fRainalinriing衍生证券的定价与保值-.ppt

Chp 8TheoryofRationalOptionPricing KangchaofengKcfxm 8 1Why Optionisaparticularlysimpletypeofcontingent claimasset soatheoryofoptionpricingmayleadingtogeneraltheoryofcontingent claimspricing 8 2RestrictionsonRationalOptionPricing Dominant Security portfolio Aisdominantoversecurity portfolio Bif onsomeknowndateinthefuture thereturnonAwillexceedthereturnonBforsomepossiblestatesoftheworld Assumption1 Anecessaryconditionforrationaloptionpricingtheoryisthattheoptionbepricedsuchthatitisneitheradominantnoradominatedsecurity Theorem8 2IfthehypothesizedconditionsforTheorem8 1hold anAmericanwarrantwillneverbeexercisedpriortoexpiration andhenceithasthesamevalueasaEuropeanwarrant Theorem8 3IfthehypothesizedconditionsforTheorem8 1hold thevalueofaperpetualwarrantmustequalthevalueofthecommonstock F对执行价格的凹性 F是执行价格的减函数 分布相同 起始相同 期权价值相同 组合的期权价值小于期权组合的价值 期权价格是标的股票风险的非减函数 齐次性 对标的股票价格的凹性 8 3EffectsofDividendsandChangingExercisePricecontents 红利保护的条件 红利对非红利保护期权的影响 执行价格变动的影响 Definition 什么是红利保护期权 Anoptionissaidtobepayoutprotectedif forafixedinvestmentpolicyandfixedcapitalstructure thevalueoftheoptionisinvarianttothechoiceofpayoutpolicy 保证期权价值不变 对投资与资本结构政策实施红利保护不太可能 这两者会改变股票的风险 对B S例子的反驳 对红利保护的定义不同 不重要 执行价格可变的情况 提前执行只可能在红利支付前那一刻 所以有红利支付的美式权证可以经调整的欧式权证 运用动态规划的基本思想回溯求解 Corollary8 11bIfthereisafinitenumberofchangesintheexercisepriceofpayout protectedperpetualwarrant thenitwillnotbeexercisedanditspricewillequalthecommonstockprice 8 4RestrictionsonRationalPutOptionPricing 8 5RationaloptionPricingalongBlack ScholesLines 8 6AnAlternativeDerivationoftheBlack ScholesModel 8 7ExtensionoftheModeltoincludeDividendPaymentsandExercisePriceChanges 8 8Valuin