"

:
2 : , .
.
!

1
.1 CALL " , B&S :
S=300
X=310
R=10%
= 30%
T =6
.2 .

2
:

)(

PUT

630

550

540

PUT

640

960

950

, , .
-

, .

 . $100 CALL .100$ . 5%

% c 20 10% - .
.1 ?
.2 $ 8 ' ?

4
:
-

? -

r=5%

CALL(100)=6.4

PUT(100)=4

) T= 6(

.1 '.
.2

. CALL(100) = 5 '? .

5
.1 , $ 50 $ 53 6 .
: 8.6%
.23%
?
.2 .
6
:
C(T,190) = 300
C(T,170) = 2200
C(T,150) = 4000

' ) (?
.

 1
.1

C=N(d1) S0 N(d2) Xe-rt

d1=[ln(S0/X)+(r +2/2) T] / T
d1=[ln(300/310)+(0.1 +0.3 2/2) 0.5] / 0.3 0.5=0.1872
d2=d1-T
d2= 0.1872-0.3 0.5= - 0.0249
N(d1)=0.57417
N(d2)= 0.49

C=0.57417*300 +0.49*310 e-0.1*0.5=316.74

.2

d1=[ln(300/310)+(0.11 +0.3 2/2) 0.5] / 0.3 0.5=0.21

d2= 0.21-0.3 0.5= - 0.0231

C=0.583*300 +0.49078*310 e-0.1*0.5=319.62

:
2.88=319.62-316.74
2
: BEAR CALL
PUT .640
PUT .630
-

,640 . 420

630 , 640 1 . 100

635.8=4.2 640 :635.8

3
Su=120 .1

Sd=90
Cu=120-100=20
Cd=0
=)2/3=(120-90)/(20-0)=(Su-Sd)/(Cu-Cd
C=hS0-(hSU-CU)/ert=(2/3)*100-((2/3)*120-20)/e0.05*1=9.5

. 8$

ST = 90

ST =120
CALL 3

-24=8*3

60

)200=100*(2

-240-=120*2

-180-=90*2

-176

"

185.02

185.02= 1.05*176

5.02

5.02

4
: PCP
C=P+S-X/(1+r)t =4+s -100/1.050.5=6.4;s=100
CALL , .

0
ST >=X

ST <X

CALL

-5

ST-100

100

ST -

ST-

PUT

(ST-100)-

"

- 99

101.4=1.050.5*99

101.4

"

1.4

1.4

5
.1 )N(d1
d1=[ln(S0/X)+(r +2/2) T] / T
d1=[ln(50/53)+(0.086 +0.232/2) 0.5] / 0.23 0.5=-0.01256
N(d1)=0.4949

.2 .
.
CALL 0.4949 -.
6
:
-

) C(190 ) C(150" 4300

) C(170" .4400

.100