Put Option and Risk Level of Asset

时间:2022-06-22         阅读:

光华讲坛——社会名流与企业家论坛第6186

主题Put Option and Risk Level of Asset

主讲人:西安交通大学金禾经济研究中心 张国平教授

主持人:新葡亰8883ent经济学院 柳春

时间62415:00-16:30

举办地点:腾讯会议,会议ID465127852

主办单位:经济学院

主讲人简介

张国平教授为美国宾夕法尼亚大学(University of Pennsylvania)沃顿商学院博士,台湾知名学者。专长于金融财务、生产理论、微观经济学的研究。已发表十余篇论文于著名的国际学术期刊(Management ScienceEuropean Journal of Operational ResearchComputers & Operations ResearchJournal of Productivity AnalysisJournal of Regulatory Economics等),出版四本财务金融学与微观经济学专著,拥有十余年公司企业经验,担任北京大学、西安交大、上海大学、日本筑波大学等大学客座教授。曾任台湾清华大学计量财务金融学系系主任、经济系系主任、台湾清华大学总务长。

内容简介

This paper defines an asset’s risk as the likelihood that the asset can deliver at least a specific rate of return. Every asset which provides uncertain payoff has a corresponding put-call parity. The paper uses put option to construct the p-index to measure risk levels (likelihoods) of asset’s providing various rates of return, i.e., risk structure of asset. It shows that in the binomial case with up move and down move, (1) assets having lower down move have higher p-index, i.e., higher risk; (2) all call options have the same p-index, i.e., the same risk level, and all put options have the same p-index; and (3) underlying asset may be riskier than its put option and may have the same risk level as its call option. The trinomial example shows that the ranking of risk levels of assets’ providing different rates of returns could reverse. In the Black-Scholes-Merton model, assets having higher volatility have higher risk.

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