Ch13_TheGreekLetters(金融工程学,华东师大)

Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©2003,ShanghaiNormalUniversity13.1TheGreekLettersChapter13Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©2003,ShanghaiNormalUniversity13.2Example•AFIhasSOLDfor$300,000aEuropeancallon100,000sharesofanon-dividendpayingstock:S0=49X=50r=5%=20%=13%T=20weeks•TheBlack-Scholesvalueoftheoption...