原帖由 angusleo 於 2013-3-1 02:45 發表
有點像巴菲特班的價值投資option班
Angusleo桑,
價值投資option班 ?
能否舉例教我們一下,
選擇權的便宜價怎麼算 ?
從你的進出表中看不出是根據價值投資在進行
Value of a callThis example leads to the following formal reasoning. Fix
an underlying financial instrument. Let
be a call option for this instrument, purchased at time
, expiring at time
, with exercise (strike) price
; and let
be the price of the underlying instrument.
Assume the owner of the option
, wants to make no loss, and does not want to actually possess the underlying instrument,
. Then either (i) the person will exercise the option and purchase
, and then immediately sell it; or (ii) the person will not exercise the option (which subsequently becomes worthless). In (i), the pay-off would be
; in (ii) the pay-off would be
. So if
(i) or (ii) occurs; if
then (ii) occurs.
Hence the pay-off,
i.e. the value of the call option at expiry, is
which is also written
or
.
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