth max(ST , K ) at the maturity of the options They must therefore be worth the same today. This means that c + Ke -rT = p + S0,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,11,Suppose thatWhat are the arbitrage possibilities when p = 2.25 ? p = 1 ?,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,12,Arbitrage Opportunities,Early Exercise,Usually there is some chance that an American option will be exercised early An exception is an American call on a non-dividend paying stock This should never be exercised early,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,13,An Extreme Situation,For an American call option: S0 = 100; T = 0.25; K = 60; D = 0 Should you exercise immediately? What should you do if You want to hold the stock for the next 3 months? You do not feel that the stock is worth holding for the next 3 months?,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,14,Reasons For Not Exercising a Call Early (No Dividends),No income is sacrificedYou delay paying the strike priceHolding the call provides insurance against stock price falling below strike price,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,15,Bounds for European or American Call Options (No Dividends),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,16,Should Puts Be Exercised Early ?,Are there any advantages to exercising an American put when S0 = 60; T = 0.25; r=10%K = 100; D = 0,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,17,Bounds for European and American Put Options (No Dividends),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,18,The Impact of Dividends on Lower Bounds to Option Prices (Equations 11.8 and 11.9, page 249),Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,19,Extensions of Put-Call Parity,American options; D = 0 S0 − K 0 c + D + Ke −rT = p + S0 Equation 11.10 p. 250American options; D > 0 S0 − D − K < C − P < S0 − Ke −rTEquation 11.11 p. 250,Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014,20,。