[金融市場與衍生性商品] Lecture6 An Introduction to Options

A European (American) call option buyer: has the right, but not the obligation, to buy a given amount of a given asset at the exercise price on a given date (on or before a given date).

• Payoff to a call buyer= max[0, ST-K]

• Profit to a call buyer= max[0, ST-K]-c (C)

• A European (American) call option seller: has the obligation to sell if exercised by the buyer.

• Payoff to a call seller= -max[0, ST-K]

• Profit to a call seller= -max[0, ST-K]+c (C)

• A European (American) put option buyer: has the right, but not the obligation, to sell a given amount of a given asset at the exercise price on a given date (on or before a given date).

• Payoff to a put buyer= max[0, K-ST]

• Profit to a put buyer= max[0, K-ST]-p (P)

• A European (American) put option seller: has the obligation to buy if exercised by the buyer.

• Payoff to a put seller= -max[0, K-ST]

• Profit to a put seller= -max[0, K-ST]+p (P)