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A Logical Approach to Actuarial Mathematics_2

Tham khảo tài liệu 'a logical approach to actuarial mathematics_2', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 30 Part 1 Options fundamentals a 55 X 60 360 X 0.05 0.46 interest added to call price b 0.35 dividend subtracted from call price c 0.46 - 0.35 0.11 total added to call price Note that the price of the stock is not a factor in this calculation. In fact DuPont was trading at 57 at the time of this example. There is a difference of opinion however. Some traders think that the current price of the stock is a more accurate basis from which to calculate the interest rate component of the option. Practically speaking the difference between these two methods is not significant unless the options are far out-of-the-money with many days until expiration. Again an options model accounts for this. More important would be a change in the dividend or the interest rate until expiration. Also note that unless special circumstances occur with respect to dividends and interest rates these pricing components are far less significant than the volatility component. Puts on stocks have the opposite pricing characteristics to calls with respect to cost of carry and dividends. Purchased calls and puts on stocks are paid for in cash up-front on most exchanges. Sold or short options however are margined because short calls incur potentially unlimited risk and short puts incur extreme risk. Options on stock indexes A stock index is a proxy for all the stocks that comprise it. Calls and puts on a stock index are priced according to the cost of carry of the index and the amount of dividends contained in the index. The costs of carry and dividends are added and discounted in the same manner as options on individual stocks. These options are also paid for in cash. Long and short options positions In practice once a call or put is bought it is considered to be a long options position. I m long 10 June 550 puts you might say. Conversely a call or put sold is considered to be a short options position. I m too short for my own good means that you have sold too many calls or puts or both for your .