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אופציה PUT

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  • 1

    PUTPUT

  • 2

    1978 Sharpe

    , ,

    .

    . ,

    .

    :

  • 3

    - -

    : .

    a. .100

    b. .5%

    c. 110 .90

    PUT 100?

    :

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    PUT :

    PUT

    P(100)

    0

    10

    100

    110

    90

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    () ()

    PUT :

    PUT

    P(X)Pd

    S

    uS

    dS

    (

    )

    Pu

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    - ( ) h

    ,

    , .

    , ( ( :

    0.5 x 110 + 0 = 0.5 x 90 +10 = 55

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    1090 *0110 * +=+ xhxh

    5.02010

    90110010 * ==

    =h

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    .PUT

    :

    0.5 x 110 + 0 = 0.5 x 90 +10 = 55

    file:///mnt/temp/unoconv/20141211072727/
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    , : ( ' (

    ( h*S +P ) x (1 + r ) = 55

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    PUTPUT

    = ( + 55 ) 1( )

    ) P + 50 = (55/1.05 = 52.38

    P =2.38

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    PUTPUT

    PUT 100? PCP

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    PUT -CALL PUT CALL PARITY

    :

    38.210005.1

    10014.7)1(

    =+=+

    += SrXCP

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    PUTPUT

    " PUT

    .

    PUT

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    PUTPUT

    PUT:

    ( )( )

    ( )( )

    38.205.1101

    410

    43

    1

    =

    +

    =

    +

    =

    RPd

    duRuPu

    dudRP

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    .( (

    .

    , - Pu . Pd

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    ,

    ,

    .

    file:///mnt/temp/unoconv/20141211072727/
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    , BS

    , ,

    (

    ,(

    .

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    PUT CALL

    :

    -

    - -

    -

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    .

    CALL .PUT .

    :

    dS=90 , uS=110 , r=5% , S=100 100

    dS=80 , uS=120 , r=5% , S=100

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    38.205.1/10410

    43

    14.705.1/109.01.19.005.1

    =

    +=

    =

    =

    P

    C

    100110

    90

    C(100)10

    0P(100)

    0

    10

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    ( )

    ( ) 14.705.1/208.02.105.12.1100

    9.1105.1/208.02.18.005.1100

    =

    =

    =

    =

    P

    C

    100120

    80

    C(100)20

    0P(100)

    0

    20

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    ) CALL (7.14 11.9

    )PUT (2.38 7.14

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    S=100 , r=5%,u=1.1 ,d=0.9

    , CALL - PUT , 100

    . ? ,

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    ( )100ECCu

    100110

    9099

    121

    81

    Cd

    21

    0

    0

    ( )100EPEPu

    EPd

    0

    1

    19

    file:///mnt/temp/unoconv/20141211072727/
  • 25

    CALLCALL

    1505.1

    21430

    ==

    =

    Cu

    Cd

    ,

    71.1005.1

    1543

    )100( ==EC

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    PUTPUT

    23.505.1

    19411

    43

    23.005.1

    0431

    41

    =+

    =

    =+

    =

    E

    E

    Pd

    Pu

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    PUTPUT

    ( ) 4.105.1

    238.04323.5

    41

    100 =+

    =EP

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    .

    ?

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    10=Pd :

    55.205.1

    1041238.0

    43

    )100( =+

    =AP

    ,CALL

    ". "

    file:///mnt/temp/unoconv/20141211072727/