Page 583 - research12
P. 583
场外期权定价及其应用研究 * / &
!!表 #% 不带期权信息 /<A>B 对冲损益表
A
A
_
A
>QCD @YC@ A >QCD JGEYD >QCD !DBBD 期权日损益 期货日损益 组合日损益 累积损益
(
##$,$*## !$,*#-" $,$$$.
##%,+&$ !$,+.&" $,$$$. !%,-.-" %,$*/ $,$#$-
(
(
-
(
(
*
.
.
#$$,#.& !$,$./" $,$$$/ #%,%#+ !#%,(" !$,$-.(" !$,$/.%"
#$$,*&* !$,-/." $,$$$* $,$/ $,$$$$ $,$/ $,$$+%
.
-
(
%-&,* !$,/%." $,$$$/ %#,$$+ !%#,$((" $,$($. $,$(+*
-
.
*
-
%/(,.// !$,#-*" $,$$$- %-,$%$/ !%-,$-(-" !$,$&(#" $,$%.+
(
+
-
-
-
%/-,#&& !$,%+%" $,$$$& %,%%-( !$,#-*" $,#($+ $,$./
%&/,$.(/ !$,$%&" $,$$$* !&,##%(" &,%-# $,$(/+ $,$$(
+
.
-
%-&,#+*. !$,&($/" $,$$$. !%%,%-*-" %%,##+- $,$+-$ $,+-(
.
.
%&+,&*%% !$,&/**" $,$$$* %+,-.+ !%+,.$$" $,$..+ $,-+%
.
.
(
%-*,(*$ !$,&*++" $,$$$+ !%#,#.+(" %#,#.&+ $,$$+. $,-//
.
%/-,(+& !$,/." $,$$$. %&,$%+ !%&,#*+" !$,$#.$" $,/#/
+
.
/
+
/
/
*
%*#,# !$,((+" $,$$$* %/,$//* !%*,&(-" $,$-// $,.(#
(
%*%,$+.+ !$,-#%" $,$$$* %,(#( !%,(-/" $,%(.+ $,&.+*
+
*
/
/
%/%,##/& !$,&$%" $,$$$+ !%$,%(#." %$,#+%$ $,$+-* $,&-#$
/
/
%-/,.%% !$,*(#" $,$$$% !#*,%.." #*,/.% !$,%*$+" $,+%&
-
/
.
/
/
%(*,#+& !$,.$*" $,$$$% !-,-#/" -,/($ !$,$%+/" $,%-%
.
*
*
/
/
%-&,&./# !$,%(-" $,$$$% &,&&/ !&,-/#" !$,$$-/" $,$(*
/
/
/
*
%-.,$+#. !$,((*" $,$$$% +,&%+- !+,&%-&" !$,$$.(" $,$./
(
%-&,$.%& !$,&(&" $,$$$$ !+,$$(+" #,(&. !$,$%#$" $,(#&
*
*
*
*
%-#,(&% !$,*(+" $,$$$$ .,$../ !.,$*&/" !$,$%+$" $,&(&
(
%--,%.- !$,+(%" $,$$$$ !*,%&&" *,(#- !$,$#.(" $,*.-
/
*
/
*
*
%##,%*&% !$,((#" $,$$$+ //,*&& !/&,-*%" !$,#&." !$,/"
.
+
+
(
.
%%#,*-( !$,&/*" $,$$$. (,%(-# !-,-*#" $,#%+% !$,%*(/"
(
.
(
/
%%*,&*( !$,/#/" $,$$$+ !#,%&$" #,*-- $,#.%- $,$-##
-
*
.
-
%$.,&/ !$,+(-" $,$$$+ %$,.-+ !%$,.$." $,#$&( $,#($%
/
.
(/,%*+. !$,%&*" $,$$$+ -,&.% !-,**/" $,#%-* $,$-/
.
+
*
*
/#,#/#/ !$,*++" $,$$$& ++,($( !+*,-((" !%,(($" !%,$($."
*
.
-
+
-
(
*&,.(. !$,+/%" $,$$$& .,%+# !+,-/." %,$#/- !$,$/+&"
+
+
+
-
+
/#,#$ !$,+.(" $,$$$/ !.,*&(" *,& $,%(+ $,**&
*
.
+
*
-
-.,&-&/ !$,.#." $,$$$# !##,-$+" #%,&/&& !$,%#&" !$,*&$"
+
.
%$$,**# !$,#(-" $,$$$% !%*,/&/" %*,&*%$ !$,%%//" !$,&+/"
-
+
/
(-,#(#- !$,%$+" $,$$$$ #,/#. !#,$-&" $,$*+& !$,#$$"
+
.
+
+
(
+
+
+
(+,#.. !$,#($$" $,$$$$ .,/-. !.,..$" $,$#.. !$,(**"
(+,+// !$,#/((" $,$$$$ $,-&- !$,-$%" $,$$&& !$,-&-"
+
*
+
*
+
-(,$#$# !$,#.(+" $,$$$$ .,%/. !.,%-#" !$,$$%-" !$,-(/"
+
+
+
-#,#(.* !$,##-/" $,$$$$ /,*& !/,&+#%" !$,$$/." !$,(/$"
(/,.-% !$,#$-$" $,$$$$ !%.,*+/" %.,++% !$,$#$." !$,%/*"
.
/
/
(
.
/
-.,-(& !$,%-" $,$$$$ %#,#*-. !%#,#%" !$,$%+-" !$,+$#"
.
*
(*,%($# !$,%//*" $,$$$$ !%$,$$*" %$,-.( !$,$%**" !$,.*&"
.
(.,$.$# !$,%.*&" $,$$$$ %,%*$$ !%,%/*#" !$,$%*#" !$,/%$"
.
.
($,#/&. !$,%#.(" $,$$$$ +,&( !+,&-&*" !$,$%./" !$,&*/"
.
.
($,$/- !$,%$.%" !$,$$$$" !$,%+(*" $,%#.( !$,$%./" !$,($#"
.
.
($,$$*$ !$,$-++" $,$$$$ $,$%( !$,%/+" !$,$%.*" !$,$./"
*
*
(#,%-*% !$,$/#*" $,$$$$ !#,%-$%" #,%/*+ !$,$%.-" !$,%(."
/
*
-
(+,-/- !$,$.%&" !$,$$$$" !%,&$%&" %,-/& !$,$%*$" !$,+.."
*
/
(+,%$% !$,$#$-" !$,$$$$" $,#&// !$,#(%/" !$,$%.(" !$,.(."