第14章 期权价格弹性分析

波动率101015%30%

N(D1)N(D2)

期权价格对股价弹性敏感度分析0.62430.5066

call1.42期权价格弹性d4.3865

期权价格对股价弹性敏感度分析：第9行表示股价，第10行开始的第一列表示T，表中数据表示期权价格弹性。

4.390.302.004.006.008.0010.0012.0014.0016.000.10390.13180.00103.8860.3231.3713.405.703.462.640.20195.320.4097.920.6065.450.8049.211.0039.471.2032.981.4028.341.6024.861.8022.152.0019.992.2018.2290.5852.9345.8627.4030.9418.8423.4814.5411.9516.0010.2113.868.9512.268.0111.007.2710.006.679.186.1831.7218.0117.2210.8112.288.189.756.788.205.887.145.256.374.785.794.425.324.124.953.884.633.679.545.216.804.485.604.014.883.674.393.424.033.223.743.053.522.913.332.793.172.693.042.603.402.623.232.573.062.512.912.442.792.372.672.312.582.252.492.202.422.152.352.102.292.06

19.00示期权价格弹性。

18.0020.002.241.992.221.982.191.962.161.942.131.922.091.902.051.872.021.851.981.831.951.801.921.781.891.76

22.00

24.001.831.711.821.701.801.691.791.681.771.671.761.661.741.641.731.631.711.621.691.611.681.591.661.5826.001.621.611.611.601.591.581.571.561.551.541.531.52