ofRationalOptionPricing衍生证券的定价与保值

ofRationalOptionPricing(衍生证券的定价与保值-2024/3/28ofRationalOptionPricing(衍生证券的定价与保值8.1Why?Optionisaparticularlysimpletypeofcontingent-claimasset,soatheoryofoptionpricingmayleadingtogeneraltheoryofcontingent-claimspricing.ofRationalOptionPricing(衍生证券的定价与保值8.2RestrictionsonRationalOptionPricingofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值Dominant:Security(portfolio)Aisdominantoversecurity(portfolio)Bif,onsomeknowndateinthefuture,thereturnonAwillexceedthereturnonBforsomepossiblestatesoftheworld.Assumption1:Anecessaryconditionforrationaloptionpricingtheoryisthattheoptionbepricedsuchthatitisneitheradominantnoradominatedsecurity.ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值Theorem8.2IfthehypothesizedconditionsforTheorem8.1hold,anAmericanwarrantwillneverbeexercisedpriortoexpiration,andhenceithasthesamevalueasaEuropeanwarrant.ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值Theorem8.3IfthehypothesizedconditionsforTheorem8.1hold,thevalueofaperpetualwarrantmustequalthevalueofthecommonstock.ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值F对执行价格的凹性ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值F是执行价格的减函数ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值分布相同，起始相同，期权价值相同ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值组合的期权价值小于期权组合的价值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值期权价格是标的股票风险的非减函数ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值齐次性ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值对标的股票价格的凹性ofRationalOptionPricing(衍生证券的定价与保值

ofRationalOptionPricing(衍生证券的定价与保值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。ofRationalOptionPricing(衍生证券的定价与保值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。ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值对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。ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值Corollary8.11bIfthereisafinitenumberofchangesintheexercisepriceofpayout-protectedperpetualwarrant,thenitwillnotbeexercisedanditspricewillequalthecommonstockprice.ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.4RestrictionsonRationalPutOptionPricingofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.5RationaloptionPricingalongBlack-ScholesLinesofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.6AnAlternativeDerivationoftheBlack-ScholesModelofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.7ExtensionoftheModeltoincludeDividendPaymentsandExercisePriceChangesofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.8ValuinganAmericanPutOptionofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值8.9Valuingthe“Down-and-out”CallOptionofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOptionPricing(衍生证券的定价与保值ofRationalOpt