StockPrice=Call Option+PV of Exercise Price
There the price of a put option can be written as
P=E×e-Rt+C-S
4) Effects of OPM Factors on the Value of a Call and a Put Option
(1) Increasing the stockprice increases call values and decreases put values.
(2) The effect of increasing the standard deviation is positive and pronounced
for both puts and calls
(3) Increasi
Stock
* Recent Market (2009/12/11)
* Share Holder
* Change in StockPrice
- A point : The highest price (2008/4/30)
Cell phone and display industry were riding high, propelled by sales of it, the total sales and operating profit was the highest
- The total sales11trillion 2,180trillion, Operating profit 6,053hundred million
operating pro
Both companies are service companies
-> meaningless to use inventory related ratios
ROE 7.32% x retention ratio 100%
=7.32%
ROE 9.8% x retention ratio 80%
=7.84%
Stockprice is much Lower than past
years but recovering business performance
=>probable potential to increase
Fully recovered stockprice
& worsening performance
=> Very few potential to increase
확률 보행 & Brownian Motion
Ito’s process
dx = a(x,t)dt+b(x,t)dz
Generalized Weiner process
dx = adt+bdz
Brownian motion
ds/s = μdt+σdz
랜덤워크의 시간의 간격이 매우 작다면 이는Brownian Motion에 가깝게 된다.
The StockPrice Assumption
주식의 가격을 S
매우 짧은 시간의 간격을 Dt 라 하자.
주식의 기대수익률
2. Market Integration
1) Definition of stock market integration
Market integration occurs when prices among different location or related goods follow similar patterns in a long period. Group of prices often move proportionally to each other and when this relation is very clear among different markets, it is said that the markets are integrated. Thus, market integration is an indicator tha