文档介绍：Chapter 15: Options & Contingent Claims
Objective
To show how the law of one price may
be used to derive prices of options
To show how to infer implied
volatility from option
prices
Chapter 15 Contents
How Options Work
Investing with Options
The Put-Call Parity Relationship
Volatility & Option Prices
Two-State Option Pricing
Dynamic Replication & the Binomial Model
The Black-Scholes Model
Implied Volatility
Objectives
To show how the Law of One Price can be used to derive prices of options
To show how to infer implied volatility from option prices
Terms
Underlying Asset, Call, Put, Strike (Exercise) Price, Expiration (Maturity) Date, American / European Option
Out-of-the-money, in-the-money, at-the-money
Tangible (Intrinsic) value, Time Value
Terminal or Boundary Conditions for Call and Put Options
-20
0
20
40
60
80
100
120
0
20
40
60
80
100
120
140
160
180
200
Underlying Price
Dollars
Call
Put
The Put-Call Parity Relation
Two ways of creating a stock investment that is insured against downside price risk
Buying a share of stock and a put option (a protective-put strategy)
Buying a pure discount bond with a face value equal to the option’s exercise price and simultaneously buying a call option
Terminal Conditions of a Call and a Put Option with Strike = 100
Share
Call
Put
Share_Put
Bond
Call_Bond
0
0
100
100
100
100
10
0
90
100
100
100
20
0
80
100
100
100
30
0
70
100
100
100
40
0
60
100
100
100
50
0
50
100
100
100
60
0
40
100
100
100
70
0
30
100
100
100
80
0
20
100
100
100
90
0
10
100
100
100
100
0
0
100
100
100
110
10
0
110
100
110
120
20
0
120
100
120
130
30
0
130
100
130
140
40
0
140
100
140
150
50
0
150
100
150
160
60
0
160
100
160
170
70
0
170
100
170
180
80
0
180
100
180
190
90
0
190
100
190
200
100
0
200
100
200