有關金融商品選擇權(Option)的小問題 (20點 急)

Question

請問各位大大一個問題...給最用心的回答20點！

以下是一個小弟我遇到的問題原文：

Consider call and put options (with the same strike price) on gold. The
spot price of gold is G(0) at time 0, and the maturity of the option is at
time T . Storage costs of $c per unit of gold is payable at time T. Derive
a relationship between the put option value, the call option value, and
the spot price in the form of a put-call parity relationship at time 0.

翻譯：

如果我們手上有一個黃金的買權和賣權(同樣的履約價格)，黃金的現值為G(0), 距離選擇權到期日時間為T年。在這期間內，存放黃金的價格為用$c。利用這個買權、賣權還有黃金現值，請列出「歐式買賣權平價公式」。

我手上的答案是C(0) + Ke^(-rt) = P(0) + G(0) + ce^(-rT)。

C(0) = 此買權的現值
K = 履約價格
P(0) = 此賣權的現值
G(0) = 黃金現值
c = 存放黃金的價格

小弟我不懂的是，為什麼答案在最後又列出了一次這個存放黃金的價格的現值呢？這個價格不是早就已經包括在賣權的現值裡面了嗎？要是此平價公式的右邊是對的，那左邊不是應該也要加上一個存房黃金的價格的現值嗎？

附註：我覺得，在這邊存放黃金的現值指的應該是進入這個選擇權合約需要先付的Premium吧！

拜託各位大大了.. m-_-m

Thank you so much for your answer.

From your answer, would you say that both parties in this equation - the holder of the call option, and the holder of the put option, all have to pay for the storage cost in their contracts? coz if they do, I don't see the storage cost for the Call Option countract in the equation.

Can you please explain why that's the case to me?

P.S.: Sorry about the separation of paragraphs. The word limit forced me so.

sigh...
I wanna have the financial ability to store gold bar at home too.. =_=|| you think I might be able to achieve that by studying economics? :P

哈哈哈
想要罵我還會要其他網友不要插手
這個不是幼稚園的小朋友才會做的事情嗎？
公道自在人心
你卻只會用這種小人的招數
不懂你自己到底在爽個什麼意思

Answer 1

Let me try to answer your question.  I've not taken this class for 15 years.  I personally have not involve in future trading for 12 years.  So far.  Most of my customers are satisfied with my answers.This is standard put-call parity formula:call + PV(x) = put + spot (The arguement/equation is based on arbitrage.  I am sure you've been through it.) C(0) [premium for sale] + Ke^(-rt) [gold future]= P(0) [premium for buy] + G(0) [gold now]+ ce^(-rT) [premium for keeping your gold]This is correct. Usually the c is based on ounce/months.  Unlike currencies and stocks, gold and various other future commodities have physical presence.  Thereby, one must pay for storage costs.  However, for all practical purposes, we usually clear the inventory (sale or buy at the spot) at the end of future.  A few reps and customers keeps the gold in the storage (RARE).We've a family friend who live in Japan who buy gold bar every year.  This is the way he likes to hedge against no inflation and currency devaluation in Japan.  Yes.  He stores gold bar at home :)  

2006-05-14 10:51:33 補充：
If you buy a put or a call, do you need to pay for storage? Nope. Why? This is a premium that you pay to purchase or sale the commodities. When you buy gold, (YES! You are holding it:) you must pay for the storage.

2006-05-14 10:52:07 補充：
Unless you take it home, but we also calculate the opportunity cost of holding at home. I DON'T WANT TO BE ROBBED :D Future contract is a contract that you pay for future delivery. The contracts and premium are essentially zero :)

2006-05-14 10:52:40 補充：
PS I think you need to go back to restudy how arbitrage works for put-call parity.

Answer 2

http://www.bigmap.us/sinopac/alchemy1.htm
以上網站有介紹期貨、選擇權及金融市場傳奇人物，滿精采的！