(100) (100) = 0 | 200 150= 50 | 300 150 = 150 | |
- | (100) (200)= 100 | 200 200 = 0 | 300 300 = 0 |
- | - - | - - |
̳ 㳿, - . - 150 . ( - ), 100 . ( ). 100 < 150, - . ̳ , .
, - 㳿 . 㳿
, .
-
0,5, 0,5.
㳿 :
0,5 (100) + 0,5 150 = 50 + 75 = 25
0,5 (200) + 0,5 300 = 100 +
+ 150 = 50
( 50 > 25).
: ,
ᒺ.
, -
,
-
. -
.
4. . , - - . , - , . , - : , . ( , , , - ).
.
r , -
, ,
0, u, Cd , u S i d S.
|
|
Cu = max〈 u ⋅ S − K,0〉,
Cd = max〈 d ⋅ S − K,0〉.
(7.24)
- - ∆ . - . - , .
u,
∆ ⋅ u ⋅ S + r ⋅ B = Cu.
d,
∆ ⋅ d ⋅ S + r ⋅ B = Cd.
(7.25)
(7.26)
∆ , :
∆ = Cu − Cd; (u − d) ⋅ r
(7.27)
B = u ⋅ Cd − d ⋅ Cu. (u − d) ⋅ r
, :
C = ∆ ⋅ S + B.
(7.28)
, - - u d ( S).
. 100 . ., 20 %. 120 . ., 90 . . - ,
110 . .?
:
Cu = max(120 − 110,0) = 10; Cd = max(90 − 110,0) = 0;
u = 120/100 = 1,2; d = 90/100 = 0,9;
∆ = (10 − 0)
(1,2 − 0,9) ⋅100
= 0,33;
1,2 ⋅0 −1,9 ⋅10
B = (1,2− 0,9)⋅(1+ 0,2) = −25;
= 0,33 ⋅100 − 25 = 8.
, -
.
, -
-
, .