Ban Quyen chon ban + Ban khong co phieu - 2 thi ky

Gi hin ti :

So =

100.00

Tha s tng :

u=

1.25

LS phi RR :

r=

7.0%

Gi thc hin :

X=

100.00

Tha s gim :

d=

0.80

Xc sut :

p=

0.600

Bn Quyn chn bn + Bn khng c phiu

hai thi k

Su =
So =

Pu =

Sud =

100.00

Sdu =

100.00

Sd2 =

64.00

Pu2 =

0.00

Pud =

0.00

Pdu =

0.00

Pd2 =

36.00

hd =

-1.000

125.00

80.00

0.00

5.03
Pd =

h=

156.25

100.00
Sd =

P=

Su2 =

-0.299

hu =

13.46

0.000

Thi im 0 : Danh mc :
h=
-0.299 Bn khng 299.065 c phn gi $100.000
S = 100.00
QC =
-1,000 Bn 1000.0 quyn chn bn gi $5.03101
C=
5.03
TP =
0 Gi $.0 bng tri phiu
V = -299.065(100.000) + -1000.0(5.03101) + .0 =V-34937.549
o = -34,938
Thi im 1 : Trng hp tng :
h=
-0.299 Bn khng 299.065 c phn gi $125.000
Su = 125.00
QC =
-1,000 Bn 1000.0 quyn chn bn gi $.000
Pu =
0.00
TP =
0 Gi $.0 bng tri phiu
V = -299.065(125.000) + -1000.0(.000) + .0 = -37383.178
Vu = -37,383
hu =
0.000
rh = 7.00%
Thc hin :
h=
0.299 Mua li 299.065 c phn gi $125.000
Su = 125.00
1
QC =
0 Mua li 0 quyn chn bn gi $.000

Pu =
0.00
TP = -37,383
Danh mc mi :
h=
0.000
Su = 125.00
QC =
-1,000
Pu =
0.00
TP = -37,383

Vay $37383.178
Gi .0 c phn gi $125.000
Bn 1000.0 quyn chn bn gi $.000
N mt khon $37383.178
V = .0(125.000) + -1000.0(.000) + -37383.178 = V
-37383.178
u = -37,383

Thi im 2 : Trng hp tng tng :

h=
0.000 Gi .0 c phn gi $156.25000
Su2 = 156.25
QC =
-1,000 Bn 1000.0 quyn chn bn gi $.000
Pu2 =
0.00
TP = -40,000 N mt khon $40000.0
V = .0(156.25000) + -1000.0(.000) + -40000.0 =V-40000.0
u2 = -40,000
rh = 7.00%
Thi im 2 : Trng hp tng gim :
h=
0.000 Gi .0 c phn gi $100.000
Sud = 100.00
QC =
-1,000 Bn 1000.0 quyn chn bn gi $.000
Pud =
0.00
TP = -40,000 N mt khon $40000.0
V = .0(100.000) + -1000.0(.000) + -40000.0 = -40000.0
Vud = -40,000
rh = 7.00%
Thi im 1 : Trng hp gim :
h=
-0.299 Bn khng 299.065 c phn gi $80.000
Sd =
80.00
QC =
-1,000 Bn 1000.0 quyn chn bn gi $13.45794
Pd =
13.46
TP =
0 Gi $.0 bng tri phiu
V = -299.065(80.000) + -1000.0(13.45794) + .0 =V-37383.178
d = -37,383
hd =
1.000
rh = 7.00%
Thc hin :
h=
0.000 Mua li .0 c phn gi $80.000
Sd =
80.00
2
QC =
701 Mua li 700.935 quyn chn bn gi $13.45794
Pd =
13.46
TP =
-9,433 Vay $9433.138
Danh mc mi :
h=
-0.299 Bn khng 299.065 c phn gi $80.000
Sd =
80.00
QC =
-299 Bn 299.065 quyn chn bn gi $13.45794
Pd =
13.46
TP =
-9,433 N mt khon $9433.138

V = -299.065(80.000) + -299.065(13.45794) + -9433.138

Vd = -37,383
= -37383.178
Thi im 2 : Trng hp gim tng :
h=
-0.299 Bn khng 299.065 c phn gi $100.000
Sdu = 100.00
QC =
-299 Bn 299.065 quyn chn bn gi $.000
Pdu =
0.00
TP = -10,093 N mt khon $10093.458
V = -299.065(100.000) + -299.065(.000) + -10093.458
Vdu = -40,000
= -40000.0
rh = 7.00%
Thi im 2 : Trng hp gim gim :
h=
-0.299 Bn khng 299.065 c phn gi $64.000
Sd2 =
64.00
QC =
-299 Bn 299.065 quyn chn bn gi $36.000
Pd2 =
36.00
TP = -10,093 N mt khon $10093.458
V = -299.065(64.000) + -299.065(36.000) + -10093.458
Vd2 = -40,000
= -40000.0
rh = 7.00%

thi k

Hng dn
phng n
s dng

Kiu

2
4
1 Au

459

565

1 thi ky
2 thi ky

So
100

Su
125

Sd
80

Su2
156.3

Sud
100

Sdu
100

Sd2

CC

64 5.031

Cu

Cd
0 13.46

Cuu
0

Cud
0

Cdu
0

Cdd

PP

36 5.031

Pu

Pd
0 13.46

471

475

Pu2

Pud
0

Pdu
0

Pd2
0

36

h
-0.3

hu

hd
0

-1

14

12

16

11

13

15

17

14

12

16

11

13

15

6
17

19

19

19