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報告題目：Put Option and Risk Level of Asset

報告人：張國平教授（西安交通大學(xué)）

點評人：劉曉星教授（東南大學(xué)）尹威副教授(東南大學(xué))

講座時間：2021年9月18日星期六晚7：00

線上參會：騰訊會議ID：307 461 638

報告人簡介

張國平教授是西安交通大學(xué)金禾經(jīng)濟(jì)研究中心教授、博士生導(dǎo)師。Dr. Chang, Kuo-Ping is a professor at the Jinhe Center for Economic Research, Xi’an Jiao Tong University. He graduated from University of Pennsylvania with a Ph.D in economics and finance. He has authored four books, and published various papers in prominent journals such as Management Science, European Journal of Operational Research, Journal of Regulatory Economics, Energy Economics and Applied Financial Economics. His research interests are corporate finance, industrial organization, and derivatives pricing. Professor Chang’s recent new book: The Ownership of the Firm, Corporate Finance, and Derivatives: Some Critical Thinking, Springer, New York, 2015, clarifies the errors and misinterpretations in the literature.

報告內(nèi)容摘要

This paper defines an asset’s risk as the likelihood that the asset can deliver at least a specific rate of return. Every asset which provides uncertain payoff has a corresponding put-call parity. The paper uses put option to construct the p-index to measure risk levels (likelihoods) of asset’s providing various rates of return. It shows that in the binomial case with up move and down move, (1) assets having lower down move have higher p-index, i.e., higher risk; (2) all call and put options have the same p-index, i.e., have the same risk level; and (3) underlying asset may be riskier than its put option. The trinomial example shows that the ranking of risk levels of assets’ providing different rates of returns could reverse. In the Black-Scholes-Merton model, assets with higher volatility have higher risk.

TIPS

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