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L Pch20
1.
Investments Chapter 20:
Derivatives Valuation
2.
3.
4.
5.
6.
Valuing Stock Index
Futures Exhibit 20.1 Determining the equilibrium price of stock index futures Source: From Introduction to Investments, 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.
7.
Valuing Currency Futures
Exhibit 20.2 Determining the equilibrium price of foreign currency futures Source: From Introduction to Investments, 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.
8.
Valuing Commodity Futures
Exhibit 20.3 Determining the equilibrium price of commodity futures Source: From Introduction to Investments, 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.
9.
10.
Options: Call Option
Boundaries Exhibit 20.6 Call option boundaries Source: From Introduction to Investments, 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.
11.
Options: Put Option
Boundaries Exhibit 20.8 Put option boundaries Source: From Introduction to Investments, 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.
12.
13.
14.
15.
16.
17.
18.
Three Period Binomial
Process: Stock Prices $25 28.75 21.25 2/3 1/3 33.06 24.44 2/3 1/3 18.06 2/3 1/3 15.35 2/3 1/3 38.02 2/3 1/3 20.77 2/3 1/3 28.10
19.
Three Period Binomial
Process: Call Option Prices $25 28.75 21.25 2/3 1/3 15.35 2/3 1/3 38.02 28.10 2/3 1/3 20.77 2/3 1/3 33.06 24.44 2/3 1/3 18.06 2/3 1/3 13.02 3.10 0 0 9.25 1.97 0 6.50 1.25 4.52
20.
21.
22.
23.
Option Valuation Models:
The BS Model: IV Exhibit 20.11 Reaction of option price to increases in input parameters
24.
Notes de l'éditeur
Myself, I created a 200-period binomial option pricing model once.
By the way, note that this 3-period option is worth $4.52, which is much greater than the otherwise-identical 1-period call option value of $2.38.
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