m****e
发帖数: 85 | 1 People thought shorting yen is riskless, so does longing Nikkei.
Nothing is riskless but people often forget. |
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k*****n
发帖数: 117 | 2 Below are taken from wikipedia. In practice, all model assumptions can be
violated:
The Black–Scholes model assumes that the market consists of at least one
risky asset, usually called the stock, and one riskless asset, usually
called the money market, cash, or bond.
Now we make assumptions on the assets (which explain their names):
(riskless rate) The rate of return on the riskless asset is constant and
thus called the risk-free interest rate.
(random walk) The instantaneous log returns... 阅读全帖 |
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f********y
发帖数: 278 | 3 在两叉树的情况下，因为只有两种价格可能，所以只要用stock和call就可以唯一建立
riskless portfolio(好比一个数学等式能唯一确定一个未知数),但是你现在有三种价
格可能，只用stock和call不能保证能建立riskless portfolio(好比两个数学等式去确
定一个未知数，有可能无解)。
我建议用stock, call和put建立riskless portfolio，然后同时求解call和put的价格。 |
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e********5
发帖数: 422 | 4 We have to assume that there is no expiration date for this contract.
Then the contract worth $.50
if it is sold for more, you can write 100 such contract, and sell it
to 100 people. You will get 50+X dollars. Use that $50 to buy 1 share of
stock and put X dollars in your pocket (or riskless bank). By assuming stock
price follows geometric brownian motion, the stock price will eventually
goes to $100 (with probability 1), sell it and give those 100 people $1 each
. You will earn X dollars + ris... 阅读全帖 |
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Y******u
发帖数: 1912 | 5 我对bank运作也不是太懂，给点意见供你参考
capital是用来absorb loss的，就是说bank一定要拥有一定量的capital才能保证当bad
loan或者couterparty default的时候偿付liability不会受到影响，也就是你说的不
会影响社会，所以regulator对capital有很严的要求
那银行capital怎么存放呢？cash不能放在金库里贬值，最安全的就是买treasury或其
他被认为是riskless asset，对于regulator来说，银行hold cash和hold treasury是
一样的，所以银行买riskless asset不需要占用capital，因为本身就是capital
当银行做trading的时候买的asset很多都不是riskless，比如bond。假想银行的
capital全部都买corp bond，那如果corp bond default了，银行的capital就没了（或
只有recovery），所以银行买bond的时候是需要消费一定capital的
这和是银行钱或不是银行钱没有关系，capital本来就是银行... 阅读全帖 |
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p***n
发帖数: 1987 | 6 也说一下无风险交易：科普一下Collar
Collar是一种Advanced Option Strategy，并不保证总能Riskless，但在当前High IV
的市场下，总能找到Riskless Collar. |
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j***i
发帖数: 2203 | 7 尼玛 才看到这个 早看见就不码字回复你另外的帖子了
这种话典型的就是股评跳大绳的么
我也会说
when it reaches the highest point, short to get 15% profit is riskless
when you know the lottery number in advance, at least $$$$ profit is
riskless |
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x***u
发帖数: 1087 | 8 看到很多讨论,喜欢绩优股的极其鄙视垃圾股,反正就是互相瞧不起.
根据金融理论,股票的收益率在risk adjusted后都等于riskless interest rates. 否
则有套利机会。
我不相信有谁可以保证那些股票在十年内是绩优股. 曾经的
GM, C, AIG, BAC, LEH, RIMM, FRE, FNM, 还有众多科技股曾经绝对是绩优股,现在怎
么样了呢?
如果投资这些恐怕比投资很多垃圾股还惨,所以也没有必要互相攻击.
现在的appl当然是牛股,但是十年后呢? 保不准就是rimm或c.
一个股票现在很牛,那么她的价值已经体现在了她的股票price上了：贵。
很难有那种大家认为的很牛但是很undervalue的股.(街上的人肯定比我们信息多).
相应的,垃圾股的价值也体现在他的price上了,便宜.
市场把这些都price in了，剩下的是不可预测的。
所以什么股票都有2方面：
收益率与risk成正比，一者大另一个必定大。如果您觉得有risk很少但收益率高的，那
就有arbitrage机会，恐怕街上的早在你前面发现了。极端的情况就是CD，riskless.
想想为什么... 阅读全帖 |
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o**********s
发帖数: 73 | 9 我也觉得不能理解。他的意思是，如果你对一个trader解释risk neutral price，你怎
么说服他用risk neutral price, given 实际中是有risk 的。
我回答risk neutral measure 下的expected discounted payoff和physical measure
下的expected discounted payoff 是一样的。在risk neutral measure 下，虽然
discount rate 用riskless risk, 但underlying process同时也assume riskless
drift, 所以并不是我们忽视了risk premium. 不过interviewer 并不buy 这个回答。
。。。 |
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f********y
发帖数: 278 | 10 最近看Hull的书(Chapter 11)，说说我理解的Risk-neutral valuation,希望大牛指正
，毕竟这几乎是option 定价的基础。
我觉得：
首先，如果我们假定股票的历史价格不能很好的用来预测未来(就像布朗运动一样)，对
于这指股票的未来的价格走势我们基本一无所知，也就是说不知道它的分布范围,也不
能用risk的技术去计算可能的最大损失,这样我们就只能假定它未来的价格收益期望值
是risk-free interest rate.
第二，短期内如果股票的价格只有两种可能，那么根据其价格期望值能唯一确定它上升
和下降的概率．
第三，根据这个概率就能确定option的目前期望价格．
但是感觉到John Hull的书把这些倒过来写了，他先定一个riskless portfolio,然后说
因为这个portfolio是riskless的，所以必定赚risk-free interest rate（否则有
arbitrage）,然后推算option的价格．而且他这段话让人confusing:
The key reason is that we are not valuing... 阅读全帖 |
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p***n
发帖数: 1987 | 11 sdlx一眼就看出主要矛盾了 :-)
Riskless Collar存在， 但量小难找， 所以是不可能被广泛采用的．
transaction |
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p***n
发帖数: 1987 | 12 炒输不lose penny, 炒赢了归自己——这个我们前些天谈论过， 叫作Riskless trade. |
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d*******g
发帖数: 1978 | 13 when it reaches the lowest point, at least 15% rebound is riskless. |
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S****Y
发帖数: 4634 | 14 risk trade
people pile into riskless asset at the hint of another crash |
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S****Y
发帖数: 4634 | 15 not a chance. nobody is going to use a communist currency ruled by one party
as reserve currency.
and you are right, that's going to be the new riskless rate
but |
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m******t
发帖数: 2416 | 16
I'm not following their prices, so I could be talking out of my arse, but I
would think that if they are almost as "riskless" as treasury bonds, they _
would_ be priced similarly too. |
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p*******s
发帖数: 1613 | 17 I agree with the first response. The bank must have other reasons to reject
their loan application. 200k income vs 300k mortgage, that's almost riskless
for the bank. I mean, the bank won't lose a dime unless the house price
drops by another 50% (300K down payMENT), assuming the couple doesn't pay a
cent from the first month.
There is no such verb as (they) "downpay" by the way. |
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n******n
发帖数: 12088 | 18 The underlying asset is treasury bond which is considered riskless.
Of course, the loss by interest rate risk is inevitable. Even cash would
lose value if interest rates up and inflation comes. |
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s******v
发帖数: 4495 | 19 visa和master，我个人认为是loser，别人都眼红他的riskless consistent income.
而且这个mobile payment不是一个单独的系统，而是整个ecosystem的一个重要组成。
要想对mobile computing发展有个清楚的认识，一定要明白这个ecosystem的概念。 |
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s*******e
发帖数: 432 | 20 If you do not exercise American put the following can happend
There is a possibility that the intrinsic value of the put could be equal or
large than the put option price. When the the intrinsic value is large than
the option price, you can buy the stock ,exercise the option, use the money
you get to buy another same option but with some profit, so you can profit
without risk. Also if you do not excercise,the other party who sold the
option will be able to take some riskless money off the trade... 阅读全帖 |
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d******8
发帖数: 1972 | 21 The euro crisis is a direct consequence of the crash of 2008. When Lehman
Brothers failed, the entire financial system started to collapse and had to
be put on artificial life support. This took the form of substituting the
sovereign credit of governments for the bank and other credit that had
collapsed. At a memorable meeting of European finance ministers in November
2008, they guaranteed that no other financial institutions that are
important to the workings of the financial system would be al... 阅读全帖 |
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k********8
发帖数: 7948 | 22 你做spread不是一样要冒和做直盘相同的风险吗？
当年LTCM的"riskless arbitrage"最后不也一样是冒大风险吗？
不是不爆，时候未到！
bullish |
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k********8
发帖数: 7948 | 23 http://www.huffingtonpost.com/david-einhorn/fed-interest-rates_
A Jelly Donut is a yummy mid-afternoon energy boost.
Two Jelly Donuts are an indulgent breakfast.
Three Jelly Donuts may induce a tummy ache.
Six Jelly Donuts -- that's an eating disorder.
Twelve Jelly Donuts is fraternity pledge hazing.
My point is that you can have too much of a good thing and overdoses are
destructive. Chairman Bernanke is presently force-feeding us what seems like
the 36th Jelly Donut of easy money and wondering... 阅读全帖 |
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f*****y
发帖数: 1997 | 24 所有的计算，必须在同一个时间层上
你的spot price 0.35 0.22 是今年9月的价格
你算利润是在到期时候算的，比如你的最终stock price p 是今年12月的价格
不同时间的价格不能直接在一起加减乘除
你要把今年12月的价格p转化到现在 p* exp(-r1 *T)，或者把现在的option价格转到12
月 0.35*exp(r2 * T) 和 0.22*exp(r3 *T)
T是现在到12月之间的时间长度， r1, r2, r3 是return rate， 不同的产品return
rate不同，因为我们现在不在一个riskless world里面。 |
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l******n
发帖数: 9344 | 25 变化太快了,前几天还贬的厉害,今天美元贬的更厉害 |
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Y****a
发帖数: 796 | 26 有人上了一万手这样的option。
股票价格44.78，卖 sept deep ITM 50 P 5.60， 买 50C 0.03c,同时short1百万手股
票。
到9月到期是，无论股票什么价，都能赚38块钱一手，而且现金还有利息。
难道我还有什么没考虑进去？ |
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r***s
发帖数: 1805 | 28 不可能有无风险的交易, 你图上负赢利的窗口就是风险, 只不过风险limited. |
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Y****a
发帖数: 796 | 29 但是只要撑到过期，就是上面那条直线啊。是不是holding short 需要付给股票的持有
者不少利息呢？ |
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p******e
发帖数: 17163 | 30 it should be 35 buck profit per option which translate to 35 cents per share
shorted. factoring bid/ask spread and other transaction cost. probably
slightly negative |
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Y****a
发帖数: 796 | 31 股票不动，股票上loss为0，过期时 被put，损失 50-44.78=5.22， call 作废 损失0.
03
但卖put 赚5.60， 盈利为5.60-5.22-0.03=0.35 一股。 |
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Y****a
发帖数: 796 | 32 像这种trade margin requirement 会是怎样？ |
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I***e
发帖数: 1136 | 34 Impossible to have $0.03 price for 50C with 3-month to go. Standard Black-
Scholes produces a 0.35 price for 20% implied vol.
So, probably your 50c is with June expiration? :)
-iCare- |
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Y****a
发帖数: 796 | 35 有一个caveat，就是红利，但projected 红利是年底而不是9月份的，这个projection
会不会不准？ |
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Y****a
发帖数: 796 | 38 我觉得这个trade是有人在 arbitrage。 |
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s****i
发帖数: 1954 | 40 不知道LZ的3C价钱从哪里看到的。我这星期过期的东西3C都买不来，还一搞就1万手！
不过就假设能在这价位上成交，一个月后股价50，Broker要收回股票，你手里的裸Put
咋办？ |
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Y****a
发帖数: 796 | 41 是我broker的optionchain里的， ask 0.03, bid 0.01.
implied volatility 很低。
股票被提前call回确实是风险。
Put |
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t*****e
发帖数: 224 | 45 ☆─────────────────────────────────────☆
fyyzy (雪的童话) 于 (Tue May 8 01:59:45 2007) 提到:
两个 assets, risk free 资产的return R＞0 和一个risky asset Z (其return 是
state－contingent，只有两个equally likely states),riskly asset Z return 分别
是A， B， 满足A＞R＞B，只有一个investor with strictly increasing and risk
averse utility function U（.），她可以买risky和riskless资产，w是weight on
risky asset。
Fix B，consider a new asset with the same distribtution of returns as Z
except that A increases. Does the new asset distribution necessarily |
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b********r
发帖数: 273 | 46 For all examples assume a cash dividend paying stock with the following s.d.
e between cash dividend payments.
ds/s = rdt + sigma*dw
where r = riskless rate , sigma = volatility, dw = Brownian motion
1. What is the value today (t) of a contract that at some maturity (T) pays
the inverse of the stock price observed at the maturity?
a) How would this contract be hedged? Explain any drawbacks of the method
you choose.
b) How would you explain your theoretical price to a junior trader who
ass |
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