58. Basic of derivative pricing and valuation
2016-11-24 00:12:33 0 举报AI智能生成
衍生产品定价和估值是金融学中的重要概念，它们涉及到对金融工具未来价格和价值的预测。这些工具包括期权、期货、互换等，它们的复杂性和不确定性使得定价和估值变得非常具有挑战性。基本的定价方法包括：Black-Scholes模型（用于期权定价）、Binomial模型（用于期权定价）和Monte Carlo模拟（用于估计各种衍生产品的价值）。估值则涉及到对衍生产品的内在价值进行估计，这通常需要考虑到市场条件、利率、波动率等因素。理解和掌握这些基本概念和方法对于投资者、风险管理者和金融工程师来说至关重要。
作者其他创作
大纲/内容
no-arbitrage
risky asset + derivative = risk-free asset
V(T) = (S0 - Net PV) - Fv/(1+Rf)^T
V(T)就是一方给另一方的收益
T也可以是(T-t)，即一段时间
Moneyness
in the money
call option - exercise price < F price
put option - F price < exercise price
out of the money
call option - exercise price>F
put option - F>E,不用卖了
at the money
两个price一样
Option premium = intrinsic value + time value
time value - 0 ,at or out of money
time value > 0, in the money
factors determine option prices
asset price
increase call, decrease put
exerise price
价格越高decrease call, 价格越高increase put
risk-free rate
R 越高，call option value越高
R越高，put option value越少
volatility
同时(increase)影响call & put
time on expiration
increase for both, except some eurobond
benefits of holding the asset
想像成cash benefits
call option - decrease
put option - increase
put-call parity
fiduciary call
买一个到期时X元的bond，X +(S-X) = S
call is out of money - V = X
call is in the money V = X+(S-X)=S
两个的成本都是 X/(1+R)^T+C
成本是 X/(1+R)^t & C
protective put
买一个股票（S）， S +(X-S) = X
成本是 S0 & P0
当S<=X, 收益都是X；当S>X,收益都是St
S0 +P = C + X/(1+R)^t
Put-call-forward parity
如果把S0替换成forward 现值，即F(T)/(1+Rf)^T
F(T)/(1+Rf)^T +P = C + X/(1+Rf)^T
P - C = (X - F(T))/(1+Rf)^T
看跌成本-看涨成本 = exercise price PV - forward PV
Risk-neutral probability of an up-move = (1+Rf -D)/(U-D)
Risk-neutral probability of an down-move = 1-up move
职业：tell
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