ofRationalOptionPricing衍生证券的定价与保值

Chp.8TheoryofRationalOptionPricingKangchaofengKcfxm@1638.1Why?Optionisaparticularlysimpletypeofcontingent-claimasset,soatheoryofoptionpricingmayleadingtogeneraltheoryofcontingent-claimspricing.8.2RestrictionsonRationalOptionPricingDominant:Security(portfolio)Aisdominantoversecurity(portfolio)Bif,onsomeknowndateinthefuture,thereturnonAwillexceedthereturnonBforsomepossiblestatesoftheworld.Assumption1:Anecessaryconditionforrationaloptionpricingtheoryisthattheoptionbepricedsuchthatitisneitheradominantnoradominatedsecurity.Theorem8.2IfthehypothesizedconditionsforTheorem8.1hold,anAmericanwarrantwillneverbeexercisedpriortoexpiration,andhenceithasthesamevalueasaEuropeanwarrant.Theorem8.3IfthehypothesizedconditionsforTheorem8.1hold,thevalueofaperpetualwarrantmustequalthevalueofthecommonstock.F对执行价钱的凹性F是执行价钱的减函数分布一样，起始一样，期权价值一样组合的期权价值小于期权组合的价值期权价钱是标的股票风险的非减函数齐次性对标的股票价钱的凹性

8.3EffectsofDividendsandChangingExercisePricecontents:红利维护的条件；红利对非红利维护期权的影响；执行价钱变动的影响。Definition:〔什么是红利维护期权。〕Anoptionissaidtobepayoutprotectedif,forafixedinvestmentpolicyandfixedcapitalstructure,thevalueoftheoptionisinvarianttothechoiceofpayoutpolicy.〔保证期权价值不变。〕对投资与资本构造政策实施红利维护不太能够。这两者会改动股票的风险。对B-S例子的反驳：对红利维护的定义不同〔不重要。〕执行价钱可变的情况。提早执行只能够在红利支付前那一刻。所以有红利支付的美式权证可以经调整的欧式权证，运用动态规划的根本思想回溯求解。Corollary8.11bIfthereisafinitenumberofchangesintheexercisepriceofpayout-protectedperpetualwarrant,thenitwillnotbeexercisedanditspricewillequalthecommonstockprice.8.4RestrictionsonRationalPutOptionPricing8.5RationaloptionPricingalongBlack-ScholesLines8.6AnAlternativeDerivationoftheBlack-ScholesModel8.7ExtensionoftheModeltoincludeDividendPaymentsandExercisePriceChanges8.8Valuing