: )2015(

"
:"

1
:
CALL(450)=1300
PUT(450)=900
S=450
.1

. :,2.47% :
,5% 3.
? ? - .

.1

:
CALL(440)=1200
CALL(460)=1500
PUT(425)=800
' ) , ,2.47% - .(5%
? - .

.1 .
CALL PUT .
-

((1300+900 2172=0.9753*0.25^1.05* :

471.72=450+21.72

428.28=450-21.72

 : )2015(

S

"
:"

)CALL(450

)PUT(450

425

-2500

2172

--328

428.28

-2230

435

-1500

672

440

-1000

1172

445

-500

1672

450

2172

455

-500

1672

460

-1000

1172

465

-1500

672

471.72

-2230

480

-3000

-828

.1 :
-

-0.9753*0.25^1.05*1300*2 (233.7-=1.0247*0.25^1.05*(1200+1500

:
442.33=440+2.33
457.67=460-2.33

233.7 -
770-

 "
:"

: )2015(

2
:
call(180)=1500
call(190)=2000
, .

'? , .

:
, CALL CALL :
500=1500+2000-

)C(180

)C(190

160

500

500

170

500

500

180

500

500

190

1000

500

1500

200

2000

-1000

500

1500

210

3000

-2000

500

1500

3
:

)(

CALL

630

1550

1530

CALL

640

930

920

, , . ::
,0.1% ,5% 3.
-

 : )2015(

-

"
:"

, / 600,690-
,15 ,

: BEAR CALL
CALL .
CALL .
CALL: 930*1.001*1.050.25=942.35
CALL :1530*0.999*1.050.25=1547.22
-

- 604.87=1547.22-942.35

,630
.600

630 , 640 1 . 100

. 636.048 =604.87/100- 630 :636.048

604.87=100*(636.04-630) :

395.2=100*(640-636.048) :