ofRationalOptionPricing衍生證券的定價與保值

Chp.8TheoryofRationalOptionPricingKangchaofengKcfxm@1638.1Why?Optionisaparticularlysimpletypeofcontingent-claimasset,soatheoryofoptionpricingmayleadingtogeneraltheoryofcontingent-claimspricing.8.2RestrictionsonRationalOptionPricingDominant:Security(portfolio)Aisdominantoversecurity(portfolio)Bif,onsomeknowndateinthefuture,thereturnonAwillexceedthereturnonBforsomepossiblestatesoftheworld.Assumption1:Anecessaryconditionforrationaloptionpricingtheoryisthattheoptionbepricedsuchthatitisneitheradominantnoradominatedsecurity.Theorem8.2IfthehypothesizedconditionsforTheorem8.1hold,anAmericanwarrantwillneverbeexercisedpriortoexpiration,andhenceithasthesamevalueasaEuropeanwarrant.Theorem8.3IfthehypothesizedconditionsforTheorem8.1hold,thevalueofaperpetualwarrantmustequalthevalueofthecommonstock.F對執(zhí)行價錢的凹性F是執(zhí)行價錢的減函數(shù)分布一樣，起始一樣，期權(quán)價值一樣組合的期權(quán)價值小于期權(quán)組合的價值期權(quán)價錢是標的股票風險的非減函數(shù)齊次性對標的股票價錢的凹性

8.3EffectsofDividendsandChangingExercisePricecontents:紅利維護的條件；紅利對非紅利維護期權(quán)的影響；執(zhí)行價錢變動的影響。Definition:〔什么是紅利維護期權(quán)?！矨noptionissaidtobepayoutprotectedif,forafixedinvestmentpolicyandfixedcapitalstructure,thevalueoftheoptionisinvarianttothechoiceofpayoutpolicy.〔保證期權(quán)價值不變?！硨ν顿Y與資本構(gòu)造政策實施紅利維護不太能夠。這兩者會改動股票的風險。對B-S例子的反駁：對紅利維護的定義不同〔不重要?！硤?zhí)行價錢可變的情況。提早執(zhí)行只能夠在紅利支付前那一刻。所以有紅利支付的美式權(quán)證可以經(jīng)調(diào)整的歐式權(quán)證，運用動態(tài)規(guī)劃的根本思想回溯求解。Corollary8.11bIfthereisafinitenumberofchangesintheexercisepriceofpayout-protectedperpetualwarrant,thenitwillnotbeexercisedanditspricewillequalthecommonstockprice.8.4RestrictionsonRationalPutOptionPricing8.5RationaloptionPricingalongBlack-ScholesLines8.6AnAlternativeDerivationoftheBlack-ScholesModel8.7ExtensionoftheModeltoincludeDividendPaymentsandExercisePriceChanges8.8Valuing