速寫 Day27
來源：むっしゅ
今天一直下雨啊==
不然想去買公寓鹽酥雞配啤酒的
放縱DAY
結果今天也沒發生什麼大事。
最有趣的應該是LNG了
真的快笑死
今日日文單字：
- ～でも差（さ）し支（つか）えない／ありません ─ ~也沒關係
- もし差し支えないようでしたら ─ 如果沒什麼影響的話
- 用心（ようじん）するに越（こ）したことはない ─ 小心為上 (比小心更重要的事不存在)
- 安ければ安いに越したことはない ─ 能便宜當然便宜最好
- 数（かぞ）えればきりがない ─ 數也數不完
- Nを禁（きん）じ得ない ─ 不禁感到N
- Nを余儀（よぎ）なくされた ─ 不得不N
- Vる嫌（きら）いがある ─ 往不好的傾向
- 彼は考えすぎる嫌いがある ─ 最近想的總有點多
- 若者は協調性（きょうちょうせい）に欠（か）ける嫌いがある ─ 年輕人較為缺乏團隊精神
- Vる始末（しまつ）だ ─ 最終V了
稍微的筆記
ch37 Properties of Options
Formula
- \(C=Se^{-qt}N(d_1)-Ke^{-rt}N(d_2)\)
- \(P=Ke^{-rt}N(-d_2)-Se^{-qt}N(-d_1)\)
- An increase in the dividend (q), a lower risk-free interest rate, and a lower volatility of the price of the underlying stock will all decrease the value of a European call option.
- After a stock split, both stock price and the strike price will be adjusted, so the value of the option position will be the same.
Pricing Bounds:
- Upper bounds: \(c\leq S_0 \space and\space C\leq S_0\); \(p\leq PV(X)\space and \space P\leq X\)
- Lower bounds for European Calls on Non-Dividend-Paying Stocks: \(c\geq max(S_0-PV(X),0)\)
- Lower bounds for European Puts on Non-Dividend-Paying Stocks: \(p\geq max(PV(X)-S_0,0)\)
- Put-Call Parity: \(c-p=S_0-PV(X)\)
- Lower bounds for American Calls on Non-Dividend-Paying Stocks: \(C\geq c\geq max(S_0-PV(X),0)\)
- Lower bounds for American Puts on Non-Dividend-Paying Stocks: \(P\geq max(X-S_0,0)\)
- Put-Call Parity American version: \(S_0-X\leq C-P\leq S_0-PV(X)\)
Pricing Bounds with the impact of Dividends:
- \(c\geq max(S_0-D-PV(X),0)\)
- \(p\geq max(D+PV(X)-S_0,0)\)
- Put-Call Parity: \(p+S_0=c+D+PV(X)\)
- Put-Call Parity American version: \(S_0-X-D\leq C-P\leq S_0-PV(X)\)
NOTE:
- When the dividend is large enough, American calls might be optimally exercised early.
- Fiduciary call(信託買權): a combination of a pure-discount (zero coupon) riskless bond and a call.
- Protective put: a share of stock together with a put option.
ch38 Trading Strategies:
- Protective Put
- Covered Call: purchase of stock + sale of call.
- Principal protected notes (PPNs): are securities that are generated from one option.
- Bull/Bear spread
- Butterfly spread: involves purchase or sale of three different call options.
\(Long\space X_1\space and\space X_3,\space and\space Short\space Two \space X_2\)
- Butterfly spread: involves purchase or sale of three different call options.
- Calender Spreads: created by transacting in two options that have the same strike price but different expirations.
- Calender Spreads: created by transacting in two options that have the same strike price but different expirations.
- Diagonal Spreads: similar to a calendar spread, but a diagonal spread can have different strike prices.
- Box Spreads: a combination of a bull call spread and a bear put spread.
- Box Spreads: a combination of a bull call spread and a bear put spread.
- Straddle: purchasing a call and a put with the same strike price.
- Straddle: purchasing a call and a put with the same strike price.
- Strangle: similar to a straddle, except that the options purchased are slightly out-of-the-money. (different strike price.)
- Strangle: similar to a straddle, except that the options purchased are slightly out-of-the-money. (different strike price.)
- Strip: purchasing two puts and one call with the same strike price and expiration.
- Strap: purchasing two calls and one put with the same strike price and expiration.
- Strap: purchasing two calls and one put with the same strike price and expiration.
今日其他進度：
- 日文N1文法、N1題目
- FRM ebook ch37 38
- 一堆的動畫
我會繼續努力的。