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金融 程 第十章 期权的回报与价格分析 厦门大学财务系 郑振龙 陈蓉 http: // efinance. org. cn http: // aronge. net Copyright © 2018 Zheng, Zhenlong & Chen, Rong, XMU
看涨期权多头的回报与盈亏分布 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 4
看涨期权空头的回报与盈亏分布 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 5
看跌期权多头的回报与盈亏分布 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 6
看跌期权空头的回报与盈亏分布 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 7
欧式期权到期回报和盈亏公式 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 8
寻找期权的平值点 厦门大学财务系 郑振龙 陈蓉 http: // efinance. org. cn http: // aronge. net Copyright © 2018 Zheng, Zhenlong & Chen, Rong, XMU
平值点的常见定义 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 12
本文方法的优点 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 15
欧式看涨期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 17
欧式看跌期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 18
上证50 ETF期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 19
无收益资产美式看涨期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 20
无收益资产美式看跌期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 21
有收益资产美式看涨期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 22
有收益资产美式看跌期权的内在价值 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 23
平值点 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 25
在值程度（moneyness） Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 26
期权时间价值与内在价值的关系 时间价值 0 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 在值程度 27
期权价格上下限 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 39
Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 42
因此如果 提前执行是不明智的。 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 46
无红利资产 欧式看涨期权价格曲线 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU - 51 -
无红利资产 欧式看跌期权价格曲线 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU - 52 -
欧式期权PCP平价 （假设标的资产不付红利） Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU - 54 -
有红利资产欧式期权PCP 平价关系的理解 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 55
用F表示PCP Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 56
由于 所以 Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 58
Any Questions？ Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 60
Email: zlzheng@xmu. edu. cn aronge@xmu. edu. cn Copyright © 2018 Zheng, Zhenlong & Chen, Rong，XMU 61
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