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<li class="toctree-l1"><a class="reference internal" href="system%20settings.html">第0章 与定价相关的系统全局设置</a></li>
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<li class="toctree-l1"><a class="reference internal" href="european.html">第1章 欧式期权</a></li>
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<li class="toctree-l1 current"><a class="current reference internal" href="#">第2章 美式期权</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#id3">2.1 收益结构</a></li>
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<li class="toctree-l2"><a class="reference internal" href="#id4">2.2 美式期权定价</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id5">2.2.1 美式期权示例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id6">2.2.2 条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id8">2.2.3 系统定价结果及其说明</a></li>
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<li class="toctree-l2"><a class="reference internal" href="#id9">2.3 本案例的定价参数对应到定价公式</a></li>
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<li class="toctree-l1"><a class="reference internal" href="asian.html">第3章 亚式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="binary.html">第4章 二元期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="barrier.html">第5章 障碍期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="snowball.html">第6章 雪球期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="phoenix.html">第7章 凤凰期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="airbag.html">第8章 气囊结构</a></li>
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<li class="toctree-l1"><a class="reference internal" href="shuangsha.html">第9章 双鲨期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="rangeaccrual.html">第10章 区间累积期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="greeks.html">附录1:希腊值</a></li>
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<li class="toctree-l1"><a class="reference internal" href="model.html">附录2:期权定价方法概述</a></li>
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<li><a href="index.html" class="icon icon-home"></a> »</li>
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<li>第2章 美式期权</li>
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<section id="id1">
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<h1>第2章 美式期权<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
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<p>美式期权是指可以在成交后有效期内任何一天被执行的期权。期权持有者在到期日或到期日前执行购买（如果是看涨期权）或出售（如果是看跌期权）标的资产的权利。</p>
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<tbody>
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<tr class="row-odd"><td><p>定价模型</p></td>
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<td><p>BAW模型(可参考文献 <a class="footnote-reference brackets" href="#f1" id="id2">1</a> Chapter3.1);二叉树模型；蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>BAW或二叉树模型，定价前可在【系统管理->系统参数->定价参数】中自行选择设置</p></td>
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</tr>
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</tbody>
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<section id="id3">
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<h2>2.1 收益结构<a class="headerlink" href="#id3" title="Permalink to this headline"></a></h2>
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<p><strong>美式看涨期权</strong></p>
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<img alt="_images/欧式看涨z.png" class="align-center" src="_images/欧式看涨z.png" />
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<p><strong>美式看跌期权</strong></p>
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<img alt="_images/欧式看跌d.png" class="align-center" src="_images/欧式看跌d.png" />
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</section>
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<section id="id4">
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<h2>2.2 美式期权定价<a class="headerlink" href="#id4" title="Permalink to this headline"></a></h2>
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<section id="id5">
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<h3>2.2.1 美式期权示例<a class="headerlink" href="#id5" title="Permalink to this headline"></a></h3>
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<table class="docutils align-default">
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<tr class="row-odd"><td><p>标的资产</p></td>
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<td><p>000001.SZ</p></td>
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</tr>
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<tr class="row-even"><td><p>期初价格</p></td>
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<td><p>18.170000</p></td>
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</tr>
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<tr class="row-odd"><td><p>执行价格</p></td>
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<td><p>20</p></td>
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</tr>
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<tr class="row-even"><td><p>起始日</p></td>
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<td><p>2021/1/5</p></td>
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</tr>
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<tr class="row-odd"><td><p>到期日</p></td>
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<td><p>2021/7/2</p></td>
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</tr>
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<tr class="row-even"><td><p>名义金额</p></td>
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<td><p>1000000</p></td>
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</tr>
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<tr class="row-odd"><td><p>期权类型</p></td>
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<td><p>美式看涨</p></td>
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</tr>
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<tr class="row-even"><td><p>交易方向</p></td>
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<td><p>公司卖出</p></td>
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</tr>
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</tbody>
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</section>
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<section id="id6">
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<h3>2.2.2 条款录入<a class="headerlink" href="#id6" title="Permalink to this headline"></a></h3>
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<p><strong>定价路径：报价管理->期权定价->新增单腿->香草期权</strong></p>
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<p><strong>按上述路径进入定价页面,点击如下*绿色*椭圆所圈标志,进入完整的定价页面</strong></p>
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<img alt="_images/fuchuang.jpg" class="align-left" src="_images/fuchuang.jpg" />
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<div class="line"><br /></div>
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<div class="admonition note">
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<p class="admonition-title">Note</p>
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<ol class="arabic simple">
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<li><p>本次定价案例中我们采用一年按 244 个交易日计算的交易日规则,具体设置请参考 <a class="reference internal" href="system%20settings.html#my-reference-label1"><span class="std std-ref">0.1 定价参数</span></a>.</p></li>
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<li><p>系统结构条款录入请按以下表格对应的字段进行填写,并注意备注中的相关说明。 <strong>本表中未说明的字段,则是试定价非必要字段或无须修改的字段,具体请参考</strong> <a class="reference internal" href="system%20settings.html#my-reference-label2"><span class="std std-ref">0.2 公共定价字段</span></a>.</p></li>
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<col style="width: 82%" />
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<tr class="row-odd"><th class="head"><p>系统字段</p></th>
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<th class="head"><p>录入内容</p></th>
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<th class="head"><p>备注</p></th>
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</tr>
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</thead>
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<tbody>
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<tr class="row-even"><td><p>期权类型</p></td>
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<td><p>香草期权</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>标的代码</p></td>
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<td><p>000001.SZ平安银行</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>交易方向</p></td>
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<td><p>公司卖出</p></td>
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<td><p>买入时计算得到的期权 PV 为期权的净现值,如果选择“公司卖出”,那么计算得到的 PV 是负的期权净现值。</p></td>
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</tr>
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<tr class="row-odd"><td><p>行权方式</p></td>
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<td><p>美式</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>看涨看跌</p></td>
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<td><p>看涨</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>交易日期</p></td>
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<td><p>2021/1/5</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>定价日期</p></td>
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<td><p>2021/1/5</p></td>
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<td><p>本案例为期初定价,定价日期同交易日期；若期中定价,则根据需求自行设置定价日期。</p></td>
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</tr>
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<tr class="row-odd"><td><p>到期日期</p></td>
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<td><p>2021/7/2</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>结算日期</p></td>
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<td><p>2021/7/2</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>期初标的价格</p></td>
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<td><p>18.170000</p></td>
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<td><p>当交易日期是已过去的某一天,期初标的价格将自动填入那天收盘价；否则期初标的价格默认填入当天的实时价格；可实时刷新；可手动填入或修改</p></td>
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</tr>
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<tr class="row-even"><td><p>标的价格</p></td>
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<td><p>18.170000</p></td>
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<td><p>是定价日所对应的标的价格,当定价日期是已过去的某一天,标的价格将自动填入那天收盘价；否则标的价格默认填入当天的实时价格；可实时刷新；可手动填入或修改</p></td>
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</tr>
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<tr class="row-odd"><td><p>执行价格</p></td>
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<td><p>20</p></td>
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<td><p>有百分比（%）和数值（￥）两种形态可填,此处是数值（￥）形态</p></td>
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</tr>
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<tr class="row-even"><td><p>权利金</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>参与率</p></td>
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<td><p>100%</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>保底收益</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>保底收益总额</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>成交数量</p></td>
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<td><p>55035.7733股</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>有效成交数量</p></td>
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<td><p>55035.7733股</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>名义本金</p></td>
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<td><p>1000000</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>有效名义本金</p></td>
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<td><p>1000000</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>成交金额</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>收益结算</p></td>
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<td><p>收盘价</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>成交波动率</p></td>
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<td><p>30%</p></td>
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<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
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</tr>
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<tr class="row-odd"><td><p>目标波动率</p></td>
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<td><p>30%</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>平滑过渡天数</p></td>
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<td><p>122</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>无风险利率</p></td>
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<td><p>3%</p></td>
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<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
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</tr>
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<tr class="row-even"><td><p>分红率</p></td>
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<td><p>10%</p></td>
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<td><p>这是一个定价参数,可以按需修改,测试定价结果。标的资产为期货时,定价页面中不显示此字段,无需填写。标的资产为期货时无风险利率=分红率,具体请参考文献 <a class="footnote-reference brackets" href="#f1" id="id7">1</a> P8公式。</p></td>
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</tr>
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<tr class="row-odd"><td><p>TTM(Days)</p></td>
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<td><p>122</p></td>
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<td><p>定价日到到期日的之间的交易日天数（包含期初和期末）</p></td>
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</tr>
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<tr class="row-even"><td><p>是否年化</p></td>
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<td><p>否</p></td>
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<td><p>如果选“是”,则生成相应的年化系数,从而影响“有效名义本金”等字段的数值显示,具体请参考 <a class="reference internal" href="system%20settings.html#my-reference-label2"><span class="std std-ref">0.2 公共定价字段</span></a></p></td>
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</tr>
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<tr class="row-odd"><td><p>年化系数</p></td>
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<td></td>
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<td><p>交易日至到期日的所有天数（包括交易日和到期日当天）/年化天数</p></td>
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</tr>
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<tr class="row-even"><td><p>预付金模板</p></td>
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<td><p>系统默认</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>定价模型</p></td>
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<td><p>解析解（默认）</p></td>
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<td><p>系统默认BAW模型,在“系统管理”->“系统参数”->“定价参数”页面可切换成“二叉树”</p></td>
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</tr>
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</tbody>
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</table>
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</section>
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<section id="id8">
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<h3>2.2.3 系统定价结果及其说明<a class="headerlink" href="#id8" title="Permalink to this headline"></a></h3>
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<table class="docutils align-default">
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<colgroup>
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<col style="width: 17%" />
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<col style="width: 25%" />
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<thead>
|
||
<tr class="row-odd"><th class="head"><p>指标</p></th>
|
||
<th class="head"><p>系统定价结果</p></th>
|
||
<th class="head"><p>系统定价及结果的含义</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>PV</p></td>
|
||
<td><p>-37155.26</p></td>
|
||
<td><p>期权的净现值(组合单价*成交数量)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Delta</p></td>
|
||
<td><p>-168.0878</p></td>
|
||
<td><p><strong>每报价单位Delta*手数</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>Gamma</p></td>
|
||
<td><p>-50.9064</p></td>
|
||
<td><p><strong>每报价单位Gamma*手数</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Vega</p></td>
|
||
<td><p>-2411.4059</p></td>
|
||
<td><p>每报价单位Vega*交易份额</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>Theta</p></td>
|
||
<td><p>277.4467</p></td>
|
||
<td><p>每报价单位Theta*交易份额</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Rho</p></td>
|
||
<td><p>-1079.5026</p></td>
|
||
<td><p>每报价单位Rho*交易份额*100</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>有关系统中希腊值的说明,详情请参考 <a class="reference internal" href="greeks.html#my-reference-label3"><span class="std std-ref">附录1:希腊值</span></a></p>
|
||
</div>
|
||
</section>
|
||
</section>
|
||
<section id="id9">
|
||
<h2>2.3 本案例的定价参数对应到定价公式<a class="headerlink" href="#id9" title="Permalink to this headline"></a></h2>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 21%" />
|
||
<col style="width: 79%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>系统定价字段</p></th>
|
||
<th class="head"><p>对应到公式</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>期初标的价格=18.17</p></td>
|
||
<td><p>S=18.17</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格=20</p></td>
|
||
<td><p>X=20</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>TTM(Days)=122</p></td>
|
||
<td><p><strong>T=122/244, 系统年交易天数为244,具体设置请参考</strong> <a class="reference internal" href="system%20settings.html#my-reference-label1"><span class="std std-ref">0.1 定价参数</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>无风险利率=3%</p></td>
|
||
<td><p>r=3%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>分红率=10%</p></td>
|
||
<td><p>q=10%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>波动率=30%</p></td>
|
||
<td><p>σ=30%</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<p class="rubric"><em>参考文献</em></p>
|
||
<dl class="footnote brackets">
|
||
<dt class="label" id="f1"><span class="brackets">1</span><span class="fn-backref">(<a href="#id2">1</a>,<a href="#id7">2</a>)</span></dt>
|
||
<dd><p>Haug, Espen Gaarder. The complete guide to option pricing formulas. McGraw-Hill Companies, Second Edition</p>
|
||
</dd>
|
||
</dl>
|
||
</section>
|
||
</section>
|
||
|
||
|
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