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雷达卡
蝶式权证的套利机会分析
(01.16) 13页
长江证券- .pdf
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正文及图表目录
背景介绍......................................................................................................................2
看涨期权和看跌期权的基本关系..............................................................................2
欧式看涨期权和看跌期权的平价理论公式(Put-Call Forward Exchange Parity
Theory, PCFEPT) .................................................................................................3
不同行权价的期权的价格关系..........................................................................3
蝶式权证套利机会的理论分析..................................................................................4
套利方案一..........................................................................................................6
套利方案二..........................................................................................................8
蝶式权证套利机会的实际操作建议..........................................................................9
风险提示....................................................................................................................10
图：
图1：包钢蝶式权证套利机会图.............................................................................10
图2：万华蝶式权证套利机会图.............................................................................10
图3：雅戈蝶式权证套利机会图.............................................................................10
表：
表1：包钢、万华、雅戈蝶式权证的基本条款........................................................4
表2：策略A 和策略B 在第t 天的现金流...............................................................4
表3：策略C 和策略D 在第t 天的现金流...............................................................5
表4：套利方案一的现金流.......................................................................................6
表5：套利方案二的现金流.......................................................................................7
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