Aplicaţii privind evaluarea unor active …nanciare

(note de seminar)

Gabriel Bobeic¼
a
Aplicaţia 0.1 S¼a se evalueze derivativele cu urm¼atoarele payo¤ -uri:

1. (ST ) = L IST >K ; L; K > 0;

2. (ST ) = ST IST >K ; K > 0;
3. (ST ) = STn IST >K ; K > 0;
4. (ST ) = ln ST IST >K ; K > 0;
5. (ST ) = (ln ST )2 IST >K ; K > 0;
6. (ST ) = (ST L)n IST >K ; K > 0;
7. (ST ) = STn ln ST IST >K ; K > 0;
8. (ST ) = STn (ln ST )2 IST >K ; K > 0;
9. (ST0 ; ST ) = max ST0 ; St ; t 6 T0 6 T ;
10. (ST ) = L IK2 >ST >K1 ; K2 > K1 :

Se ştie c¼a, în raport cu probabilitatea neutr¼a la risc, preţul activului suport

evolueaz¼a conform ecuaţiei diferenţiale stochastice:
dSt
= r dt + dWtQ ;
St
unde WtQ este mişcare geometric¼a brownian¼a standard.

Soluţia 0.2 Vom utiliza urm¼atoarea proprietate:

Preţul unui derivativ …nanciar cu payo¤-ul (ST ) = g (ST ) IST >K este
Z d2
r(T t) 1 1 2
(St ) = e g (ST (z)) p e 2 z dz;
1 2
unde 1
p
ST (z) = St e(r )(T
2 t) z T t
2 şi z N (0; 1) :

1. g (ST (z)) = L :
Z d2
r(T t) 1 1 2
z
(St ) = e L p e 2 dz
1 2
Z d2
r(T t) 1 1 2
z
= e L p e 2 dz
1 2
r(T t)
e L N (d2 ) :

1
2. g (ST (z)) = ST :
Z d2 p
1 1
e(r )(T
2 t) 1 2
r(T t) z T t z
(St ) = e St 2 e p e 2 dz:
1 2

Z d2 p
Z d2 p
z T t 1 1 2
z 1 1
(z2 +2z T t+ 2 (T t)) 1 2 (T t)
e p e 2 dz = p e 2 e2 dz
1 2 1 2
Z d2 +
p
T t
1 2 (T t) 1 1 2
y
= e 2 p e 2 dy
1 2
1 2 (T t)
= e2 N (d1 ) :

(St ) = St N (d1 ) :

Obs. Payo¤-ul unei opţiuni call obişnuite se poate scrie ca ST IST >K K
IST >K . Combinând rezultatele anterioare se obţine formula Black-Scholes
pentru preţul opţiunii call.

3. g (ST (z)) = STn :

1
p
STn (z) = Stn en(r )(T
2 t) n z T t
2 :
Z d2 p
r(T t) n(r 1 2
)(T t) 1 1 2
(St ) = e Stn e 2 p e 2
z n z T t
dz:
1 2
Z d2 p
Z d2 p
1 1 2
z n z T t 1 1
(z2 +2zn T t+ 2 (T t)) 1 2 2 (T
p e 2 dz = p e 2 e2n t)
dz
1 2 1 2
Z d2 +n
p
T t
1 2 2
n (T t) 1 1 2
y
= e 2 p e 2 dy
1 2
1 2 2
= e 2 n (T t) N (hn ) ;
p
hn = d2 + n T t:

1 2
Stn en(r 2 )(T t) e 2 n
1 2 2 (T
r(T t) t)
(St ) = e N (hn )
1)(r+ n )
2 (T t)
= Stn e(n 2 N (hn ) :

4. g (ST (z)) = ln ST :

1 2
p
ln ST (z) = ln St + r (T t) z T t:
2

2
 Z d2
r(T t) 1 2
p 1 1 2
z
(St ) = e ln St + r (T t) z T t p e 2 dz
1 2 2
Z d2
r(T t) 1 2 1 1 2
z
= e ln St + r (T t) p e 2 dz
2 1 2
Z d2
r(T t)
p 1 1 2
z
e T t zp e 2 dz:
1 2
Z d2 Z d2 0
1 1 2
z 1 1 2
z
zp e 2 dz = p e 2 dz
1 2 1 2
1 1 2
d
= p e 2 2 = n (d2 ) :
2
r(T t) 1 2
p
(St ) = e ln St + r (T t) N (d2 ) + T t n (d2 ) :
2
5. g (ST (z)) = (ln ST )2 :
p 2
2 1 2
[ln ST (z)] = ln St + r (T t) z T t
2
p
= a2 2a T tz + 2
(T t) z 2 ;

unde, pentru a înlesni scrierea am notat

1 2
a = ln St + r (T t) :
2
Z d2 h i 1
r(T t)
p 1 2
(St ) = e a2 2a T tz + 2
(T t) z 2 p e 2 z dz
1 2
Z d2 Z d2
r(T t) 2 1 1 2
z r(T t)
p 1 1 2
z
= e a p e 2 dz e 2a T t zp e 2 dz
1 2 1 2
Z d2
r(T t) 2 1 1 2
+e (T t) z2 p e 2
z
dz:
1 2
Z d2 Z d2
12 1 2
z 1 1 2
z p e 2 dz = z zp e 2 z dz
1 2 1 2
Z d2 0
1 1 2
z
= z p e 2 dz
1 2
d2 Z d2
1 1 2
z 1 1 2
z
= zp e 2 + p e 2 dz
2 1 1 2
= d2 n (d2 ) + N (d2 ) :

3
 h p i
r(T t)
(St ) = e a2 N (d2 ) + 2a T t n (d2 ) + 2 (T t) ( d2 n (d2 ) + N (d2 ))
n h p i o
r(T t) 2 2 2
= e a + (T t) N (d2 ) + 2a T t d2 (T t) n (d2 ) :

Obs. Pentru K = 0 se obţine preţul derivativului cu payo¤-ul (ST ) =

(ln ST )2 :
(ST ) = e r(T t) a2 + 2 (T t) :
Pn
6. (ST L)n = k=0 Cnk STn k Lk :

X
n
(ST ) = Cnk Lk STn k IST >K
k=0
X
n
= Cnk Lk n k (ST ) ;
k=0

unde n k (ST ) este derivativul cu payo¤-ul STn k IST >K :

k 1)(r+ n 2 k 2
)(T
n k (St ) = Stn k
e(n t)
N (hn k ) :

X
n
(St ) = Cnk Lk n k (St )
k=0
X
n
= Cnk Lk Stn k
n k;
k=0
k 1)(r+ n 2 k 2
)(T
n k = e(n t)
N (hn k ) :

7. g (ST (z)) = STn ln ST :

1 p p
Stn en(r )(T
2 t)
STn (z) ln ST (z) = a STn (z) 2 T t e n z T t
z;

unde
1 2
a = ln St + r (T t) :
2

1)(r+ n 2
)(T
(St ) = a Stn e(n 2
t)
N (hn )
Z d2
n(r 1 2
)(T t)
p 1 1 2
p
Stn e 2 e r(T t)
T t z p e 2
z n z T t
dz:
1 2

4
 Din p 0 p p
1 2 1 2
n z T t z n z T t z
e 2 = n T t+z e 2

rezult¼a
Z d2 p p 2 d
1 1 2
z n z T t 1 1 2
z p e 2 dz = p e n z T t 2z
1 2 2 1
p 1 2 2
n (T t)
n T t e2 N (hn )
1 2 2
h p i
= e 2 n (T t) n (hn ) n T tN (hn ) :

n+1 2
1)(r+ n 2
)(T ln St + r p (T t) N (hn )
(St ) = Stn e(n 2
t) 2 :
+ T tn (hn )

Obs. Pentru n = 0 se obţine rezultatul de la punctul 4.

8. (St ) = STn (ln ST )2 :

1 p p 2
g (ST (z)) = Stn en(r )(T
2 t) n z T t
2 e a z T t
1 p h p i
n(r 2
)(T t)
= Stn e 2 e n z T t 2
a 2a z T t + 2
(T t) :

Z d2 p 1 2
p
r(T t) n(r 1 2
)(T t) a2 2a z T t e 2 z n z T t
(St ) = e Stn e 2 p dz
1 + 2 (T t) z 2 2
2 R d2 e 12 z2 n zpT t 3
a2 1 p
2
dz
1 6 p R d2 e 21 z2 n zpT t 7
Stn en(r )(T
2
= e r(T t) 2
t) 6 2a T t 1 z p dz 7:
4 2 p 5
2
R d2 2 e 12 z2 n z T t
+ (T t) 1 z p
2
dz
Z d2 1 2
z
p
n z T t
e 2 1 2 2 (T
p dz = e 2 n t)
N (hn ) :
1 2
Z d2 1 2
p
h i
e 2
z n z T t
1 2 2 (T p
z p dz = e2n t)
n (hn ) n T tN (hn ) :
1 2

5
 Z d2 1 2
z
p
n z T t Z d2 1 2
y
2e 2e
2 1 2 2 2
n (T t)
z p dz = e 2 z p dz
1 2 1 2
Z hn 1 2
1 2 2
n (T t)
p 2 e 2y
= e 2 y n T t p dy
1 2
Z hn h i e 21 y2
1 2 2
n (T t) 2
p 2 2
= e 2 y 2yn T t + n (T t) p dy
1 2
2 R 1 2 R hn 1 y2
3
hn 2 e 2 y
1 2 2 (T t) 4
y p2 dy + 2n y ep22 dy
= e2n 1 1
R hn e 12 y2 5
+n2 2 (T t) 1 p
2
dy
1 2 2 (T hn n (hn ) + N (hn ) + 2n n (hn )
= e2n t)
:
+n2 2 (T t) N (hn )

1)(r n 2
)(T [a2 + 2 p
(T t) (1 + n2 2
(T t) 2an)] N (hn )
(St ) = Stn e(n 2
t)
:
+ 2a T t + 2 (T t) (2n hn ) n (hn )

Obs. Pentru n = 0 se obţine rezultatul de la punctul 5.

9. Varianta 1
(ST0 ; ST ) = 1 (ST0 ; ST ) + 2 (ST0 ; ST ) ;
unde
1 (ST0 ; ST ) = ST IST >ST0 şi 2 (ST0 ; ST ) = ST IST <ST0 :

1
ST (z) = St e(r )(T
2 t)+ (WT Wt )
2 ;
1
S (z) = S e(r )(T t)+ (WT0 Wt )
2
T0 t 2 :

ST > ST0 () h > z;

unde Wt este mişcarea brownian¼a standard

1 2
r 2
(T T0 ) WT WT0
h= p şi z = p N (0; 1) :
T T0 T T0

1 (St ) = e r(T t)
EtQ ST IST >ST0 :

1
ST = St e(r )(T e (WT W T0 )
e (WT0 Wt )
2 t)
2

1 p
= S e(r )(T e (WT0 Wt ) :
2 t) z T T0
t 2 e
h p i
e (WT0 Wt )
1 2 (T
1 (St ) = St e 2
t)
EtQ e z T T0
Ih>z :

6
Din de…niţia mişc¼arii browniene standard, z şi WT0 Wt sunt independente,
ceea ce implic¼a
h p i h i h p i
EtQ e z T T0 e (WT0 Wt ) Ih>z = EtQ e (WT0 Wt ) EtQ e z T T0 Ih>z
Z h p
1 2
(T0 t) 1 1 2
= e 2 e z T T0 p e 2 z dz
1 2
1 2 1 2 p
= e 2 (T0 t) e 2 (T T0 ) N h + T T0
1 2 p
= e 2 (T t) N h + T T0 :
p
1 (St ) = St N h + T T0 :

2 (St ) = e r(T t)
EtQ ST0 IST <ST0
= e r(T t)
EtQ [ST0 Ih<z ]
r(T t) Q
= e Et [ST0 (1 Ih>z )]
r(T T0 )
2 (St ) = e St N ( h) :

(St ) = 1 (St ) +
(St ) 2
p
r(T T0 )
= St N h + T T0 + e St N ( h)
h p i
r(T T0 )
= St N h + T T0 + e N ( h) :

Varianta 2
Derivativul care trebuie evaluat are acelaşi payo¤ cu un portofoliu , achiz-
iţionat la momentul T0 , care d¼a dreptul la momentul T la o sum¼a de bani
egal¼a cu ST0 şi la payo¤-ul unei opţiuni call cu preţ de exerciţiu ST0 . Prin
urmare,

T0 = ST0 e r(T T0 ) + ST0 N (d1 ) ST0 e r(T T0 ) N (d2 ) ;

r + 21 2 p p r 12 2 p
d1 = T T0 = h + T T0 ; d2 = T T0 = h:
h p i
r(T T0 )
T0 = ST0 N h+ T T0 + e N ( h) :

(St ) = e EtQ [ T0 ]
r(T0 t)
ph i
r(T T0 )
= St N h + T T0 + e N ( h) :

7
10.

(St ) = e r(T t)
L EtQ [IK2 >ST >K1 ]
= e r(T t)
L P (K2 > ST > K1 ) :

K2 > ST > K1 () d1 (K1 ) 6 z 6 d1 (K2 ) ; z N (0; 1) :

r(T t)
(St ) = e L [N ( d1 (K2 )) N ( d1 (K1 ))] :

8
 cd Ntd") esk pL.L;l;Llea La srz k
p.ezrlld
athvut L'6
c d e e x er i A u ) , , A n l t " ) . : c c ( t u , m e ( v r
ca-letle gi' tsr lls7z
rr.c- P] c, K1 , ac {
avankJDs 3,i ^rk^ ltcceA o f',aLaL,'l,'Lk
/ - =|\

a . T E o a L 5 ,ll ^'='KJ = t J E+, ' I l ,l =,il

r 7'

fora S,
7n,furu)o
I

de La 17, d acd lua* x = a r tl"1r>,

. k
t I / l . r = K = r Z =t 1
" l - bc a { 2 :
ta nornerq/',ft'z*-ll-d
Deo^aCe c.t-fart Lc,r'unihq
'a te etk 'no rlugal
e-'o F = ps ', ,lr-b
l {-+,a de *
5. 4t= ls lL+cJ*ts
)

srS'
'4[5/ \
=
/n
\
tJ" + cz)
_
/
. ,l+ _ c ./ws
/ "
n
r D \
r;)
rt r'u P: +b cG fJs=r*01
p{ La g mar-hngaln rz"7,o

1 d " s= ( r u o ) d { + { ) * 3
'^

r dL + o /-Q

-3-
'fircerta
,le Lo 5 lo Q :
("ns) , l +* g . 1 w s =r ' d l * C . J * Q

- r ^ n \ Ql rla rtot/ ( t 5 )
KeZ)^l+ a d
p
n l
!,r)=--C m l-hn
n L rl 1
.1 ^ r l L I S
- z-4 -o| "ciz),tJ
- , - eofL Jo-V dWu
t

ZL=e{-p(-c.*+t - X q1 L)
pQ= p:
"r
s ,llns=(r+ o'- ,a) d+ + o ]*5
h - h ^ / t ^\, / a
h 1 , - - h \ * + [ r -+ ' l v ) t r : + ) + o (\ N, : / --wt"l \/)
? / t , \ ,
a , _-=4 ) L
A
e^ t. p l ( " * l o ' / ( T * L +
) f. (w.-s- wl )l
t - r

e n r(r,t)_.
J'-:)r P< at
t a
. T

R
r-\
"
t -r-
-
?a\
JI
|lA) - - : -
" I
-z,
Z- J-
L
-1
7'
'.) -l'
7-*+
-j-.)
q
t1
'JL
,11
7* T B,
,-a.- 4 4 t 7 7 K1'
''3
rLQ
Lra, l, t, 1 v g1J = e t , L t f "r'
LUT

Et , "I Zt _ J

- q-
 5 , 8 1 4 l s= - r 1
EnQL 1r rl5r-.,41
,aJ t T

Br 'rt
P
rt t -
r -J -
--1 -1
1 + -
€ 3 I lrr, *1
' -
- t
f \)- // |
'AJ T,
+
esl; K)
4z o) h-D *a (.*r;-*; )
l . D ,
^J . Ln)-= t n J L * ("*
1 T

f- ) - t - r,
K (=) / , r ST 2 . ? n K
I

(=--) f-(,
tl
,,. z -"\ ,/ -t-t \I * C J . t l l s 7 l ^ , <
\ - - l t t l J t
T
+ (r* zd')
, (
I
d*' ^, AI ro,/)
V*t
-) p( \T-2,,k) : I r (r y < . l l ) = A / ( 4 )
Vr-T
r r(rt) '
- E rQf5 ,-
E 4s =.<1q 5A
I "r,
e IJ ("(,) .
tt:fl
Pn, *tro , c: 5- 1.-1 -
c cl,) K' . cdfi
srtpc,rt
l-, FurnulnleB-5 l.) tc,-zd in c-art a.'l',tlrt)
nerta-?d rttrtiL'
%e
e +5 = @ _ q )c l ++ f /*Q

5 : + = F 2 n v.) - + e / w s
"l+ :)

-ta-
Torror, d, la t la a '
(r-q-*r) ,t++ c /w+=Gz) dt " C'l* Q

d*Q= A-d{+o /ws

vra
Z -, t I - t z

.Q'. ll 1
_ E {rt) \
C L L ' T ' " 5 r = r KJ = a t, e Br P'f 5:2. K )
I

( d,\
''
-r(r-t)
n tl.-.., k. e p cdz)
KeULI+a. C= J'
< \
/r nl=r -+
I \ k /)
a.r-
dJ;t

d.= d,- tr,F-t

- 44-
f'4,-
a. Jq se ,r.'irz, denva\vul rc'e-<
/,%"f{--l
$ cS) = 1: ,lur=,
*

Q, e- = r dt * o /wtj
, r-rf).
Ain Lertta L t<-t

t^n It r ()
-\
d 5 r n-1 )
+ I? V. ,/rru
- = f t ' lt r + a^) At
\
5n
lrfi
L/-.t \o \ lt .,-:- L .Q
(r-
= \ ' oA ) \ dt *V1'a\AJ,
5n \
| / \ / -
- ,1 -0; v
--z]i
lnde Z= Ln-4)[ .1 ./
/

fa= n. C

$ rs.) . 3{ 4l^
n > , .Kn
T

( / o k ; m5 '+ = 5 : , a ) C o = aC

S t 3 ) = 4 ( 5 p= 4 i l l6 l - . K n
^ 4 ^zh't)
=5'e k l (h)
a4r ,
*G
f"t}")
h= z hi
.IsD)
(' I
"4
I t
Il/1t = a| 2 + Q
,^ |
,V.f_t .
- lz-