???????? - PowerPoint PPT Presentation

1 / 31
About This Presentation
Title:

????????

Description:

Title: 1 Author: B1272 Last modified by: bisc Created Date: 6/20/2006 8:11:52 AM Document presentation format: Company: BISC – PowerPoint PPT presentation

Number of Views:23
Avg rating:3.0/5.0
Slides: 32
Provided by: B1295
Category:
Tags: black | scholes

less

Transcript and Presenter's Notes

Title: ????????


1
????? - ??
????????
?????? 2011?4?
2
???????? ??????
????????? ???????? ?????? ??????
3
1. ???????????
???????? ??????
?????????
  • ???????,???????????,????,?????????,??????????????,
    ????????????,?????????????????????????????,??????
    ??????
  • ??????????????????,???????????????,????

???????,??????????(????????)
4
2. ??????????
???????? ??????
?????????
  • ????????????????????,????????????????????????????
    ,?????????,?????????????
  • ??????????,??????,?????????????????,???????????,?
    ??????????

5
3. ??????????????????????
???????? ??????
?????????
  • ?????????????????????????????,???????????????????
    ?
  • ????????????????????????,?????(??????)???????,???
    ????????,??????????,???????????????,?????????

6
???????? ??????
????????? ???????? ?????? ??????
7
??????
???????? ??????
????????
???? ???????????
???? ????????????
????


EX.??GW/???28.7/????0.5 10/8??50.2,????11.3
????
  • ????(Intrinsic Value)
  • ??????????
  • Max(S-X,0) ????
  • Max (50.2-28.7,0) 0.5
  • 10.75
  • ????(Time Value)
  • ?????????
  • 11.3 10.75
  • 0.55

????????
11.3
????
????
0
50.2
28.7 (????)
????
8
???????? ??????
????????
??????
????
????
????
??/??
????
?????
?????
????
?????
?????
????
????
??????
????
?????
????
??????
????
????
????
?????
?????
????
????
????-??????????????
9
???????? ??????
????????
?????????
????
?????
????
?????
  • ?????????,????????????
  • ????????? (???? - ????) /????
  • EX.??LN (??) (50.2-49.5)/49.51.52

10
???????? ??????
????????
?????????
?????
?????
????
????
  • ????????????
  • ???????????????
  • EX.??LN (??) 151?
  • ????
  • ?????????1?2?????
  • ??????????????????
  • ?????,?????????????????????--?????

????
????
??
11
???????? ??????
????????
?????????
?????
?????
????
?????
  • ???????????
  • ??????????????????????????????
  • EX.??LN (??)???? 0.5
  • ????
  • ??????????,????????????,????????,????????????????

12
???????? ??????
????????
??????????
????
?????
????
?????
  • ???????????????
  • ???????????,??????????????,?????????????? ?
  • ??????????????,??????????
  • (Implied Volatility),????????????
  • EX.??LN (??) IV 59
  • ????
  • ?????????,???????????????
  • ????????????????????????
  • ?????????,?????????????????

13
???????????
???????? ??????
????????
????
??
??
????
??????,????(call)?????,????(put)??????
?
?
????(S)
????(X)
??????,????(call)?????,????(put)??????
?
?
???????(s)
?????????,?????????????,?????????
?
?
????(T)
??????,?????????,?????????
?
?
??(r)
????,?????????,???????????,?????????
?
?
14
???????? ??????
????????? ???????? ?????? ??????
15
???????? ??????
??????
??A??15??
A
??A ????--????????,???3?????????30?? ????--???????
??,????????15??
16
???????? ??????
??????
??B??1015??
??B ????--??????,???K??????? ????--????????,??????
1015??
B
A
17
???????? ??????
??????
??C??15??
??C ????--??????5??????,????? ????--????,????5??
???
C
B
A
18
???????? ??????
??????
??D??5????
C
B
A
19
???????? ??????
??????
??E??5??
E
C
B
D
A
??E ????--??????? ????--????5???????????
20
???????? ??????
??????
??????????????
???????
21
???????? ??????
????????? ? ??????? ?????? ??????
22
1. ?????
???????? ??????
??????
  • ????????????,????????????????,??????????????(?????
    ??????),????????,?????????????????????????????,??
    ????,????????????,????????
  • ???????????????????,???????????????????????????,??
    ?????????????????????????,????????????????????

21
23
2. Delta?
???????? ??????
??????
  • Delta???????????????????????(?)???Delta??0?1(-1)??
    ??????Delta??????(???????????,?Delta???1)???????
    ?Delta??????(???????????,?Delta???0)?
  • Delta??????,??????????????,??Delta??????,?????????
    ????????,???????????????

22
24
???????? ??????
??????
2. Delta? (?)
?delta0.6?,????1??,????1???????????0.6?
??????
C1
????????1??,?????????
????
??Delta
C0
???
????
???
C2
S2
S0
S1
????
25
3. Delta?
???????? ??????
??????
  • Theta??????????????????,????,?Theta??-0.0015,?????
    ?????,????????0.0015??
  • ?????????,Theta????????,?????????????????????????
    ,?????????????,??????????????????,?????????????,??
    ????????,????,???????????Theta????

24
26
4. ????
???????? ??????
??????
  • ????(????????)????,???1??????,??????????1?????
  • ??????????50?,?????2?,?????0.2,???????(50/2)0.2
    5,??????????????,??????5???,?????5??

25
27
5. ????
???????? ??????
??????
  • ????Delta ??????????????????????????,??????????
    ?,??????????????????
  • ???????5,Delta?0.5,???????2.5(5
    0.5),???????????????5???,???????1?,5????????2.5?
  • ?????????,????????????,????????????????????????,??
    ??????,??????????

26
28
6. ?????
???????? ??????
??????
  • ?????????????????????????????,???????????????,????
    ????????????????????????????????,?????????????????
    ?????????

27
29
7. ????
???????? ??????
??????
  • ???????,?????????,????????????????????????????????
    ,??????????????
  • ???????????????????????????,?????????????,????????
    ??????????,????,????????????,????????????????????

28
30
8.?????
???????? ??????
??????
  • ?????????????????????????,???????????????????????
    ?????,????????????????,?????????????????????????,?
    ????????????????(?)??????????????(??)?????????????
    ??????????????????,???????????????????????

29
31
????
  • ?????????????????????,???????????????,????????????
    ??,???????????????????
  • ???????????????,???????????,???????????????

Thank you
Write a Comment
User Comments (0)
About PowerShow.com