Microsoft PowerPoint - PoF.ppt
Put-call parity 181 Payoff diagram Derivative securities: Options - Introduction ...
Bull spread 182 with calls: long 1 call, E=E1 and short 1 call, E=E2, where E2>E1 Profit/loss diagram Derivative securitie ...
Bull spread 183 with puts: long 1 put, E=E1 and short 1 put, E=E2, where E2>E1 Profit/loss diagram Derivative securities: ...
Bear spread 184 with calls: short 1 call, E=E1 and long 1 call, E=E2, where E2>E1 Profit/loss diagram Derivative securitie ...
Bear spread 185 with puts: short 1 put, E=E1 and long 1 put, E=E2, where E2>E1 Profit/loss diagram Derivative securities: ...
Butterfly spread 186 with calls: long 1 call, E=E1; short 2 calls, E=E2 and long 1 call, E=E3, where E3>E2=0.5(E1+E3)>E1 ...
Butterfly spread 187 with puts: long 1 put, E=E1; short 2 puts, E=E2 and long 1 put, E=E3, where E3>E2=0.5(E1+E3)>E1 Pr ...
Straddle 188 long: long 1 call, E and long 1 put, E Profit/loss diagram Derivative securities: Options - Some profit/loss dia ...
Straddle 189 short: short 1 call, E and short 1 put, E Profit/loss diagram Derivative securities: Options - Some profit/loss ...
Strangle 190 long: long 1 put, E1 and long 1 call, E2, where E2>E1 Profit/loss diagram Derivative securities: Options - So ...
Strangle 191 short: short 1 put, E1 and short 1 call, E2, where E2>E1 Profit/loss diagram Derivative securities: Options - ...
Outline 192 No-arbitrage conditions beside the PCP Factors affecting option prices Discrete time: Binomial asset pricing mo ...
European call 193 max(0, S -Eet -rT ) ≤ c ≤ S t ...NAC Suppose 0 < c < S -Eet -rT Ä arbitrage strategy Derivative secur ...
European call 194 Suppose c > S t > 0 Ä arbitrage strategy Derivative securities: Options - No-arbitrage conditions ...
European put 195 max(0, Ee -rT -S ) t ≤ p ≤ Ee -rT ...NAC Suppose 0 < p < Ee -rT -S t Ä arbitrage strategy Derivative s ...
European put 196 Suppose p > Ee -rT > 0 Ä arbitrage strategy Derivative securities: Options - No-arbitrage conditions ...
Derivative securities: Options - Factors affecting option pricesFactors affecting option prices 197 ...
One-period binomial model 198 Time 0: S 0 ... price per share, a positive quantity known at time zero. Time 1: The price per ...
Derivative securities: Options - Binomial asset pricing modelOne-period binomial model 199 ...
One-period binomial model 200 To rule out arbitrage we must assume: 0 < d < 1+r < u. Positivity of stock prices Ä d ...
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