r*****t
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scotthuang (scott) 于 (Wed Feb 21 14:09:36 2007) 提到:
There is some stock S and S = 16 now. In 1 month time, 0
price of a call option on S with strike = 16? You don't know anything else.
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ThatYear (那年) 于 (Wed Feb 21 14:20:40 2007) 提到:
make assumptions:
it is struck in the money
time to maturity is short, r=0.
roughly estimate sigma, you have s<20
c=sigma*S*(tau/2pi)~0.5
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r*****t
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scotthuang (scott) 于 (Mon Mar 26 13:59:12 2007) 提到:
Suppose in a black-scholes world, r=0. And you have a digital option which
pays 1 dollar at T if S_T > K. If price of the stock doesn't change for a
period of delta t after the issuance, the price of the option goes up.
However, no hedging strategy using bonds and stocks can produce the rise in
value. (stock price doesn't change. Bond price doesn't change either as r =
0)
Isn't it strange?
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B*********h
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scotthuang (scott) 于 (Fri Mar 2 01:25:44 2007) 提到:
Assuming constant interest rate, futures contract and forward contract are
the same right? (ignoring the facts such as futures are exchange-trade and
so on)
But then, the way futures works is very strange. People maintain a margin
account. And if futures price goes up by 3 dollars, then 3 dollars will be
added to your acccount(assume you long a futures contract). But in fact,
this contract's value on |
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