期权与金融期货:估值与应用

Options and Financial Futures: Valuation and Uses.

Journal of Finance · 1993
被引 42
人大 A+FT50UTD24ABS 4*

中文导读

介绍期权和金融期货的定价模型(如二叉树、Black-Scholes)、套利限制、对冲策略,以及股票指数、外汇、利率等衍生品的应用,适合学习衍生品定价和风险管理的读者。

Abstract

Introduction to options profit diagrams arbitrage restrictions on option prices put-call parity binomial option pricing model the Black-Scholes option pricing model the importance of delta stock index options other options and applications introduction to financial futures financial futures pricing theory - the cost of carry model hedging with futures contracts stock index futures debt instruments - prices, yields and risk short term interest rate futures treasury bill and eurodollar futures foreign exchange futures futures options, debt options, foreign exchange options and swaps.

期权定价期货定价套期保值金融衍生品