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- 1. Investments Chapter 20: Derivatives Valuation
- 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.
- 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.
- 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
- 23. Option Valuation Models: The BS Model: IV Exhibit 20.11 Reaction of option price to increases in input parameters
Notas do Editor
- 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.