期權(quán)市場

序言
1.引言
2.期權(quán)的若干基本要素
3.買權(quán)和賣權(quán)市場結(jié)構(gòu)
4.一般套利關(guān)系
5.一種精確的期權(quán)定價(jià)模型
6.如何應(yīng)用Black-Scholes定價(jià)公式
7.期權(quán)的一般化和應(yīng)用
8.期權(quán)市場創(chuàng)新
符號釋義匯編
參考書目
索引
PREFACEvii
1INTRODUCTION1
1-1WhatArePutsandCalls?1
1-2PayoffDiagramsforElementaryStrategies8
1-3ABriefSurveyoftheWayOptionsAreTraded23
2SOMEFUNDAMENTALASPECTSOFOPTIONS33
2-1DeterminantsofOptionValue33
2-2TheRelationshipBetweenPutsandCalls39
2-3WhyInvestorsUseOptions44
Appendix2ATheRelationshipBetweenOptionsandForwardandFuturesContracts59
3THESTRUCTUREOFTHEMARKETFORPUTS
ANDCALLS63
3-1PublicOrders63
3-2TheOptionsClearingCorporation69
3-3HowtheExchangesWork71
3-4ThePerformanceofOptionsMarkets82
3-5InstitutionalParticipationinOptionsMarkets93
Appendix3AMargin98
Appendix3BCommissions109
Appendix3CTaxes115
4GENERALARBITRAGERELATIONSHIPS127
4-1ArbitrageRestrictionsonCallValues129
4-2ArbitrageRestrictionsonPutValues145
4-3FurtherResultsontheRelationshipBetweenPutsandCalls150
4-4SomeRestrictionsonOptionValuesasaFunctionoftheStockPrice154
Appendix4AArbitrageRestrictionsontheValueofCashDividends161
5ANEXACTOPTIONPRICINGFORMULA165
5-1TheBasicIdea166
5-2BinomialRandomWalks168
5-3TheBinomialOptionPricingFormula171
5-4RisklessTradingStrategies178
5-5OptionRiskandExpectedReturn185
5-6TheBlack-ScholesFormula196
5-7AnAlternativeDerivation212
5-8HowChangesintheVariablesAffectBlack-ScholesOptionValues215
5-9HowtoIncludeDividendsandthePossibilityofEarlyExercise236
6HOWTOUSETHEBLACK-SCHOLESFORMULA253
6-1HowtoComputeBlack-ScholesValues254
6-2SomeModificationstoMaketheModelWorkBetter266
6-3AnalysisofCoveredPositions287
6-4ScreeningNeutralPositions307
6-5PortfolioConsiderations317
6-6EmpiricalEvidence338
Appendix6AValuationwithProgrammableCalculators343
Appendix6BstockswithExchange-TradedOptions346
7GENERALIZATIONSANDAPPLICATIONS359
7-1AlternativeDescriptionsofStockPriceMovements360
7-2GeneralizedOptions371
7-3CorporateSecurities375
7-4Down-and-OutOptions408
7-5CompoundOptions412
7-6OptionsonMoreThanOneStock415
7-7OptionsonStockFutures418
7-8AnOutlineofSomeFurtherExtensions420
8INNOVATIONSINOPTIONSMARKETS427
8-1TheEconomicFunctionofSecuritiesMarkets427
8-2TheContributionofOptions436
8-3OptionsontheMarketPortfolio446
8-4TheSuperfund458
Appendix8AAnIndexofOptionPrices468
GLOSSARYOFSYMBOLS475
BIBLIOGRAPHY478
INDEX493