讲座预告 | Put Option and Risk Level of Asset
报告题目:Put Option and Risk Level of Asset
报告人:张国平教授(西安交通大学)
点评人:刘晓星教授(东南大学)尹威副教授(东南大学)
讲座时间:2021年9月18日星期六晚7:00
线上参会:腾讯会议ID:307 461 638
报告人简介
张国平教授是西安交通大学金禾经济研究中心教授、博士生导师。Dr. Chang, Kuo-Ping is a professor at the Jinhe Center for Economic Research, Xi’an Jiao Tong University. He graduated from University of Pennsylvania with a Ph.D in economics and finance. He has authored four books, and published various papers in prominent journals such as Management Science, European Journal of Operational Research, Journal of Regulatory Economics, Energy Economics and Applied Financial Economics. His research interests are corporate finance, industrial organization, and derivatives pricing. Professor Chang’s recent new book: The Ownership of the Firm, Corporate Finance, and Derivatives: Some Critical Thinking, Springer, New York, 2015, clarifies the errors and misinterpretations in the literature.
报告内容摘要
This paper defines an asset’s risk as the likelihood that the asset can deliver at least a specific rate of return. Every asset which provides uncertain payoff has a corresponding put-call parity. The paper uses put option to construct the p-index to measure risk levels (likelihoods) of asset’s providing various rates of return. It shows that in the binomial case with up move and down move, (1) assets having lower down move have higher p-index, i.e., higher risk; (2) all call and put options have the same p-index, i.e., have the same risk level; and (3) underlying asset may be riskier than its put option. The trinomial example shows that the ranking of risk levels of assets’ providing different rates of returns could reverse. In the Black-Scholes-Merton model, assets with higher volatility have higher risk.
TIPS
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美编 | 蔡清舟
责编 | 孙靓
东南大学经济管理学院新媒体工作室
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