期权和实物期权-从金融工具到投资管理理念

期权和实物期权——从金融工具到投资管理理念看涨和看跌期权的内涵价值，持有者和出具者的损益分析从CBOE下载的微软公司(MSFT)股票期权报价(2003-10-12)通过MSFT的真实数据分析期权价值与执行价格之间的关系通过MSFT的真实数据分析期权价值与期权期限之间的关系由股票与一份或多份看跌期权构成的套期保值组合由不同方向期权构成的牛市套利和熊市套利组合Black-Scholes期权定价模型的应用示范及敏感性分析根据1993~2003年历史数据计算MSFT的波动性根据MSFT股票期权报价的真实数据计算内含波动性用半年后到期的MSFT股票期权报价验证Black-Scholes模型单期二项式期权定价模型的计算过程与公式推导两期二项式期权定价模型的计算过程与公式应用延迟期权和增长期权的简单范例6.BS模型和敏感性分析7.MSFT波动性12.实物期权8.MSFT内含波动性9.BS模型的验证10.单期二项式11.两期二项式1.持有或出具期权的收益QuoteTable-MSFT2.执行价格的作用3.期限的作用4.股票+期权5.期权+期权看涨和看跌期权的内涵价值，持有者和出具者的损益分析从CBOE下载的微软公司(MSFT)股票期权报价(2003-10-12)通过MSFT的真实数据分析期权价值与执行价格之间的关系通过MSFT的真实数据分析期权价值与期权期限之间的关系由股票与一份或多份看跌期权构成的套期保值组合由不同方向期权构成的牛市套利和熊市套利组合Black-Scholes期权定价模型的应用示范及敏感性分析根据1993~2003年历史数据计算MSFT的波动性根据MSFT股票期权报价的真实数据计算内含波动性用半年后到期的MSFT股票期权报价验证Black-Scholes模型单期二项式期权定价模型的计算过程与公式推导两期二项式期权定价模型的计算过程与公式应用看涨期权的内涵价值和持有者的收益分析期权价格：5.00执行价格：到期股票价格选择内涵价值净损益出权人收益10.00放弃0.00-5.005.0015.00放弃0.00-5.005.0020.00放弃0.00-5.005.0025.00放弃0.00-5.005.0030.00执行0.00-5.005.0035.00执行5.000.000.0040.00执行10.005.00-5.0045.00执行15.0010.00-10.0050.00执行20.0015.00-15.0055.00执行25.0020.00-20.00看跌期权的内涵价值和持有者的收益分析期权价格：5.00执行价格：到期股票价格选择内涵价值净损益出权人收益5.00执行25.0020.00-20.0010.00执行20.0015.00-15.0015.00执行15.0010.00-10.0020.00执行10.005.00-5.0025.00执行5.000.000.0030.00执行0.00-5.005.0035.00放弃0.00-5.005.0040.00放弃0.00-5.005.0045.00放弃0.00-5.005.0050.00放弃0.00-5.005.00-30.00-20.00-10.000.0010.0020.0030.0010.0020.0030.0040.00价值/损益-30.00-20.00-10.000.0010.0020.0030.0010.0020.0030.0040.00价值/损益内涵价值净损益出权人收益益出权人收益30.0030.0040.0050.00股票价格40.0050.00股票价格内涵价值净损益出权人收益本工作表中是从CBOE网站下载的微软公司(MSFT)股票期权的原始数据MSFT(Nasdaq)28.91-0.03Oct122003@23:56ETBid28.91Ask28.83Size150x3CallsLastSaleNetBidAskVolOpenInt03Oct5.00(MQFJL-E)0pc000003Oct5.00(MQFJL-A)0pc23.8240003Oct5.00(MQFJL-P)0pc23.524.10003Oct5.00(MQFJL-X)0pc000003Oct5.00(MQFJL-8)0pc000003Oct7.50(MQFJM-E)21.7pc21.321.504003Oct7.50(MQFJM-A)21.2pc21.321.504003Oct7.50(MQFJM-P)0pc2121.604003Oct7.50(MQFJM-X)0pc0004003Oct7.50(MQFJM-8)0pc0004003Oct10.00(MQFJN-E)19.1pc18.8190668603Oct10.00(MQFJN-A)19pc18.8190668603Oct10.00(MQFJN-P)17.9pc18.519.10668603Oct10.00(MQFJN-X)15pc18.519.20668603Oct10.00(MQFJN-8)19.1pc18.8190668603Oct12.50(MQFJV-E)16.5pc16.316.50232903Oct12.50(MQFJV-A)12.3pc16.316.50232903Oct12.50(MQFJV-P)15.4pc1616.60232903Oct12.50(MQFJV-X)13pc1616.70232903Oct12.50(MQFJV-8)16.8pc16.316.50232903Oct15.00(MQFJC-E)14pc13.8140207603Oct15.00(MQFJC-A)13.1pc13.8140207603Oct15.00(MQFJC-P)12.9pc13.514.10207603Oct15.00(MQFJC-X)11pc13.514.20207603Oct15.00(MQFJC-8)14.1pc13.8140207603Oct17.50(MQFJW-E)11.9pc11.311.50223603Oct17.50(MQFJW-A)8.4pc11.311.50223603Oct17.50(MQFJW-P)10.4pc1111.60223603Oct17.50(MQFJW-X)7.2pc1111.70223603Oct17.50(MQFJW-8)11.7pc11.311.50223603Oct20.00(MQFJD-E)8.8-0.38.892459003Oct20.00(MQFJD-A)9.6pc8.890459003Oct20.00(MQFJD-P)7.9pc8.690459003Oct20.00(MQFJD-X)8.90.18.59.27459003Oct20.00(MQFJD-8)9.3pc8.890459003Oct22.50(MQFJX-E)6.4--6.36.511702503Oct22.50(MQFJX-A)6.4-0.26.36.520702503Oct22.50(MQFJX-P)6.8pc6.26.50702503Oct22.50(MQFJX-X)6.7pc66.50702503Oct22.50(MQFJX-8)6.3-0.36.36.51702503Oct25.00(MSQJE-E)3.8-0.23.843915117103Oct25.00(MSQJE-A)3.9-0.23.84405117103Oct25.00(MSQJE-P)3.9-0.13.7415117103Oct25.00(MSQJE-X)3.90.13.54.1125117103Oct25.00(MSQJE-8)3.9--3.84965117103Oct27.50(MSQJY-E)1.45--1.451.568516690903Oct27.50(MSQJY-A)1.45-0.31.41.5515016690903Oct27.50(MSQJY-P)1.4-0.11.31.5161216690903Oct27.50(MSQJY-X)1.45-0.051.11.537016690903Oct27.50(MSQJY-8)1.4-0.051.41.45171516690903Oct30.00(MSQJF-E)0.1-0.050.10.15116016831303Oct30.00(MSQJF-A)0.15--0.10.2752616831303Oct30.00(MSQJF-P)0.1-0.050.050.15258516831303Oct30.00(MSQJF-X)0.1-0.10.10.1548516831303Oct30.00(MSQJF-8)0.15--0.10.15134716831303Oct32.50(MSQJZ-E)0.1pc00.0504689103Oct32.50(MSQJZ-A)0.05pc00.0504689103Oct32.50(MSQJZ-P)0.05pc00.0504689103Oct32.50(MSQJZ-X)0.05pc00.0504689103Oct32.50(MSQJZ-8)0.05pc00.0504689103Oct35.00(MSQJG-E)0.05--00.052721903Oct35.00(MSQJG-A)0.05pc00.050721903Oct35.00(MSQJG-P)0.1pc00.050721903Oct35.00(MSQJG-X)0.05pc00.050721903Oct35.00(MSQJG-8)0.05pc00.050721903Oct37.50(MSQJU-E)0.05pc00.05052903Oct37.50(MSQJU-A)0.1pc00.05052903Oct37.50(MSQJU-P)0.05pc00.05052903Oct37.50(MSQJU-X)0.05pc00.05052903Oct37.50(MSQJU-8)0.05pc00.05052903Oct40.00(MSQJH-E)0.1pc00.05026303Oct40.00(MSQJH-A)0.2pc00.05026303Oct40.00(MSQJH-P)0.05pc00.05026303Oct40.00(MSQJH-X)0pc00.05026303Oct40.00(MSQJH-8)0.05pc00.05026303Oct42.50(MSQJS-E)0pc00.050003Oct42.50(MSQJS-A)0pc00.050003Oct42.50(MSQJS-P)0pc00.050003Oct42.50(MSQJS-X)0pc00.050003Oct42.50(MSQJS-8)0pc00.050003Oct45.00(MSQJI-E)0pc00.050003Oct45.00(MSQJI-A)0pc00.050003Oct45.00(MSQJI-P)0pc00.050003Oct45.00(MSQJI-X)0pc00.050003Oct45.00(MSQJI-8)0pc00.050003Nov7.50(MQFKM-E)0pc21.321.50003Nov7.50(MQFKM-A)0pc21.321.50003Nov7.50(MQFKM-P)0pc2121.60003Nov7.50(MQFKM-X)0pc2121.70003Nov7.50(MQFKM-8)0pc21.321.50003Nov10.00(MQFKN-E)19.5pc18.81903003Nov10.00(MQFKN-A)0pc18.81903003Nov10.00(MQFKN-P)0pc18.519.103003Nov10.00(MQFKN-X)0pc18.519.203003Nov10.00(MQFKN-8)19.3pc18.81903003Nov12.50(MQFKV-E)16.5pc16.316.504003Nov12.50(MQFKV-A)0pc16.316.504003Nov12.50(MQFKV-P)0pc1616.604003No