全部版块 我的主页
论坛 金融投资论坛 六区 金融学(理论版) 金融工程(数量金融)与金融衍生品
2528 3
2013-06-20
请问各位博士大哥执行价格(strike price)是如何合理确定的?
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

全部回复
2013-6-20 13:54:48
请仔细阅读CFA一级第四册。
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2013-6-20 13:57:00
maxili1983 发表于 2013-6-20 13:54
请仔细阅读CFA一级第四册。
请在50字内正面回答我的提问,非常感谢。
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2013-6-20 19:37:47
Option is a chain of contracts which means there are many strikes. For exchange traded options, such as equity option, usually the strike is the multiple of 5 (5, 10, 15...) for some interest rate options such as Eurodollar futures option the strike is listed with an interval of 0.125% (0.125%, 0.250%...) and for the options that is deep in or out of money the exchange may offer contracts that has a larger strike interval. E.g. 0.5%.

For OTC traded options, such as cap, floor or swaption, the strke is quoted in for example:

-200 bp -100 bp -50 bp ATM +50 bp +100 bp + 200 bp

Since they are issued on a rolling basis.

If you consider some structured products issued by banks with only one strike,  the story is more complicated. Sometimes they will choose a strike that is acceptable for risk management. They will calculate the probability that the underlying's price is higher or lower than the strike. Sometimes that will use strike to adjust the over price level of the product. But in most times they will set a integer strike and adjust other parameters to make the product either attractive to the investors or beneficial to the banks. But in general, this issue varys by different cases.

Best,
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

相关推荐
栏目导航
热门文章
推荐文章

说点什么

分享

扫码加好友,拉您进群
各岗位、行业、专业交流群