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PUTPUT
2
1978 Sharpe
, ,
.
. ,
.
:
3
- -
: .
a. .100
b. .5%
c. 110 .90
PUT 100?
:
4
PUT :
PUT
P(100)
0
10
100
110
90
5
() ()
PUT :
PUT
P(X)Pd
S
uS
dS
(
)
Pu
6
- ( ) h
,
, .
, ( ( :
0.5 x 110 + 0 = 0.5 x 90 +10 = 55
7
1090 *0110 * +=+ xhxh
5.02010
90110010 * ==
=h
8
.PUT
:
0.5 x 110 + 0 = 0.5 x 90 +10 = 55
file:///mnt/temp/unoconv/20141211072727/9
, : ( ' (
( h*S +P ) x (1 + r ) = 55
10
PUTPUT
= ( + 55 ) 1( )
) P + 50 = (55/1.05 = 52.38
P =2.38
11
PUTPUT
PUT 100? PCP
12
PUT -CALL PUT CALL PARITY
:
38.210005.1
10014.7)1(
=+=+
+= SrXCP
13
PUTPUT
" PUT
.
PUT
14
PUTPUT
PUT:
( )( )
( )( )
38.205.1101
410
43
1
=
+
=
+
=
RPd
duRuPu
dudRP
15
.( (
.
, - Pu . Pd
16
,
,
.
file:///mnt/temp/unoconv/20141211072727/17
, BS
, ,
(
,(
.
18
PUT CALL
:
-
- -
-
19
.
CALL .PUT .
:
dS=90 , uS=110 , r=5% , S=100 100
dS=80 , uS=120 , r=5% , S=100
20
38.205.1/10410
43
14.705.1/109.01.19.005.1
=
+=
=
=
P
C
100110
90
C(100)10
0P(100)
0
10
21
( )
( ) 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
22
) CALL (7.14 11.9
)PUT (2.38 7.14
23
S=100 , r=5%,u=1.1 ,d=0.9
, CALL - PUT , 100
. ? ,
24
( )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
26
PUTPUT
23.505.1
19411
43
23.005.1
0431
41
=+
=
=+
=
E
E
Pd
Pu
27
PUTPUT
( ) 4.105.1
238.04323.5
41
100 =+
=EP
28
.
?
29
10=Pd :
55.205.1
1041238.0
43
)100( =+
=AP
,CALL
". "
file:///mnt/temp/unoconv/20141211072727/