13.1 Options on Stock Indices. Currencies and Futures Chapter 13 Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.1 Options on Stock Indices, Currencies, and Futures Chapter 13
European Options on Stocks 13.2 Providing a dividend yield We get the same probability distribution for the stock price at time T in each of the following cases 1. The stock starts at price So and provides a dividend yield= q 2. The stock starts at price Soe q/ and provides no income Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.2 European Options on Stocks Providing a Dividend Yield We get the same probability distribution for the stock price at time T in each of the following cases: 1. The stock starts at price S0 and provides a dividend yield = q 2. The stock starts at price S0 e –q T and provides no income
European Options on Stocks 13.3 Providing dividend yield continued We can value European options by reducing the stock price to soe q/ and then behaving as though there is no dividend Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.3 European Options on Stocks Providing Dividend Yield continued We can value European options by reducing the stock price to S0 e –q T and then behaving as though there is no dividend
13.4 Extension of Chapter 8 Results (Equations 13.1 to 13.3) Lower bound for calls c≥Sey-Ker7 Lower bound for puts T p≥Ke-S q T 已 Put Call Parity Ctke=p+seat Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.4 Extension of Chapter 8 Results (Equations 13.1 to 13.3) q T r T c S e Ke − − 0 − Lower Bound for calls: Lower Bound for puts r T qT p Ke S e − − − 0 Put Call Parity r T q T c Ke p S e − − + = + 0
Extension of Chapter 12 3.5 Results(equations 13.4 and 14.5) c=Soe n(du-ke n(d2) p=ke N(d2)-soe(dI /2)T where d, l(S/K)+(-q+o2 ln(S/K)+(r-q-2/2)T T Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.5 Extension of Chapter 12 Results (Equations 13.4 and 14.5) T S K r q T d T S K r q T d p K e N d S e N d c S e N d K e N d r T q T q T r T + − − = + − + = = − − − = − − − − − / 2) 2 ln( / ) ( / 2) 2 ln( / ) ( ( ) ( ) ( ) ( ) 0 2 0 1 2 0 1 0 1 2 where