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关于题目的理解 RRS feed

  • 问题

  • 不知道这样的思路是否正确:1)预测一年后标的物的价格;2)计算期权的fair value;3)根据1年后标的物价格以及期权fair value,选择投资合适的期权(每天都有新策略,并且第二天就不用再管前一天的策略);4)最后大赛组委会公布真实数据,和我们预测的比较,得出盈亏。
    2011年10月21日 10:20

答案

  • For example, let's say you have to buy an Asian put option.

    The current price of the underlying is 98.
    The strike is 102.
    The period of valuation is from now till one year later.
    Let's assume the option premium is zero.

    After one year, let's say the underlying is worth 100. If this is a vanilla European put, your payoff is 102-100.
    However, the average price of the underlying during the year was, e.g., 95. In other words, the price was mostly very low before rising to 100. Your payoff in this case for the Asian put is 102-95.

    Conversely, if the underlying price stays very high before dropping to 100, such that the average price is 102 or more, then your payoff is zero.

    As you can see, the path that the underlying takes is important, not just the final price during expiration.

     






    2011年10月21日 14:27
    版主

全部回复

  • Bingo! 满分!

     

    Actually, 99分啦。因为买的是路径相关期权,一年之内基础资产的价格变动途径也需要预测考虑的。


    2011年10月21日 10:44
    版主
  • 不好意思,不太理解。

    预测一年之内基础资产的价格变动途径,是为了决定看涨期权和看跌期权的策略么?

    2011年10月21日 13:32
  • For example, let's say you have to buy an Asian put option.

    The current price of the underlying is 98.
    The strike is 102.
    The period of valuation is from now till one year later.
    Let's assume the option premium is zero.

    After one year, let's say the underlying is worth 100. If this is a vanilla European put, your payoff is 102-100.
    However, the average price of the underlying during the year was, e.g., 95. In other words, the price was mostly very low before rising to 100. Your payoff in this case for the Asian put is 102-95.

    Conversely, if the underlying price stays very high before dropping to 100, such that the average price is 102 or more, then your payoff is zero.

    As you can see, the path that the underlying takes is important, not just the final price during expiration.

     






    2011年10月21日 14:27
    版主
  • For example, let's say you have to buy an Asian put option.

    The current price of the underlying is 98.
    The strike is 102.
    The period of valuation is from now till one year later.
    Let's assume the option premium is zero.

    After one year, let's say the underlying is worth 100. If this is a vanilla European put, your payoff is 102-100.
    However, the average price of the underlying during the year was, e.g., 95. In other words, the price was mostly very low before rising to 100. Your payoff in this case for the Asian put is 102-95.

    Conversely, if the underlying price stays very high before dropping to 100, such that the average price is 102 or more, then your payoff is zero.

    As you can see, the path that the underlying takes is important, not just the final price during expiration.

     







    请教一下 以你的例子为例,推算得到一年后underlying的价值后就可以计算出payoff了,那fair value的作用是啥

    • 已编辑 Felix.Xu 2011年10月21日 15:08
    • 已建议为答案 editice 2011年10月21日 19:21
    2011年10月21日 15:05
  • In the example, 100 and 95 are not predicted values but actual price and average after one year.

     

    At T=0, you would need to consider possible price paths the underlying may take and the associated payoff from each path. The fair value is typically the expected value (期望值) from these payoffs.

     

    2011年10月21日 15:35
    版主
  • In the example, 100 and 95 are not predicted values but actual price and average after one year.

     

    At T=0, you would need to consider possible price paths the underlying may take and the associated payoff from each path. The fair value is typically the expected value (期望值) from these payoffs.

     

    那是贴现后的还是直接计算的payoff期望,还有无风险利率会提供吗

    • 已编辑 Felix.Xu 2011年10月21日 15:42
    2011年10月21日 15:39
  • 您好!首先不得不问一下您,为什么options premium 可以等于零?或者您的options premium指的是什么?

    2011年10月21日 19:07
  • options premium一般不会等于0的,他只是举个例子,options premium 是期权的价格,也就是获得这份权利所要付出的成本…
    • 已建议为答案 msisgt 2011年10月22日 1:35
    2011年10月22日 1:22
  • 哦这就对了!谢谢你!

    2011年10月22日 3:58
  • sampleinput.csv中的volumn一列在计算过程中看起来没有什么用。是这样么?
    2011年10月22日 6:14
  • 有些模型用得上吧。volume有时会影响价格波动性的。
    2011年10月22日 7:14