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Aplicat ii privind evaluarea unor active nanciare

(note de seminar)
Aplicat ia 0.1 Sa se evalueze derivativele cu urmatoarele payo-uri:
1. (S
T
) = L I
S
T
K
, L, K 0;
2. (S
T
) = S
T
I
S
T
K
, K 0;
3. (S
T
) = S
n
T
I
S
T
K
, K 0;
4. (S
T
) = ln S
T
I
S
T
K
, K 0;
5. (S
T
) = (ln S
T
)
2
I
S
T
K
, K 0;
6. (S
T
) = (S
T
L)
n
I
S
T
K
, K 0;
7. (S
T
) = S
n
T
ln S
T
I
S
T
K
, K 0;
8. (S
T
) = S
n
T
(ln S
T
)
2
I
S
T
K
, K 0;
9. (S
T
0
, S
T
) = max
_
S
T
0
, S
t
_
; t T
0
T;
10. (S
T
) = L I
K
2
S
T
K
1
, K
2
K
1
.
Se stie ca, n raport cu probabilitatea neutra la risc, pret ul activului suport
evolueaza conform ecuat iei diferent iale stochastice:
dS
t
S
t
= r dt + dW
Q
t
,
unde W
Q
t
este miscare geometrica browniana standard.
Solut ia 0.2 Vom utiliza urmatoarea proprietate:
Pret ul unui derivativ nanciar cu payo-ul (S
T
) = g (S
T
) I
S
T
K
este
(S
t
) = e
r(Tt)

_
d
2

g (S
T
(z))
1

2
e

1
2
z
2
dz,
unde
S
T
(z) = S
t
e
(
r
1
2

2
)
(Tt)z

Tt
si z N (0, 1) .
1. g (S
T
(z)) = L :
(S
t
) = e
r(Tt)

_
d
2

L
1

2
e

1
2
z
2
dz
= e
r(Tt)
L
_
d
2

2
e

1
2
z
2
dz
e
r(Tt)
L N (d
2
) .
1
2. g (S
T
(z)) = S
T
:
(S
t
) = e
r(Tt)
S
t
e
(
r
1
2

2
)
(Tt)
_
d
2

e
z

Tt

2
e

1
2
z
2
dz.
_
d
2

e
z

Tt

2
e

1
2
z
2
dz =
_
d
2

2
e

1
2
(
z
2
+2z

Tt+
2
(Tt)
)
e
1
2

2
(Tt)
dz
= e
1
2

2
(Tt)

_
d
2
+

Tt

2
e

1
2
y
2
dy
= e
1
2

2
(Tt)
N (d
1
) .
(S
t
) = S
t
N (d
1
) .
Obs. Payo-ul unei opt iuni call obisnuite se poate scrie ca S
T
I
S
T
K

K I
S
T
K
. Combinand rezultatele anterioare se obt ine formula Black-Scholes
pentru pret ul opt iunii call.
3. g (S
T
(z)) = S
n
T
:
S
n
T
(z) = S
n
t
e
n
(
r
1
2

2
)
(Tt)nz

Tt
.
(S
t
) = e
r(Tt)
S
n
t
e
n
(
r
1
2

2
)
(Tt)

_
d
2

2
e

1
2
z
2
nz

Tt
dz.
_
d
2

2
e

1
2
z
2
nz

Tt
dz =
_
d
2

2
e

1
2
(
z
2
+2zn

Tt+
2
(Tt)
)
e
1
2
n
2

2
(Tt)
dz
= e
1
2
n
2

2
(Tt)

_
d
2
+n

Tt

2
e

1
2
y
2
dy
= e
1
2
n
2

2
(Tt)
N (h
n
) ,
h
n
= d
2
+ n

T t.
(S
t
) = e
r(Tt)
S
n
t
e
n
(
r
1
2

2
)
(Tt)
e
1
2
n
2

2
(Tt)
N (h
n
)
= S
n
t
e
(n1)
(
r+
n
2

2
)
(Tt)
N (h
n
) .
4. g (S
T
(z)) = ln S
T
:
ln S
T
(z) = ln S
t
+
_
r
1
2

2
_
(T t) z

T t.
2
(S
t
) = e
r(Tt)

_
d
2

_
ln S
t
+
_
r
1
2

2
_
(T t) z

T t
_
1

2
e

1
2
z
2
dz
= e
r(Tt)

_
ln S
t
+
_
r
1
2

2
_
(T t)
_

_
d
2

2
e

1
2
z
2
dz
e
r(Tt)

T t
_
d
2

z
1

2
e

1
2
z
2
dz.

_
d
2

z
1

2
e

1
2
z
2
dz =
_
d
2

_
1

2
e

1
2
z
2
_

dz
=
1

2
e

1
2
d
2
2
= n(d
2
) .
(S
t
) = e
r(Tt)

__
ln S
t
+
_
r
1
2

2
_
(T t)
_
N (d
2
) +

T t n(d
2
)
_
.
5. g (S
T
(z)) = (ln S
T
)
2
:
[ln S
T
(z)]
2
=
_
ln S
t
+
_
r
1
2

2
_
(T t) z

T t
_
2
= a
2
2a

T tz +
2
(T t) z
2
,
unde, pentru a nlesni scrierea am notat
a = ln S
t
+
_
r
1
2

2
_
(T t) .
(S
t
) = e
r(Tt)

_
d
2

_
a
2
2a

T tz +
2
(T t) z
2
_
1

2
e

1
2
z
2
dz
= e
r(Tt)
a
2

_
d
2

2
e

1
2
z
2
dz e
r(Tt)
2a

T t
_
d
2

z
1

2
e

1
2
z
2
dz
+e
r(Tt)

2
(T t)
_
d
2

z
2
1

2
e

1
2
z
2
dz.
_
d
2

z
2
1

2
e

1
2
z
2
dz =
_
d
2

z
_
z
1

2
e

1
2
z
2
_
dz
=
_
d
2

z
_

2
e

1
2
z
2
_

dz
= z
1

2
e

1
2
z
2

d
2

+
_
d
2

2
e

1
2
z
2
dz
= d
2
n(d
2
) + N (d
2
) .
3
(S
t
) = e
r(Tt)

_
a
2
N (d
2
) + 2a

T t n(d
2
) +
2
(T t) (d
2
n(d
2
) + N (d
2
))
_
= e
r(Tt)

_
_
a
2
+
2
(T t)

N (d
2
) +
_
2a

T t d
2

2
(T t)
_
n(d
2
)
_
.
Obs. Pentru K = 0 se obt ine pret ul derivativului cu payo-ul (S
T
) =
(ln S
T
)
2
:
(S
T
) = e
r(Tt)

_
a
2
+
2
(T t)

.
6. (S
T
L)
n
=

n
k=0
C
k
n
S
nk
T
L
k
:
(S
T
) =
n

k=0
C
k
n
L
k
_
S
nk
T
I
S
T
K
_
=
n

k=0
C
k
n
L
k

nk
(S
T
) ,
unde
nk
(S
T
) este derivativul cu payo-ul S
nk
T
I
S
T
K
.

nk
(S
t
) = S
nk
t
e
(nk1)
(
r+
nk
2

2
)
(Tt)
N (h
nk
) .
(S
t
) =
n

k=0
C
k
n
L
k

nk
(S
t
)
=
n

k=0
C
k
n
L
k
S
nk
t

nk
,

nk
= e
(nk1)
(
r+
nk
2

2
)
(Tt)
N (h
nk
) .
7. g (S
T
(z)) = S
n
T
ln S
T
:
S
n
T
(z) ln S
T
(z) = a S
n
T
(z) S
n
t
e
n
(
r
1
2

2
)
(Tt)

T t e
nz

Tt
z,
unde
a = ln S
t
+
_
r
1
2

2
_
(T t) .
(S
t
) = a S
n
t
e
(n1)
(
r+
n
2

2
)
(Tt)
N (h
n
)
S
n
t
e
n
(
r
1
2

2
)
(Tt)
e
r(Tt)

T t
_
d
2

z
1

2
e

1
2
z
2
nz

Tt
dz.
4
Din
_
e
nz

Tt
1
2
z
2
_

=
_
n

T t + z
_
e
nz

Tt
1
2
z
2
rezulta
_
d
2

z
1

2
e

1
2
z
2
nz

Tt
dz =
1

2
e
nz

Tt
1
2
z
2

d
2

T t e
1
2
n
2

2
(Tt)
N (h
n
)
= e
1
2
n
2

2
(Tt)
_
n(h
n
) n

T tN (h
n
)
_
.
(S
t
) = S
n
t
e
(n1)
(
r+
n
2

2
)
(Tt)
_ _
ln S
t
+
_
r
n+1
2

2
_
(T t)

N (h
n
)
+

T tn(h
n
)
_
.
Obs. Pentru n = 0 se obt ine rezultatul de la punctul 4.
8. (S
t
) = S
n
T
(ln S
T
)
2
:
g (S
T
(z)) = S
n
t
e
n
(
r
1
2

2
)
(Tt)
e
nz

Tt
_
a z

T t
_
2
= S
n
t
e
n
(
r
1
2

2
)
(Tt)
e
nz

Tt
_
a
2
2az

T t +
2
(T t)
_
.
(S
t
) = e
r(Tt)
S
n
t
e
n
(
r
1
2

2
)
(Tt)
_
d
2

_
a
2
2az

T t
+
2
(T t) z
2
_
e

1
2
z
2
nz

Tt

2
dz
= e
r(Tt)
S
n
t
e
n
(
r
1
2

2
)
(Tt)
_

_
a
2
_
d
2

1
2
z
2
nz

Tt

2
dz
2a

T t
_
d
2

z
e

1
2
z
2
nz

Tt

2
dz
+
2
(T t)
_
d
2

z
2 e

1
2
z
2
nz

Tt

2
dz
_

_
.
_
d
2

1
2
z
2
nz

Tt

2
dz = e
1
2
n
2

2
(Tt)
N (h
n
) .
_
d
2

z
e

1
2
z
2
nz

Tt

2
dz = e
1
2
n
2

2
(Tt)
_
n(h
n
) n

T tN (h
n
)
_
.
5
_
d
2

z
2
e

1
2
z
2
nz

Tt

2
dz = e
1
2
n
2

2
(Tt)
_
d
2

z
2
e

1
2
y
2

2
dz
= e
1
2
n
2

2
(Tt)
_
h
n

_
y n

T t
_
2
e

1
2
y
2

2
dy
= e
1
2
n
2

2
(Tt)
_
h
n

_
y
2
2yn

T t + n
2

2
(T t)
_
e

1
2
y
2

2
dy
= e
1
2
n
2

2
(Tt)
_
_
_
h
n

y
2 e

1
2
y
2

2
dy + 2n
_
h
n

y
e

1
2
y
2

2
dy
+n
2

2
(T t)
_
h
n

1
2
y
2

2
dy
_
_
= e
1
2
n
2

2
(Tt)
_
h
n
n(h
n
) + N (h
n
) + 2nn(h
n
)
+n
2

2
(T t) N (h
n
)
_
.
(S
t
) = S
n
t
e
(n1)
(
r
n
2

2
)
(Tt)

_
[a
2
+
2
(T t) (1 + n
2

2
(T t) 2an)] N (h
n
)
+
_
2a

T t +
2
(T t) (2n h
n
)

n(h
n
)
_
.
Obs. Pentru n = 0 se obt ine rezultatul de la punctul 5.
9. Varianta 1
(S
T
0
, S
T
) =
1
(S
T
0
, S
T
) +
2
(S
T
0
, S
T
) ,
unde

1
(S
T
0
, S
T
) = S
T
I
S
T
S
T
0
si
2
(S
T
0
, S
T
) = S
T
I
S
T
<S
T
0
.
S
T
(z) = S
t
e
(
r
1
2

2
)
(Tt)+(W
T
W
t
)
;
S
T
0
(z) = S
t
e
(
r
1
2

2
)
(Tt)+
(
W
T
0
W
t)
.
S
T
S
T
0
h z,
unde W
t
este miscarea browniana standard
h =
_
r
1
2

2
_
(T T
0
)

T T
0
si z =
W
T
W
T
0

T T
0
N (0, 1) .

1
(S
t
) = e
r(Tt)
E
Q
t
_
S
T
I
S
T
S
T
0

.
S
T
= S
t
e
(
r
1
2

2
)
(Tt)
e

(
W
T
W
T
0
)
e

(
W
T
0
W
t)
= S
t
e
(
r
1
2

2
)
(Tt)
e
z

TT
0
e

(
W
T
0
W
t)
.

1
(S
t
) = S
t
e

1
2

2
(Tt)
E
Q
t
_
e
z

TT
0
e

(
W
T
0
W
t)
I
hz
_
.
6
Din denit ia miscarii browniene standard, z si W
T
0
W
t
sunt independente,
ceea ce implica
E
Q
t
_
e
z

TT
0
e

(
W
T
0
W
t)
I
hz
_
= E
Q
t
_
e

(
W
T
0
W
t)
_
E
Q
t
_
e
z

TT
0
I
hz
_
= e
1
2

2
(T
0
t)
_
h

e
z

TT
0
1

2
e

1
2
z
2
dz
= e
1
2

2
(T
0
t)
e
1
2

2
(TT
0
)
N
_
h +
_
T T
0
_
= e
1
2

2
(Tt)
N
_
h +
_
T T
0
_
.

1
(S
t
) = S
t
N
_
h +
_
T T
0
_
.

2
(S
t
) = e
r(Tt)
E
Q
t
_
S
T
0
I
S
T
<S
T
0

= e
r(Tt)
E
Q
t
[S
T
0
I
h<z
]
= e
r(Tt)
E
Q
t
[S
T
0
(1 I
hz
)]

2
(S
t
) = e
r(TT
0
)
S
t
N (h) .
(S
t
) =
1
(S
t
) +
2
(S
t
)
= S
t
N
_
h +
_
T T
0
_
+ e
r(TT
0
)
S
t
N (h)
= S
t
_
N
_
h +
_
T T
0
_
+ e
r(TT
0
)
N (h)
_
.
Varianta 2
Derivativul care trebuie evaluat are acelasi payo cu un portofoliu , achizit ionat
la momentul T
0
, care da dreptul la momentul T la o suma de bani egala cu
S
T
0
si la payo-ul unei opt iuni call cu pret de exercit iu S
T
0
. Prin urmare,

T
0
= S
T
0
e
r(TT
0
)
+ S
T
0
N (d
1
) S
T
0
e
r(TT
0
)
N (d
2
) ,
d
1
=
r +
1
2

_
T T
0
= h +
_
T T
0
; d
2
=
r
1
2

_
T T
0
= h.

T
0
= S
T
0

_
N
_
h +
_
T T
0
_
+ e
r(TT
0
)
N (h)
_
.
(S
t
) = e
r(T
0
t)
E
Q
t
[
T
0
]
= S
t
_
N
_
h +
_
T T
0
_
+ e
r(TT
0
)
N (h)
_
.
7
10.
(S
t
) = e
r(Tt)
L E
Q
t
[I
K
2
S
T
K
1
]
= e
r(Tt)
L P (K
2
S
T
K
1
) .
K
2
S
T
K
1
d
1
(K
1
) z d
1
(K
2
) ; z N (0, 1) .
(S
t
) = e
r(Tt)
L [N (d
1
(K
2
)) N (d
1
(K
1
))] .
8