Mba מפגש 3 מודל נאיבי

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רפי אלדור במצגת בנושא "מודל נאיבי" מתוך הקורס שהוא מעביר לסטודנטים לתואר שני במנהל עסקים.

Text of Mba מפגש 3 מודל נאיבי

  • 1. 3 - MBA 2014
  • 2. 6 .
  • 3. : .S 1. C)X( 2. .X :) ) 0% C(X) X S ) (: S r X C X T 1 ( )
  • 4. CALL - : T r X C X S (1 ) ( ) :
  • 5. PUT - 0 ( ) (1 ) S r X P X Max T
  • 6. . .
  • 7. 7 .
  • 8. BLACK - SCHOLES 1973 FISHER BLACK - MYRON SCHOLE CALL . . ) 1973 .) 1997 ) - 1995 .) . .
  • 9. S X 100 X X 100 r , . , . t , . B&S 5 :
  • 10. CALL C(X) S *N(d1) Xe *N(d2) rt t Ln S X r t d ( / ) ( 0.5 ) 1 2 :CALL B&S * * = : d2 d1 t . d2- d1 N(d2)- N(d1) . N(d2)- N(d1) B&S
  • 11. PUT :PUT P(X) Xe *N( d2) S *N( d1) rt B&S
  • 12. CALL B&S 500 . 20% . 8% . B&S C(490) 90 .
  • 13. B&S , B&S . CALL . PUT , ) (, . , B&S . B&S , 0 .
  • 14. : CALL PUT S X r t ?
  • 15. B&S . , . , . CALL PUT .
  • 16. . : ) ( S X r t
  • 17. . :CALL . . 0 1 ) 0 100 "( N(d1) : 1 0 :PUT . ) ( . 0 -1 ) 0 -100 "( N(d1) -1 : 0 -1 . .
  • 18. . . )( . . PUT CALL .
  • 19. . , . . PUT CALL . , . 0 0
  • 20. . . 1%- . PUT CALL .
  • 21. . 1% . CALL PUT . CALL : PUT : S/C = S/P = 1 |1| . , - % - 1% .
  • 22. " ( ) * 1 * ( 2) * C X Se N d Xe N d r t rt r* CALL ) (: : d d t t S X r r t d 2 1 ln( / ) ( * 0.5 ) 1 2 : PUT ( ) * ( 2) * ( 1) * P X Xe N d Se N d rt r t
  • 23. B&S . B&S . B&S . , CALL , . , , , : . . /
  • 24. ( 500 ) C 80 2 15 - ( 520 ) C 60 3 10 - ( 520 ) P 40 - 3 3 : : ( 500 ) CX10 800 20 150 - ( 520 ) CX4 - 240 - 12 - 40 ( 520 ) PX10 400 - 30 30 " 160 38 80 - 10 ( 500 ) C , 4 ( 520 ) C 10 ( 520 ) P :
  • 25. )+ -( . , , :
  • 26. - CALL - PUT " > " " > " " = " " = " " < " " < " . . )( CALL PUT . , " .
  • 27. / 1. 20 60 - 3% . 2. 1 ,-2 . 3. 500- ,C(500)=1000 30 - , .510 - 1300 . 4. . 5. . 6. 0. . 7. 0. , 8. . , 9. . , 01. - P(500) 40 ,-C(490) 70. 11. . 21. 0.' 31. 0. 41. . 51. .
  • 28. 8 .
  • 29. PUT CALL ) ( : PUT CALL / 0 0 . .
  • 30. ) (. , . B&S 500 10% ) B&S ) 1 . C(500) 2 . C(500) P(500) 3 . C(520) - P(520) 4 . 10C(500) 5 . C(500) C(510) 6 . C(500) C(510) 7 . C(480) 2C(500)
  • 31. - 7 : C(480) , C(500) 500 2000 - - 2000 .
  • 32. / +a -a 2 S(1-2M) 43 * S(1-M) 42 42 S(1-0.9M) 37 38 S(1-0.8M) 33 34 S(1-0.7M) 29 30 S(1-0.6M) 25 26 S(1-0.5M) 21 22 S(1-0.4M) 17 18 S(1-0.3M) 13 14 S(1-0.2M) 9 10 S(1-0.1M) 5 6 S 1 2 S(1+0.1M) 3 4 S(1+0.2M) 7 8 S(1+0.3M) 11 12 S(1+0.2M) 15 16 S(1+0.5M) 19 20 S(1+0.6M) 23 24 S(1+0.7M) 27 28 S(1+0.8M) 31 32 S(1+0.9M) 35 36 S(1+M) 39 40 S(1+2M) 44 * " " 44 . . : S - . - . M - . a - . : . 10% , 20% .... 100% . 10% , 20% .... 100% " 21 . 42 = 2X21 . .
  • 33. : . . . ) (. 35% . . ) (. . , ) (.
  • 34. ) , (. . ) (. " . : . , .
  • 35. 9 .
  • 36.