1、 rTceA AKST)0,max(),max(AAKSTTddTTqrKSddNeSdNeKdNeKdNeSqTrTrTqT12220110212110)2()ln()()(put Gap)()(call Gap011SScEerT。则远期生效期权价值为已知，且和又因为：望值。代表风险中性世界中期其中，11,)()(010qTTqrceeSSEScE)();,();,(212122221110122aNKeTTbaMeKTTbaMeSrTrTqT11211201,)2(*)/ln(TaaTTqrSSa212222201,)2()/ln(TbbTTqrKSb);,(baM)();,();,(2
2、12111021222122aNKeTTbaMeSTTbaMeKrTqTrT)();,();,(212111021222122aNKeTTbaMeSTTbaMeKrTqTrT)();,();,(212122221110122aNKeTTbaMeKTTbaMeSrTrTqT),max(pc)(12TTqrKe),0max(),max(),max(1)()()(1)(122212SKeeceSKeccpcTTqrTTqTTqTTr)(2TTqe)()()()(102210dNeSdNKepdNKedNeScqTrTrTqTTdTTqrKSdTTqrKSd1202201)2()/ln()2()/ln
3、()()()()(220200TyNSHKeyNSHeScrTqTdiTTKSHyqr)(ln20222didoccc)()()()()()(2201200110TyNSHKeyNSHeSTxNKeexNScrTqTrTqTdododicccTTSHyTTKSx)/ln()/ln(02010uoc)()()()()()()()(12201200110TyNTyNSHKeyNyNSHeSTxNKeexNScrTqTrTqTuiuiuocccccui)()()()(220200TyNSHKeyNSHeSprTqTui)()()()()()(12201200110TyNSHKeyNSHeSTxNKe
4、exNSprTqTrTqTuououipppuiuoppp0dop)()()()()()()()(12201200110TyNTyNSHKeyNyNSHeSTxNKeexNSprTqTrTqTdididopppppdimTHe/5826.0mTHe/5826.0)(2dNQerT)(2dNQerT)(2dNQerT)(2dNQerT)(10dNeSqT)(10dNeSqT)(10dNeSqT)()(2)()()(2)(322min120101aNeqraNeSaNqreSaNeSYrTqTqT2min0212min03122min01)/ln()2(2)2()/ln()2()/ln(SSqrY
5、TTqrSSaTaaTTqrSSa)()()(2)()(2)(20220321max2bNeSbNqreSbNeqrbNeSqTqTYrT20max2120max31220max1)/ln()2(2)2()/ln()2()/ln(SSqrYTTqrSSbTbbTTqrSSb)(),0max(KSSST),0max(aveSK),0max(aveSK),0max(aveTSS),0max(TaveSS30)(1)(1STqreMTqr2)(222022220)(22)(21)(2)22)(22qreqrTqrSTqrqrSeMTqrTqr10MF 2122ln1MMT0,max2121KtttStSaveS0*,max212KStttaveSttKtttK21221*22*1212rtrteKeMttt)0,max(TTUV)()(2010dNeUdNeVTqTqUVVUVUVUTddTTqqUVd2)2()/ln(22122001)0,max(),max()0,max(),min(TTTTTTTTTTUVUVUUVVVUdKKceKTdKKpeKTSFTSFTVErTSKrTSK)()(ln)(*202001212122 2)()var(811)(VEVVEE TVE
