RestrictionsonOptionsPrices(衍生金融工具-人民.pptx

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1、Lecture#6:BasicNoArbitrageRestrictionsonOptionsPricesSomeOptionContractsinHongKongHISOptionsOptionsCoveredWarrantsContractsizePricequoteStrikepriceTicksize50indexunits1indexunit50indexpoints(index<2000)100indexpts(2000index8000)200indexpts(index>8000)400shares

2、1share$2($20shareprice<$50)$5($50shareprice<$200)$10(200shareprice<300)Nopresetformula1/10sharesNopresetformulaHISOptionsOptionsCoveredWarrantsMaturitycycleMaturitydayStyle&SettlementExchangeTradingMethodTradingHoursCurrent&nextmonthplustwomoreinthematuritycy

3、cleSecondlastbusinessdayEuropeancashsettlementHKFuturesExchangeOpenoutcry10:00am-12:30pm2:30pm-4:00pmCurrent&nextmonthplustwomoreinthematuritycycleSecondlastbusinessdayAmericanPhysicaldeliveryHKFuturesExchangeMarketmakers10:00am-12:30pm2:30pm-4:00pmEuroorAmerica

4、nHKFuturesExchangeMarketmakers10:00am-12:30pm2:30pm-4:00pm·IntroductionExactpricingformulasforoptionsaremoredifficulttoderivethanformulasforforwardsandfutures.Toarriveatapricingformulaforstockoptions,whichwewilldoinafewlectures,weneedtomakeassumptionsonthedynami

5、cbehaviorofthepricesoftheunderlyingstock.Inwhatfollowswillderivesomegeneralrestrictionsonstockoptionpricewithoutassumingadynamicmodelforstockpricemovement.Themainpurposeofdoingthatistoimproveourunderstandingofoptioncontracts.Outline:A.NotationB.BasicintuitionC.B

6、asicarbitragerelationsD.ArbitragebondsonpricesandPut-CallparityE.EffectsondividendsonarbitragerestrictionsF.Conclusions·NotationCurrentdateMaturityorexpirationdatePriceoftheunderlyingassetCurrentpriceofa$1face-valuebondthatmaturesatTExercise(strike)priceValueofa

7、EuropeancallValueofanAmericancallValueofaEuropeanputValueofaAmericanputTTS(t)B(t,T)=e-r(T-t)K(orX)c(S,K,t,T)C(S,K,t,T)p(S,K,t,T)P(S,K,t,T)·BasicIntuitionEffectonthepriceofastockoptionofincreasingonevariablewhilekeepingallothersfixed:VariableEuropeanCallEuropeanP

8、utAmericanCallAmericanPutStockpriceStrikepriceTimetoexpirationVolatilityRisk-freerateDividends·Basicarbitragerelations:Note:Thefollowingrestrictionsholdregardlessofwh