四財四2 群益5 i
TRANSCRIPT
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5I() 2971405010971405081971405085971405106
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()
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0
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2330
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=(-)* =(85.4-94)*0.4=-3.44 (0)
=+ =1.73+0=1.73=94
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=/ =85.4/1.73=49.3641
=*Delta =49.3641*0.1307=6.4518
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1360365
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5
1. 2. 3. 4. 5.
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BS
d1=ln(S0/K)+(r+2/2)T/(T) d2=ln(S0/K)+(r-2/2)T/(T) =d1T C=S0N(d1)-Ke-rtN(d2) P=Ke-rtN(-d2) S0*N(-d1) C SK r()T() ()
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d1=ln(S0/K)+(r+2/2)T/(T)=ln(85.3/94)+(0.143+0.088^2/2)*0.578 /(0.088*(0.578^0.5)=-0.1826 d2=d1T=-0.2495
S085.3k94r0.143t0.578 0.088
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C=S0N(d1)-Ke-rtN(d2)=85.3*N(-0.1826)-94*E(-0.143*0.578)*N(-0.2495)=1.7252P=Ke-rtN(-d2) S0*N(-d1) =94*E(-0.143*0.578)*N(0.2495)-85.3*N(0.1826 )=2.9671
S085.3k94r0.143t0.578 0.088
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2012/4/10822012/4/1182.40.005 2012/4/1282.60.002 2012/4/1384.90.027 2012/4/1684.90.000 2012/4/1783.8-0.013 2012/4/18850.014 2012/4/1985.80.009 2012/4/2084.3-0.018 2012/4/2384.30.000 2012/4/2484.60.004 2012/4/2584.2-0.005 2012/4/2684-0.002 2012/4/27860.024 2012/4/3086.80.009 2012/5/288.40.018 2012/5/388.90.006 2012/5/487.6-0.015 2012/5/785.6-0.023 2012/5/884.4-0.014 0.014
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(-)/=(85.3-94)/94=-0.09255