Ch09HullOFOD7thEd

Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)

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Properties of Stock Options Properties of Stock Options Chapter 9 1 Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008
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2008 2 Notation Notation c : European call option price p : European put option price S 0 : Stock price today K : Strike price T : Life of option σ : Volatility of stock price C : American Call option price P : American Put option price S T :Stock price at option maturity D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp
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2008 3 Effect of Variables on Option Effect of Variables on Option Pricing Pricing (Table 9.1, page 202) (Table 9.1, page 202) c p C P Variable S 0 K T σ r D + + + ? ? + + + + + + + + + + +
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2008 4 American vs European Options American vs European Options An American option is worth at least as much as the corresponding European option C c P p
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2008 5 Calls: An Arbitrage Calls: An Arbitrage Opportunity?
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Ch09HullOFOD7thEd - Properties of Stock Options Properties...

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