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金融代写|期权理论代写Mathematical Introduction to Options代考|ADAPTATION TO DIFFERENT MARKETS

(i) The objective of this book is to provide the reader with a grounding in option theory, which can be applied to a variety of different markets. Most readers will be interested in one specific market, and it is always easier to read material which is narrowly specific to ones own area of interest, but unfortunately this is not a practicable way to write a book. This section tries to ease the reader’s burden of adapting the material to his own specific area of interest.

In much of the forgoing, the market used to develop the theory was the equity market. This was chosen since it is the most straightforward and widely understandable for newcomers to finance theory: everyone understands what the price of one share of stock means and roughly how dividends work; a futures price or convenience yield is more arcane. Where equity failed to provide an adequate example, as in the discussions of arbitrage or futures, we have turned to other markets such as foreign exchange or commodities. At the risk of some repetition, we now summarize how the theory is adapted to other markets.
(ii) Equities: This is the easiest, since the theory has been developed largely with reference to this market. It is a very straightforward cash market, i.e. the commodity (stock) is purchased directly with physical delivery as soon as possible after purchase. In most established markets there are traded options on the most important stocks, although forwards and futures on single stocks have not yet become established.

This begs the following question: in the absence of a forward market, can we really price an option using the arbitrage arguments of Section 1.2, which were developed for the foreign exchange market with its large forward market which can be used to execute arbitrage trades? The answer is an emphatic yes; foreign exchange was merely used as a simple illustration of the no-arbitrage principle in its various forms. The notion of a forward can be used in pricing an option, even though no formal forward market exists. The arbitrage that is actually performed if an option is mispriced is not buying spot and selling forward, but extracting the option’s fair value through delta hedging.

A formal forward market is not needed to calculate the fair value of an option from the notional forward price; but the delta hedge must exist. In some markets, shorting stock is illegal or restricted to certain categories of market participant, and often stock is just not available for borrowing. This means that positive delta positions (short puts, long calls) cannot be hedged and arbitrage arguments do not apply. The “fair value” is then no more than a hypothetical construction.

The “dividend” $q$ may be different for delta hedging with long or short stock positions. If the stock is held long, $q$ will indeed be the continuous dividend yield; but if the stock is held short, $q$ will be the total cash that needs to be paid out on the short position, i.e. continuous dividend plus stock borrowing cost.

金融代写|期权理论代写Mathematical Introduction to Options代考|OPTIONS ON FORWARDS AND FUTURES

(i) Following the last section, we now examine what happens if the underlying security is itself a futures contract. For example, it was seen in the last section that a call option on a stock index could be dynamically hedged by buying or selling the appropriate number of stock index futures contracts; now we consider a call option on a stock index futures price rather than on the index itself.

The analysis is very similar for forward contracts and futures contracts, so these are treated together, with any divergence in behavior pointed out as we go along. Futures contracts are of course far more important in practice, since these are traded on exchanges, while active forward markets are normally interbank (especially in foreign exchange).

It is critical that the reader has a clear understanding of the concepts and notation of paragraph (iii) of the last section.
(ii) The payoff of an option on a futures or
forward contract is more abstract than for

  • Options on the Underlying Stock Price: the contract is an option to buy one share of stock at a price $X$.
    $$
    \text { Payoff }=\max \left[\left(S_\tau-X\right), 0\right]
    $$
  • Options on the Forward Price: this is an option that at time $\tau$ we can enter a forward contract maturing at time $T$, at a forward price of $X$. The value of this forward contract at time $\tau$ will be $\left(F_{T \tau}-X\right) \mathrm{e}^{-r(\tau-T)}$.
  • $$
  • \text { Payoff }=\max \left[\left(F_{\tau T}-X\right) \mathrm{e}^{-r(T-\tau)}, 0\right]
  • $$
  • Options on the Futures Price: as in the last case, this is an option to enter a futures contract at time $\tau$ and price $X$; however, futures are marked to market daily so that a profit of $\Phi_{\tau T}-X$ would immediately be realized within one day of time $\tau$.
    $$
    \text { Payoff }=\max \left[\left(\Phi_{\tau T}-X\right), 0\right]
    $$
    iii) The forward price is given by $F_{t T}=S_t \mathrm{e}^{(r-q)(T-t)}$, and if interest rates are constant, we also have $F_{t T}=\Phi_{t T}$. We may therefore write
    Volatility of $F_{t T}=$ volatility of $\Phi_{t T}=\sqrt{\operatorname{var}\left\langle\ln S_t\right\rangle}=\sigma$
    In general, the volatility of the forward price equals the volatility of the spot price; the volatility of the futures price equals the volatility of the underlying stock if the interest rate is constant.
金融代写|期权理论代写Mathematical Introduction to Options代考|MATH451

期权理论代考

金融代写|期权理论代写期权数学介绍代考|适应不同的市场


本书的目的是为读者提供期权理论的基础,它可以应用于各种不同的市场。大多数读者只对一个特定的市场感兴趣,而阅读那些仅限于自己感兴趣的领域的材料总是更容易一些,但不幸的是,这并不是一种切实可行的写作方式。这一节试图减轻读者根据自己的兴趣领域改编材料的负担


在上述大部分情况下,用来发展该理论的市场是股票市场。之所以选择这个公式,是因为它对金融理论的新手来说是最直接、最容易理解的:每个人都明白每股股票的价格意味着什么,以及股息的大致运作方式;期货价格或便利收益则更为神秘。如果股票不能提供一个充分的例子,例如在讨论套利或期货时,我们就转向外汇或大宗商品等其他市场。冒着重复的风险,我们现在总结一下该理论如何适用于其他市场。(ii)股票:这是最简单的,因为该理论在很大程度上是参照这个市场发展起来的。这是一个非常直接的现金市场,即商品(股票)在购买后尽快实物交付直接购买。虽然单一股票的远期和期货尚未建立,但在大多数已建立的市场中,对最重要的股票都有期权交易


这就引出了以下问题:在没有远期市场的情况下,我们真的可以使用1.2节的套利论证来为期权定价吗? 1.2节是为外汇市场开发的,其远期市场很大,可以用来执行套利交易。答案是肯定的;外汇只是用来简单地说明各种形式的无套利原则。远期的概念可以用于期权定价,即使没有正式的远期市场存在。如果期权定价错误,实际上进行的套利不是买入现货,卖出远期,而是通过delta套期保值提取期权的公允价值


根据名义远期价格计算期权的公允价值不需要正式的远期市场;但δ对冲一定存在。在某些市场,做空股票是非法的,或仅限于某些类别的市场参与者,而且通常股票是无法借入的。这意味着正的增量头寸(做空看跌期权,做多看涨期权)无法对冲,套利理由也不适用。因此,“公允价值”不过是一个假设的结构

“红利”$q$可能是不同的delta对冲与多或空股票头寸。如果股票长期持有,$q$确实会有持续的股息收益;但如果股票被做空,$q$将是需要在做空头寸上支付的现金总额,即持续分红加上股票借款成本。

金融代写|期权理论代写期权数学介绍代考| Options ON远期和期货


在上一节之后,我们现在研究一下,如果标的证券本身是期货合约,会发生什么。例如,在上一节中我们看到,可以通过购买或出售适当数量的股指期货合约来动态对冲股票指数看涨期权;现在我们考虑的是股票指数期货价格的看涨期权,而不是指数本身


远期合约和期货合约的分析非常相似,因此将它们放在一起处理,并在处理过程中指出行为上的任何差异。期货合约在实践中当然要重要得多,因为它们是在交易所交易的,而活跃的远期市场通常是银行间的(特别是外汇市场)


(ii)期货或远期合约的期权支付比更为抽象

  • 标的股票价格期权:该合同是一种以$X$价格购买一股股票的期权。
    $$
    \text { Payoff }=\max \left[\left(S_\tau-X\right), 0\right]
    $$
  • 远期价格期权:该期权是一种在$\tau$时间我们可以进入一份在$T$时间到期的远期合同,远期价格为$X$。这个远期合约在$\tau$时刻的值将是$\left(F_{T \tau}-X\right) \mathrm{e}^{-r(\tau-T)}$ .
  • $$
  • \text { Payoff }=\max \left[\left(F_{\tau T}-X\right) \mathrm{e}^{-r(T-\tau)}, 0\right]
  • $$
  • 期货价格期权:与最后一种情况一样,这是一种在时间$\tau$,价格$X$进入期货合约的期权;然而,期货按日计价,因此$\Phi_{\tau T}-X$的利润将在一天内立即实现$\tau$ .
    $$
    \text { Payoff }=\max \left[\left(\Phi_{\tau T}-X\right), 0\right]
    $$
    iii)远期价格由$F_{t T}=S_t \mathrm{e}^{(r-q)(T-t)}$给出,如果利率不变,我们也有$F_{t T}=\Phi_{t T}$。因此我们可以写
    $F_{t T}=$的波动率$\Phi_{t T}=\sqrt{\operatorname{var}\left\langle\ln S_t\right\rangle}=\sigma$的波动率
    一般来说,远期价格的波动率等于现货价格的波动率;如果利率不变,期货价格的波动率等于标的股票的波动率。
金融代写|期权理论代写Mathematical Introduction to Options代考

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