金融工程股票价格和期权价格实验

收盘价13.2312.7212.7212.4812.0511.9512.2412.2212.0712.3312.0311.5210.8410.6510.7310.3710.5810.1810.5910.4811.3510.6310.7311.4711.6311.2310.8810.4610.3310.079.579.7910.1610.5910.3810.6110.8210.5710.639.6610.2810.9111.0110.8510.4811.2610.6910.4210.209.9510.1510.70Sk/S(k-1)-1平方-0.0388193810.00150690.0001532742.349E-08-0.0184310990.0003397-0.034806680.0012115-0.0082962656.883E-050.0239599410.0005741-0.0011412461.302E-06-0.0122999910.00015130.0214839120.0004616-0.0245308360.0006018-0.042058780.0017689-0.0589058570.0034699-0.0175703450.00030870.0067813474.599E-05-0.03301190.00108980.0203197380.0004129-0.0383082650.00146750.0403564740.0016286-0.0103855530.00010790.083447920.0069636-0.0637464450.00406360.0094787868.985E-050.0693765740.00481310.0139154130.0001936-0.0349047890.0012183-0.0305584010.0009338-0.0388473670.0015091-0.0120397960.000145-0.0259852790.0006752-0.048872650.00238850.0220545980.00048640.0379084470.00143710.0423456130.0017932-0.0195959630.0003840.0225720660.00050950.0194682310.000379-0.0229715180.00052770.0055922273.127E-05-0.091609390.00839230.0640339150.00410030.0617369090.00381140.0089380487.989E-05-0.0144620510.0002092-0.0337242650.00113730.074231960.0055104-0.0505306460.0025533-0.0249543410.0006227-0.021403250.0004581-0.0243241520.00059170.0201716510.00040690.0537714680.0028914-0.0317728560.0010095

E(U)-0.00424093s20.001425584s0.037756908u1.033515983e^/365)

d

0.958002167μ-0.00424093σ

0.037756908

U1nSkn1k1Sk1s21nS2n1k1nU2k1Sk1u1Ustt12tt12d1Utts1t12t2Ut2st210.3610.2510.529.849.669.589.93

-0.0108313690.026912301-0.064539989-0.018821468-0.0084611360.036538848平方和

0.00011730.00072430.00416540.00035427.159E-050.00133510.0823014

e^r1.05K9r0.04879e^(-r/365)0.999866338

q0.5579311911-q0.442068809

股票价初期

一期二期三期

9.519.118.739.42看涨期权ertdqud初期一期二期三期风险管理一期二期三期初期一期二期

0.570.230.000.42期权价/股价0.57/9.510.830.23/9.110.610.00/8.73拥有股票欠银行负债0.837.350.615.285.280.005.280.00√5.700.425.280.00√9.420.429.000.00√0.42/9.42正资产负资产

股票衍生品银行三期

总计

是否完成风险对冲

股票价格9.9310.269.8310.6010.1610.96涨期权价格0.951.260.831.611.161.960.95/9.930.931.26/10.261.000.83/9.831.61/4.801.001.001.16/10.161.96/10.960.938.271.009.001.001.009.009.0010.1610.1610.961.161.161.969.009.009.000.000.000.00√√√在最后一期：X>S时，看涨期权价格为零(不购买)；X