Fred D. Arditti - Derivatives: a comprehensive resource for options, futures, interest rate swaps, and mortgage securities
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Derivatives: a comprehensive resource for options, futures, interest rate swaps, and mortgage securities
Derivatives: a comprehensive resource for options, futures, interest rate swaps, and mortgage securities: summary, description and annotation
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This work discusses derivatives, covering all four major categories. It contains information on institutional procedure and market practice, explaining complicated subjects using numerical examples.
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Financial Management Association Survey and Synthesis Series
The Search for Value: Measuring the Company's Cost of Capital Michael C. Ehrhardt
Lease or Buy? Principles for Sound Decision Making James S.Schallheim
Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities Fred D. Arditti
Page iii
Derivatives
A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities
Fred D. Arditti
Page iv
Disclaimer: Some images in the original version of this book are not available for inclusion in the netLibrary eBook.
Copyright 1996 by the President and Fellows of Harvard College All rights reserved Printed in the United States of America
99 98 5 4
The paper used in this publication meets the requirements of the American National Standard for Permanence of Paper for Printed Library Materials Z39.49-1984.
Library of Congress Cataloging-in-Publication Data Arditti, Fred D. Derivatives : a comprehensive resource for options, futures, interest rate swaps, and mortgage securities / Fred D. Arditti. p. cm. (Financial Management Association survey and synthesis series) Includes bibliographical references and index. ISBN 0-87584-560-6 1. Derivative securitiesUnited States. I. Title. II. Series. HG6024.U6A73 1996 332.64'5dc20 95-31894 CIP
Text design by Wilson Graphics & Design (Kenneth J. Wilson)
Page v
To my mother and the memory of my father
Page vii
CONTENTS
Preface
xiii
Acknowledgments
xix
Part I Options
1
Chapter 1 Stock Option Basics
3
1.1 Definitions, Terminology, and Profit Profiles
3
1.2 Constructing the Return Profiles of more Complicated Positions
10
Chapter 2 The Institutional Environment for Stock Options
19
2.1 The Trade Process on an Exchange
19
2.2 Floor Traders, Order Types, and a Trading Rule
22
2.3 Collateralization of Trade Obligations
26
2.4 Clearing Over-the-Counter (OTC) Option Trades
29
Chapter 3 Stock Option Pricing
31
3.1 Option Pricing Results from Minimum Information
32
3.2 Other Distribution-Free Option Pricing Conditions
37
3.3 The Multiplicative Binomial Option Pricing Model
42
3.4 The Black-Scholes Model as a Limiting Case of the Binomial Model
56
3.5 The Merton Model for a European Call on a Stock Paying Dividends Continuously in Proportion to the Stock Price
58
3.6 Revisions to the Pricing Methodology Necessitated by Recent Empirical Evidence
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