QUN TR RI RO TI CHNH

BI 3: TH TRNG V HP NG K HN
Xc nh gi chung v nh gi HKH ca c phiu
V(0,T)= ST - F(O,T)
nh gi k hn i vi c phiu thng
GI TR HIN TI

PV(D,0,T)= ( ) or PV(D,0,T)=
F(0,T) = [SO PV (D,0,T)] * (1+r)T
Ga tr tng lai theo phng thc t sut c tc
F(0,T) = * , trong : =1-
Ga tr tng lai theo phng thc t sut sinh li v ts ghp li lin tc
(r(c)- (c))T
F(0,T) = SO*e , trong : = ln(1+ )
nh gi tr ca HKH i vi C PHIU
Ga tr ca HKH ti thi im t:
Vt (t,T) = St PV (D,t,T)
GI TR CA HKH TI THI IM O HN T:
VT (0,T) = ST F(0,T)
NH GI K HN I VI TRI PHIU
Ga tr hin ti

PV(CI,0,T)= ( )
F(0,T) = [B0C (Y+T) PV (CI,0,T)] * (1+r)T
Ga tr tng lai
FV(CI,0,T)=
F(0,T) = B0C (Y+T) * (1+r)T FV (CI,0,T)
NH GI TR CA HKH I VI TRI PHIU
GI TR CA HKH TI THI IM t:
Vt (t,T) = B0C PV (CI,t,T)
GI TR CA HKH TI THI IM O HN T:
VT (0,T) = B0C F(0,T)
XC NH GI V NH GI HKH TRN LI SUT
LI SUT K HN:

FRA (0,h,m) = [ ]
( )
GI TR HKH VO THI IM g:

Vg (0,h,m) =
( )
GI TR HKH VO THI IM h:

Vh (0,h,m) =
( )
XC NH GI V NH GI HKH TRN NGOI T
LI SUT RI RC
F (0,T) = * (1+r)T
c
Vt (t, T) = Vi: r = ln(1+r) , rfc = ln(1+rf )
LI SUT GHP LIN TC
r(fc)T r(c)T
F (0,T) = [ S0 * e ]*e
r(fc)(T t)
Vt (t, T) = [St * e ] [ F(0,T) * e -r(c)(T-t)]
 BI 5: TH TRNG V HP NG QUYN CHN
QUYN CHN MUA (CALL OPT) QUYN CHN BN (PUT OPT)
NH PHN 1 THI K NH PHN 1 THI K
Su = S * u Su = S * u
Sd = S * d Sd = S * d
Cu = Max(0, Su X) Pu = Max(0, X - Su)
Cd = Max(0, Sd X) Pd = Max(0, X Sd)
p= p=

C= P=
T s phng nga ri ro T s phng nga ri ro
h= h=
NH PHN 2 THI K NH PHN 2 THI K
u = 1+ t l tng u = 1+ t l tng
d = 1 t l gim d = 1 t l gim
Su2 = S * u2 Su2 = S * u2
Sd2 = S * d2 Sd2 = S * d2
Sud = S * u * d Sud = S * u * d
Cu2 = Max(0, Su2 X) Pu2 = Max(0, X - Su2)
Cd2 = Max(0, Sd2 X) Pd2 = Max(0, X Sd2)
Cud = Max(0, Sud X) Pud = Max(0, X Sud)
p= p=
Cu = [ pCu2 +(1-p)Cud ] / (1+ r) Pu = [ pPu2 +(1-p)Pud ] / (1+ r)
Cd = [ pCud +(1-p)C d2 ] / (1+ r) Pd = [ pPud +(1-p)P d2 ] / (1+ r)
C = [ pCu +(1-p)Cd ] / (1+ r) P = [ pPu +(1-p)Pd ] / (1+ r)
T sut sinh li T sut sinh li

M hnh Black-Scholes-Merton M hnh Black (tng lai)

c f f
r = ln(1+ r ): ls phi rr ghp li lin tc, r : ls
phi ri ro S0 = F(0,T)* e-r (c)T
S0 = F(0,T)* e-r (c)T S0= S0 PV(CF)
S0= S0 PV(CF) S0= S0* e-r (c)T
S0= S0* e-r (c)T
d1 =
d1 =
d2 = d1 ( * )
d2 = d1 C=e
- r(c)T
[f0(T)N(d1) XN(d2)]
- r(c)T
C = S0*N(d1) Xe * N(d2) P=e
- r(c)T
* {X[ 1- N(d2)] f0(T) [ 1- N(d1)}
- r(c)T
P = Xe * [ 1- N(d2)] S0* [ 1- N(d1)]
BI 6: TH TRNG V HP NG HON I
Bo = , FS(0,n,m) =
( )

Thay i li sut

Hin gi dng tin thanh ton c nh

= FS(0,n,m) ( )
Hin gi dng tin thanh ton th ni
= [1 + L0(h1)* ] * Bt (h1)