{"id":3747,"date":"2022-03-18T12:39:31","date_gmt":"2022-03-18T04:39:31","guid":{"rendered":"https:\/\/egonlin.com\/?p=3747"},"modified":"2022-04-26T14:06:52","modified_gmt":"2022-04-26T06:06:52","slug":"%e7%ac%ac%e4%ba%8c%e8%8a%82%ef%bc%9a2%e3%80%81%e6%9c%9f%e6%9d%83%e5%ae%9a%e4%bb%b7%e6%a8%a1%e5%9e%8b","status":"publish","type":"post","link":"https:\/\/egonlin.com\/?p=3747","title":{"rendered":"\u7b2c\u4e8c\u8282\uff1a\u671f\u6743\u5b9a\u4ef7\u6a21\u578b"},"content":{"rendered":"

\u671f\u6743<\/h2>\n

1\u3001\u4ec0\u4e48\u662f\u671f\u6743<\/h3>\n

\"\"<\/div><\/p>\n

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\u200b \u671f\u6743\u6309\u7167\u884c\u6743\u65b9\u5f0f\u4e3b\u8981\u5206\u4e3a\u6b27\u5f0f\u671f\u6743\u548c\u7f8e\u5f0f\u671f\u6743\uff0c\u5176\u4e2d\u7f8e\u5f0f\u671f\u6743\u7684\u4e70\u65b9\u53ef\u4e8e\u671f\u6743\u5230\u671f\u524d\u884c\u6743\uff0c\u800c\u6b27\u5f0f\u671f\u6743\u4e70\u65b9\u53ea\u80fd\u4e8e\u671f\u6743\u5230\u671f\u65f6\u884c\u6743\u3002\u6211\u56fd\u7684\u671f\u6743\u5e02\u573a\u4e3b\u8981\u662f\u7528\u7684\u6b27\u5f0f\u671f\u6743\uff0c\u6240\u4ee5\u63a5\u4e0b\u6765\u4e3b\u8981\u8bb2\u89e3\u7684\u4e5f\u662f\u6b27\u5f0f\u671f\u6743\u3002<\/p>\n

2\u3001\u671f\u6743\u7684\u4e3b\u8981\u4f5c\u7528<\/h3>\n

\u671f\u6743\u662f\u5e38\u7528\u7684\u98ce\u9669\u7ba1\u7406\u5de5\u5177\uff0c\u4e3b\u8981\u63d0\u4f9b\u7c7b\u4f3c\u201c\u4fdd\u9669\u201d\u7684\u529f\u80fd\uff0c\u671f\u6743\u7684\u7ba1\u7406\u4e5f\u76f8\u5bf9\u7b80\u4fbf\u6613\u884c\u3002<\/p>\n

\uff081\uff09\u5957\u671f\u4fdd\u503c\u529f\u80fd\u3002\u5229\u7528\u91d1\u878d\u671f\u6743\u8fdb\u884c\u5957\u671f\u4fdd\u503c\uff0c\u82e5\u4ef7\u683c\u53d1\u751f\u4e0d\u5229\u53d8\u52a8\uff0c\u5957\u671f\u4fdd\u503c\u8005\u53ef\u901a\u8fc7\u653e\u5f03\u671f\u6743\u6765\u4fdd\u62a4\u5229\u76ca\uff1b\u82e5\u4ef7\u683c\u53d1\u751f\u6709\u5229\u53d8\u52a8\uff0c\u5957\u671f\u4fdd\u503c\u8005\u901a\u8fc7\u884c\u6743\u6765\u4fdd\u62a4\u5229\u76ca\u3002 <\/p>\n

\uff082\uff09\u4ef7\u683c\u53d1\u73b0\u529f\u80fd\u3002\u4ef7\u683c\u53d1\u73b0\u529f\u80fd\u662f\u6307\u5728\u4e00\u4e2a\u516c\u5f00\u3001\u516c\u5e73\u3001\u9ad8\u6548\u3001\u7ade\u4e89\u7684\u5e02\u573a\u4e2d\uff0c\u901a\u8fc7\u96c6\u4e2d\u7ade\u4ef7\u5f62\u6210\u671f\u6743\u4ef7\u683c\u7684\u529f\u80fd\u3002 <\/p>\n

\uff083\uff09\u6295\u673a\u529f\u80fd\u3002\u671f\u6743\u5e02\u573a\u4e0a\u7684\u6295\u673a\u8005\u5229\u7528\u5bf9\u672a\u6765\u4ef7\u683c\u8d70\u52bf\u7684\u9884\u671f\u8fdb\u884c\u6295\u673a\u4ea4\u6613\uff0c\u9884\u8ba1\u4ef7\u683c\u4e0a\u6da8\u7684\u6295\u673a\u8005\u4f1a\u4e70\u5165\u770b\u6da8\u671f\u6743\uff0c\u9884\u8ba1\u4ef7\u683c\u4e0b\u8dcc\u7684\u6295\u673a\u8005\u4f1a\u4e70\u5165\u770b\u8dcc\u671f\u6743\u3002 <\/p>\n

\uff084\uff09\u76c8\u5229\u529f\u80fd\u3002\u671f\u6743\u7684\u76c8\u5229\u4e3b\u8981\u662f\u671f\u6743\u7684\u534f\u5b9a\u4ef7\u548c\u5e02\u4ef7\u7684\u4e0d\u4e00\u81f4\u800c\u5e26\u6765\u7684\u6536\u76ca\u3002\u76c8\u5229\u529f\u80fd\u5438\u5f15\u4e86\u4f17\u591a\u6295\u8d44\u8005\u3002 <\/p>\n

\"\"<\/div><\/p>\n

3\u3001\u770b\u6da8\u671f\u6743\u548c\u770b\u8dcc\u671f\u6743\u7684\u6536\u76ca\u548c\u5229\u76ca\/\u635f\u5931\u51fd\u6570<\/h3>\n

\u4e00\u4e2a\u6b27\u5f0f\u770b\u6da8\u671f\u6743\u89c4\u5b9a\u4e70\u65b9\u53ef\u4ee5\u7528\u884c\u4f7f\u4ef730\u7f8e\u5143\uff0c\u57283\u4e2a\u6708\u540e\u8d2d\u4e70\u67d0\u53ea\u80a1\u7968\uff0c\u4ee5\u4e0b\u662f\u8be5\u671f\u6743\u5728\u5230\u671f\u65e5\u7684\u6536\u76ca\u7684\u516c\u5f0f:
\n$$
\npayoff(call) = Max(S_T – X,0)
\n$$
\n$S_T$\u662f\u5230\u671f\u65e5\uff08$T$\uff09\u7684\u80a1\u7968\u4ef7\u683c\uff0c$X$\u662f\u6267\u884c\u4ef7\uff08\u4ee5\u4e0a\u4f8b\u5b50\u4e2d\u7684$X$\u7b49\u4e8e30\uff09\u3002<\/p>\n

\u200b \u5047\u8bbe3\u4e2a\u6708\u540e\u80a1\u4ef7\u662f25\u7f8e\u5143\uff0c\u6211\u4eec\u5c06\u4e0d\u4f1a\u4f7f\u7528\u770b\u6da8\u671f\u6743\u4ee530\u7f8e\u5143\u8d2d\u4e70\u80a1\u7968\uff0c\u56e0\u4e3a\u6211\u4eec\u53ef\u4ee5\u5728\u516c\u5f00\u5e02\u573a\u4e0a\u4ee525\u7f8e\u5143\u8d2d\u4e70\u540c\u6837\u7684\u80a1\u7968\u3002\u53e6\u4e00\u65b9\u9762\uff0c\u5982\u679c3\u4e2a\u6708\u540e\u80a1\u4ef7\u662f40\u7f8e\u5143\uff0c\u6211\u4eec\u5c06\u4f7f\u7528\u770b\u6da8\u671f\u6743\u4ee530\u7f8e\u5143\u4e70\u80a1\u7968\uff0c\u8f6c\u624b\u5728\u5e02\u573a\u4e0a\u4ee540\u7f8e\u5143\u552e\u51fa\uff0c\u4ece\u800c\u83b7\u5f9710\u7f8e\u5143\u7684\u6536\u76ca\u3002<\/p>\n

\u4ee5\u4e0b\u662f\u770b\u6da8\u671f\u6743\u6536\u76ca\u7684\u51fd\u6570\uff1a<\/p>\n

def payoff_call(sT,x):\n    return (sT-x+abs(sT-x))\/2\n\n# \u7b80\u5355\u4f7f\u7528\u65b9\u6cd5\n> payoff_call(25,30)\n0\n> payoff_call(40,30)\n10<\/code><\/pre>\n
\u7b2c\u4e00\u4e2a\u53c2\u6570\u662f\u5230\u671f\u65e5$T$\u7684\u80a1\u7968\u4ef7\u683c\uff0c\u63a5\u4e0b\u6765\u4f7f\u7528\u4e00\u4e2a\u6570\u7ec4\u4f5c\u4e3a\u7b2c\u4e00\u4e2a\u53c2\u6570\uff1a<\/p>\n
sT = np.arange(10,50,10)\nx = 20\npayoff_call(sT,x)\n\n> array([ 0.,  0., 10., 20.])<\/code><\/pre>\n
\u7ed8\u5236\u770b\u6da8\u671f\u6743\u7684\u6536\u76ca\u51fd\u6570\u66f2\u7ebf\uff1a<\/p>\n
s = np.arange(10,80,5)\nx = 30\npayoff = (abs(s - x) + s -x)\/2\nplt.ylim(-10,50)\nplt.plot(s,payoff)<\/code><\/pre>\n
\"\"<\/div>
\"\"<\/div><\/p>\n
\n
\u770b\u6da8\u671f\u6743<\/h4>\n<\/blockquote>\n
\u770b\u6da8\u671f\u6743\u5356\u5bb6\u7684\u6536\u76ca\u4e0e\u4e70\u5bb6\u7684\u6536\u76ca\u76f8\u53cd\u3002\u8981\u8bb0\u4f4f\u671f\u6743\u5408\u7ea6\u662f\u4e00\u4e2a\u4e70\u5356\u53cc\u65b9\u7684\u6e38\u620f\uff1a<\/p>\n
\u4e00\u65b9\u8d62\u94b1\uff0c\u53e6\u4e00\u65b9\u5fc5\u5b9a\u8f93\u94b1\u3002<\/p>\n
\u5047\u8bbe\u4e00\u4e2a\u6295\u8d44\u8005\u5356\u51fa3\u4e2a\u770b\u6da8\u671f\u6743\uff0c\u6267\u884c\u4ef7\u683c\u4e3a10\u7f8e\u5143\u3002\u5f53\u80a1\u7968\u4ef7\u683c\u5728\u5230\u671f\u65e5\u4e3a15\u7f8e\u5143\u65f6\uff0c\u671f\u6743\u4e70\u5bb6\u7684\u6536\u76ca\u4e3a15\u7f8e\u5143\uff0c\u800c\u671f\u6743\u5356\u5bb6\u7684\u635f\u5931\u4e5f\u4e3a15\u7f8e\u5143\u3002<\/p>\n
$S_T$\u662f\u5230\u671f\u65e5$T$\u7684\u80a1\u7968\u4ef7\u683c\uff0c$c$\u662f\u770b\u6da8\u671f\u6743\u7684\u671f\u6743\u8d39\uff0c$X$\u662f\u6267\u884c\u4ef7\u683c<\/p>\n
\u770b\u6da8\u671f\u6743\u4e70\u65b9\u7684\u5229\u6da6\/\u635f\u5931\u516c\u5f0f\uff1a
\n$$
\n\u770b\u6da8\u671f\u6743\u4e70\u65b9\u7684\u5229\u6da6\/\u635f\u5931 = Max(S_T – X,0) – c
\n$$
\n\u770b\u6da8\u671f\u6743\u5356\u65b9\u7684\u5229\u6da6\/\u635f\u5931\u516c\u5f0f\uff1a
\n$$
\n\u770b\u6da8\u671f\u6743\u5356\u65b9\u7684\u5229\u6da6\/\u635f\u5931 = c – Max(S_T – X,0)
\n$$
\n\u4ee5\u4e0b\u4ee3\u7801\u8ba1\u7b97\u770b\u6da8\u671f\u6743\u4e70\u5356\u53cc\u65b9\u7684\u635f\u76ca\u5e76\u663e\u793a\u635f\u76ca\u51fd\u6570\u7684\u66f2\u7ebf\uff1a<\/p>\n
<\/div>
\u67e5\u770b\u66f4\u591a<\/h2>
\u8054\u7cfb\u7ba1\u7406\u5458\u5fae\u4fe1tutu19192010\uff0c\u6ce8\u518c\u8d26\u53f7<\/p>\n<\/div>
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\u671f\u6743 1\u3001\u4ec0\u4e48\u662f\u671f\u6743 \u200b \u671f\u6743\u662f\u4e70\u5356\u53cc\u65b9\u7684\u4e00\u4e2a\u5408\u7ea6\uff0c\u7ed9\u4e88\u5408\u7ea6\u4e70\u65b9\u4ee5\u7ea6\u5b9a\u7684\u4ef7\u683c\uff08\u884c\u4f7f\u4ef7\u6216\u6267\u884c\u4ef7\uff09\u5411\u5408\u7ea6\u5356\u65b9\u8d2d\u4e70\u6216 […]<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[317,310],"tags":[],"_links":{"self":[{"href":"https:\/\/egonlin.com\/index.php?rest_route=\/wp\/v2\/posts\/3747"}],"collection":[{"href":"https:\/\/egonlin.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/egonlin.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/egonlin.com\/index.php?rest_route=\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/egonlin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=3747"}],"version-history":[{"count":0,"href":"https:\/\/egonlin.com\/index.php?rest_route=\/wp\/v2\/posts\/3747\/revisions"}],"wp:attachment":[{"href":"https:\/\/egonlin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3747"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/egonlin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3747"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/egonlin.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3747"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}