# 到期支付、交易损益与回报分母 用OCC同初始财富例重建支付、损益与回报，避免把权利金收益率当作全部财富收益率。 Entry: zh-m16 | Node: M16 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教M16《到期支付、交易损益与回报分母》，内容版本2026-09-21-MEFG-review-v3。读者已有高年级本科至研究生的数学基础。 先确认选用本篇共同正文和哪些分支，再实际读取agent_packet列出的当前必读完整原文。PDF需读脚注、表图与符号；只拿到摘要/目录/搜索片段不算完成。记录实际版本、范围与内容对应，不沿用编辑端“已读”充当本次读取；同会话已完整取得相同版本单元可以复用。若所需单元失败，尝试机构正式等价全文；仍缺失则指出具体单元，不凭记忆补成已读教学。runtime_reading_log从空开始。 独立学习任务：按同初始5000美元重建三配置的七种终值，标明每个百分比的分母。 专属诊断与正向讲解：先给ST54，要求逐步算call400支付、亏100及现金73.125利息。随后给ST62，分别求140%权利金回报与15.4625%整体回报。 反馈尺度：不得把naked writer收到的premium当资本投入；没有资本路径就只报告P&L，不生成回报百分比。 读者要求直接讲解时，按本篇连贯推导讲清，不反复问已会先修。静态例、实验、练习必须使用本包同一输入和单位；实例价、合成价、模型价、规则时点不能混换。练习要给完整解析，不仅打分。仅当选读分支被采用时，将其optional reading转入当前必读。 Before substantive teaching, actually retrieve every required reading unit for the selected scope. Read its complete designated section, including necessary assumptions, tables and footnotes. A working URL or an editorial access date is not a runtime reading receipt. Record the actual version, location, scope and what it supports. If unavailable, use a previously verified equivalent source; if the required unit remains unavailable, identify that gap rather than teach it from memory. Start runtime_reading_log empty. Once reading is complete, use a substantive diagnostic or follow the reader's request for direct explanation. Advance one complete reasoning task at a time; skip mastered basics. Distinguish original facts, supplied teaching assumptions and inference. ## Required readings and runtime protocol ```json { "export_mode": "public", "required_readings": [ { "source_id": "PFH-MIT-OPTIONS", "version": "Fall 2008", "access": { "kind": "pdf_full_text", "uri": "https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "slides3–9完整支付/损益单元", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "从期权合同到支付和损益" }, "supports": "模型内的支付和复制定价；不代替当前产品规则，讲义现金增长记号不能误写成年化净利率。", "id": "M16-READ-01", "title": "15.401 Finance Theory I, Lecture 10–11: Options", "authors": [ "Andrew W. Lo", "MIT OpenCourseWare" ], "retrieved_at": "2026-09-21" }, { "source_id": "MA-OCC", "version": "June 2024", "access": { "kind": "pdf_full_text", "uri": "https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Ch IX printed pp58–59；Ch X holder-risk pp61–63完整单元，含p61同财富表与假设", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "费用、资本、同财富官方假设例" }, "supports": "规则、权利金、行权/指派和同财富假设例；本课指定单元不替代实际交易者对整份ODD的阅读。无真实行情或个人券商操作保证。", "id": "M16-READ-02", "title": "Characteristics and Risks of Standardized Options", "authors": [ "The Options Clearing Corporation" ], "retrieved_at": "2026-09-21" } ], "optional_readings": [], "runtime_reading_log": [], "supplied_inputs": { "content_version": "2026-09-21-MEFG-draft-v1", "data": { "schema": "markets-mefg-adopted-inputs-v1", "content_version": "2026-09-21-MEFG-draft-v1", "scope": [ "M15", "M16", "M17", "M18", "M19", "M20", "M21", "M22", "M23" ], "state_tree": { "experiment_id": "EXP-STATE-01", "source_file": "data/qt-f-shared-state-experiment.json", "source_version": "2026-09-21-v1", "source_sha256": "8489fd3b74f469c3424d32a2b0738280e4e83709f081dfb24282d9afcfa8804b", "source_pointer": "two_state / three_state_incomplete / three_state_augmented_complete", "identity": "Exact received QT-F/M21 frozen contract; file preserved byte-for-byte; generated browser data is a derived copy", "physical_up_probability_variants": [ 0.2, 0.6, 0.8, 0.9 ], "period_unit": "one abstract period; R is gross growth, not annual net rate" }, "odd_equal_wealth": { "identity": "OCC ODD June2024 printed p61 hypothetical; exact interest versus rounded official display distinguished", "initial_wealth_usd": 5000, "spot_usd": 50, "strike_usd": 50, "premium_per_share_usd": 5, "shares_per_contract": 100, "stock_position_shares": 100, "mixed_contracts": 1, "all_option_contracts": 10, "mixed_cash_usd": 4500, "simple_annual_cash_rate": 0.0325, "horizon_years": 0.5, "terminal_spots_usd": [ 62, 58, 54, 50, 46, 42, 38 ], "cost_convention": "No fees, tax or stock dividends in base; terminal economic payoff is not a funding guarantee for physical exercise" }, "cash_examples": { "identity": "Synthetic amounts under documented product rules; not historical quotes/series/accounts", "equity_call": { "multiplier": 100, "contracts": 1, "strike": 100, "purchase_premium": 4, "later_underlying_bid": 105, "later_option_bid": 6, "later_option_ask": 6.2, "exercise_gross_cash_assumption": 10000, "exercise_model": "sequential gross payment first; no assumed netting/credit; broker policy not inferred" }, "spxw_call": { "multiplier_usd_per_point": 100, "strike_points": 5000, "purchase_premium_points": 50, "settlement_value_points": 5025, "shares_delivered": 0 }, "uncovered_equity_call_margin": { "contract_type": "OCC ordinary equity uncovered call minimum; not ETF/index or broker house rules", "multiplier": 100, "strike": 105, "initial_spot": 100, "initial_option_premium": 4, "later_spot": 120, "later_option_mark": 17, "base_fraction": 0.2, "minimum_call_fraction": 0.1, "other_positions_or_broker_addons": false, "default_external_cash_available": 2200, "model": "cash collateral; liability is mark not daily futures VM; no external deposits beyond the explicitly displayed steps" } }, "early_exercise_counterexample": { "identity": "Separate teaching market, not EXP-STATE-01", "spot": 50, "strike": 100, "up_factor": 1.2, "down_factor": 0.9, "gross_cash_growth_per_period": 1.02, "periods": [ 1, 2 ], "dividend": 0, "time_unit": "one abstract period; not a year; American exercise at every displayed node" }, "parity_quotes": { "identity": "Separate synthetic quote/funding scenario; no friction toggle on EXP-STATE-01", "strike": 105, "gross_cash_growth": 1.02, "stock": { "bid": 99.95, "ask": 100.05 }, "call": { "bid": 5.8, "ask": 6.2 }, "put": { "bid": 8.7, "ask": 9.1 }, "extra_fee_per_underlying_unit": 0, "cost_convention": "same borrowing/lending, zero dividend European same K/T; all legs synchronous and fully fillable only by explicit teaching assumption", "execution_assumptions": { "borrowing": true, "stock_short": true, "synchronous": true, "depth": true, "exercise_terms_match": true }, "default_capital_available": 1 }, "surface": { "experiment_id": "EXP-MEFG-IV-01", "identity": "Entirely synthetic SPX-sized European call/put quotes; actual multiplier/tick only; no historical chain", "quote_date": null, "spot_index_points": 5000, "annual_continuous_rate": 0.04, "annual_continuous_dividend_yield": 0, "dividend_note": "zero is teaching assumption, not S&P500 dividend forecast", "day_count": "ACT/365 teaching whole-day expiries", "strikes_points": [ 4500, 5000, 5500 ], "maturities": [ { "days": 30, "sigma_by_strike": [ 0.28, 0.24, 0.22 ] }, { "days": 90, "sigma_by_strike": [ 0.27, 0.235, 0.22 ] }, { "days": 180, "sigma_by_strike": [ 0.25, 0.23, 0.22 ] } ], "quote_half_width_points": 0.2, "contract_multiplier_usd_per_point": 100, "min_quote_tick_below3": 0.05, "min_quote_tick_at_or_above3": 0.1, "greek_example": { "strike": 5000, "days": 90, "sigma": 0.235, "spot_changes_points": [ 50, 500 ], "vol_changes_absolute": [ 0.01, 0.1 ] }, "validation_scope": "displayed grid only; not a global no-arbitrage surface or observed chain" }, "vix": { "official_sample": { "identity": "Methodology v6.0 Appendix3 explicitly hypothetical (2022-09-27 10:45:15 ET label is not observed VIX)", "minutes_near": 34484, "minutes_next": 44954, "target_minutes": 43200, "year_minutes": 525600, "near_variance": 0.019233906, "next_variance": 0.019423884, "displayed_T_near": 0.0656088, "displayed_T_next": 0.0855289, "displayed_vix": 13.93, "one_strike": { "strike": 1370, "delta_K": 5, "mid_quote": 0.2, "R_rounded": 0.000317, "T_rounded": 0.0656088, "displayed_contribution": 5.328e-07 } }, "two_term_teaching_variant": { "identity": "separate variance interpolation, not a VIX-strip reproduction", "days_near": 24, "days_next": 36, "target_days": 30, "near_vol": 0.2, "next_vol": 0.24 } }, "information_example": { "identity": "Synthetic contract volumes classified by initiating side; size-weighted KIT Eq(2), not unweighted transaction counts; not motives", "unit": "option contracts", "buyer_call_contracts": 30, "seller_call_contracts": 10, "buyer_put_contracts": 25, "seller_put_contracts": 35, "non_event_mean_TOI": 0.05, "baseline_window": "non-announcement days tau-40 through tau-10 per paper; 0.05 here a teaching value", "table_2_column_3": { "identity": "published regression coefficients with macro/non-macro separately standardized variables; not raw-return slopes/profits", "OI_coefficient": 0.0033, "OI_macro_interaction": 0.025, "column_1_OI_coefficient": 0.0078, "sample_observations": 51522 } }, "runtime_reading_log": [] }, "additional_files": [], "experiment_id": "EXP-MEFG-M16-RETURN" }, "entry_id": "zh-m16", "node_id": "M16", "content_version": "2026-09-21-MEFG-review-v3", "experiment_ids": [ "EXP-MEFG-M16-RETURN" ], "source_id_aliases": { "MEFG-ODD": "MA-OCC", "MEFG-OCC-EQUITY": "PFH-EQUITY", "MEFG-OCC-ETF": "PFH-ETF", "MEFG-OIC-T1": "PFH-T1", "MEFG-SPX": "MA-SPX", "MEFG-MIT-OPTIONS": "PFH-MIT-OPTIONS", "MEFG-MIT-KOGAN": "PFH-MIT-BSM", "MEFG-OIC-PARITY": "PFH-PARITY", "MEFG-OIC-EXERCISE": "PFH-EXERCISE", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025" }, "source_paths": { "shared_inputs.json": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json", "data/qt-f-shared-state-experiment.json": "https://ou-liu-red-sugar.github.io/notebook/labs/qt-f/data/qt-f-shared-state-experiment.json", "static/M16.html": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M16.html" } } ``` ## Supplied entry ## 一、一张曲线不可能同时回答三个问题 我们看期权图时，先读纵轴。它可能画到期支付，也可能画扣除权利金后的损益，还可能把损益除以某种资金投入得到回报率。这三张图的拐点有联系，数值却不是一回事。 设 $x^+=\max(x,0)$，每份合约乘数为 $m$，买入一份看涨期权的报价为 $c_0$。到期经济支付是 $m(S_T-K)^+$；不计费用和资金时间价值的交易损益是 $$ \Pi_T=m\big((S_T-K)^+-c_0\big). $$ 看跌期权只需把支付改成 $m(K-S_T)^+$。公式里的 $c_0$ 是每单位权利金；先乘合约单位，才能与账户美元比较。[^MEFG-MIT-OPTIONS] 这项损益计算把不同日期的钱按名义美元相加。如果需要相对于现金投资的表现，必须把初始资金移到同一时点。例如初始权利金的资金增长因子为 $R$，到期支付减 $mc_0R$ 才是相对于这笔资金同期增长的净额。它与名义损益 $\Pi_T$ 有意回答不同问题。税、交易费和借贷利率差异也应在相应现金日期进入账本，不藏进图的标题。 ## 二、同样5,000美元，可以组成三种很不一样的支付 OCC风险披露文件给了一个特别适合练习分母的假设例。股票现价50，看涨期权 $K=50$，每股权利金5，一份对应100股，剩余半年。三位投资者初始财富都是5,000美元：甲全部买100股；乙买一份call，用掉500，剩4,500放在现金工具中；丙买十份call，用完5,000。原例不计交易费、税和股票分红。[^MEFG-ODD] 我们采用原例的简单年利率3.25%。半年现金利息精确为 $$ 4,500\times0.0325\times0.5=73.125. $$ OCC表中把这笔利息近似成73美元。本表内部保留73.125，显示到美分时再四舍五入。它不是一张某客户的历史账户单。 假设到期股票为62。甲的股票值6,200，损益1,200；乙的一份call经济支付为1,200，现金含息4,573.125，终值5,773.125；丙的十份call支付12,000。分别扣同一个5,000初始财富，就得到1,200、773.125和7,000。这里算的是可实现支付下的经济终值；需要实物行权资金时，账户可否完成交易还要另核，不能从支付曲线直接假定资金充足。 | 到期股价 | 甲：100股损益 | 乙：1call＋现金损益 | 丙：10call损益 | 甲财富回报 | 乙财富回报 | 丙财富回报 | |---:|---:|---:|---:|---:|---:|---:| | 62 | 1,200.00 | 773.13 | 7,000.00 | 24.00% | 15.46% | 140.00% | | 58 | 800.00 | 373.13 | 3,000.00 | 16.00% | 7.46% | 60.00% | | 54 | 400.00 | −26.88 | −1,000.00 | 8.00% | −0.54% | −20.00% | | 50 | 0.00 | −426.88 | −5,000.00 | 0.00% | −8.54% | −100.00% | | 46 | −400.00 | −426.88 | −5,000.00 | −8.00% | −8.54% | −100.00% | | 42 | −800.00 | −426.88 | −5,000.00 | −16.00% | −8.54% | −100.00% | | 38 | −1,200.00 | −426.88 | −5,000.00 | −24.00% | −8.54% | −100.00% | “丙用了杠杆”在这里有明确含义：同样5,000财富，丙把十份选择权的敏感度集中在一项有到期日的支付上，不是说他另外借了钱。支付对某些上涨状态更敏感，归零状态也更多；这些特点都能从同一张表读出，无须先给哪一种配置贴优劣标签。 ## 三、分母换了，百分比自然会换 仍看股价62。乙的单份期权损益为 $1,200-500=700$；以500权利金为基数，期权自身的名义投入回报是140%。但乙没有把全部财富买期权，整体财富回报是 $$ \frac{700+73.125}{5,000}=15.4625\%. $$ 两者都可以有用途，但不能把140%移到整个5,000美元账户上，也不能把15.4625%当成那张期权自身的回报。 再看股价54。股票确实从50上涨了8%，可是call支付400，小于买入成本500。乙的现金收益补回73.125后仍亏26.875。**看对方向，只说明 $S_T>S_0$；是否赚钱，还取决于行权价、支付形状、买入价和期限内资金安排。** 对这里的call，忽略其他成本的单份名义盈亏平衡价是55，而不是50。 我们把同一笔资金投入也作为机会成本来比较。甲的股票、乙的组合和丙的期权都用5,000起步；若整个5,000以原例现金利率放半年，会增加81.25美元。于是可以在各自名义损益上再减81.25，得到相对于这个现金基准的增量结果。这并不表示必须采用这个基准，而是说明每个回报数字都需要清楚的比较对象。 ## 四、卖方收进的钱不能直接当作资本分母 期权买方购买一份独立权利，可以把已付权利金作为这项权利的成本。卖方收到权利金时，却同时承担一个未来负债。若拿“收到的权利金”当作自有资本，再把未来净收款除以它，就跳过了履约抵押、追加资金和其他头寸，可能得到毫无资本解释的百分比。OCC对卖方保证金与买方损失分别说明，也提醒保证金并不是卖方损失上限。[^MEFG-ODD] 例如卖方收400，后来要1,700买回，名义损益是−1,300。这一步并不需要先知道保证金是多少。要算资本回报，才必须说明：起初自有资金多少，中途又补了多少，这些钱何时投入，平仓后剩多少。下一篇会把这四列账完整列出。在本篇信息不足的地方，保留美元损益比硬报一个“收益率”更准确。 ## 五、用两个视角检查同一张表
先看“支付／终值”视角，再切到“损益／回报”视角。移动到期股价时，股票终值是一条直线，call组合有行权价形成的折点；扣初始资金只会平移损益曲线。再切换纵轴分母，观察乙的一份期权回报与乙整体财富回报怎样分开。图上所有配置仍以同一个原始例起步，不能一边改变份数一边沿用原来的5,000分母。 静态核查可以只用54这一行：call支付400、权利金500、期权亏100、现金赚73.125、组合亏26.875、以5,000计回报−0.5375%。把这六个数依次写出来，比背一个“期权杠杆大”更能帮助判断实际账户。 ## 六、自己重建回报 **题一。** 到期股价58，乙的期权投入回报与整体财富回报分别是多少？ **解析。** 单份支付800，扣500得300，权利金回报 $300/500=60\%$。乙整体再加73.125现金利息，损益373.125；除5,000得7.4625%。不能因为一份权利赚60%，就说整笔财富赚60%。 **题二。** 到期股价50时，乙是否损失全部5,000？ **解析。** call到期支付为零，损失500，但4,500现金和利息仍在，终值4,573.125，损益−426.875。丙的5,000全部买了call，才在该状态下全部损失。两个“买期权”的账户，资金结构不同，结果并不一样。 **题三。** 买入 $K=50$、权利金5的call，忽略费用时盈亏平衡为55。把权利金的半年融资成本纳入，边界是否仍为55？ **解析。** 不再相同。若权利金也按原例增长因子 $1+0.0325\times0.5$ 计机会成本，期末每单位要覆盖 $5\times1.01625=5.08125$，相应边界为55.08125。定义名义损益和相对现金基准的超额结果都可行，关键是不能在解释中静默切换。 **题四。** 某裸卖方最初收400、最后付1,700平仓。能否仅凭这两个数算其资本年化回报？ **解析。** 只能得出忽略其他现金的名义损失1,300。还缺自有资金、追加资金日期、持有期与其他头寸。收到的400是承担负债的对价，不等于全部投入资本；本题没有足够信息支持年化回报。 [^MEFG-MIT-OPTIONS]: Andrew W. Lo, MIT OpenCourseWare，*15.401 Finance Theory I, Lecture 10–11: Options*，Fall 2008。[原文](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf)。本篇定位：Slides 3–9: option definitions and payoff；Slides 16–21: binomial replication and risk-neutral valuation。 [^MEFG-ODD]: The Options Clearing Corporation，*Characteristics and Risks of Standardized Options*，June 2024。[原文](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)。本篇定位：Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）。 ## Additional teaching material ### 本篇默认结果与静态等价
到期股价股票P&L1call＋现金P&L10callsP&L
621,200.000773.1257,000.000
58800.000373.1253,000.000
54400.000-26.875-1,000.000
500.000-426.875-5,000.000
46-400.000-426.875-5,000.000
42-800.000-426.875-5,000.000
38-1,200.000-426.875-5,000.000

共同初始财富5,000美元；保留4,500美元半年简单年率3.25%的利息是73.125美元。ST=62时：单call权利金回报140%，1call＋现金整体财富回报15.4625%。不含税费和股票股息。

完整冻结输入：https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json。来源内的包路径按 source_paths 取得。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-MEFG-M16-RETURN", "title": "同样5,000美元，结果怎样比较", "anchor": "m16-explore", "description": "先比较全部财富，再切到期权权利金分母，看两个百分比回答什么问题。", "data_identity": "OCC官方假设例；可调现金率为教学变式。到期经济支付不保证实物行权融资。", "shared_dataset_ids": [], "inputs": { "canonical_common": "shared_inputs.json", "state_contract": null, "controls": [ { "name": "terminal", "label": "到期股价（美元）", "type": "number", "default": 62, "domain_or_choices": { "min": 0, "max": 200, "step": 1 } }, { "name": "cashRate", "label": "现金简单年率（%）", "type": "number", "default": 3.25, "domain_or_choices": { "min": -50, "max": 100, "step": 0.25 } }, { "name": "view", "label": "曲线视角", "type": "select", "default": "pnl", "domain_or_choices": [ [ "pnl", "组合损益（美元）" ], [ "wealth", "终值财富（美元）" ], [ "return", "同财富回报（%）" ] ] } ] }, "algorithm": "interest=4500*simple_rate*0.5; stock_gain=100*(ST-50); mixed_gain=100*max(ST-50,0)-500+interest; options_gain=1000*max(ST-50,0)-5000. Whole-wealth return=gain/5000; one-call premium return=(100*payoff-500)/500.", "outputs": { "default": { "terminal": 62, "interest": 73.125, "payoffOne": 1200, "onePremium": 500, "gains": [ 1200, 773.125, 7000 ], "wealth": [ 6200, 5773.125, 12000 ], "returns": [ 0.24, 0.154625, 1.4 ], "premiumReturn": 1.4, "initialWealth": 5000 }, "static_equivalent": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M16.html", "unit_note": "OCC官方假设例；可调现金率为教学变式。到期经济支付不保证实物行权融资。" }, "boundaries": [ "成本口径沿ODD，无税费/股息，现金按半年简单利息", "不模拟实物行权融资，使用经济终值", "卖方没有给资本口径时不输出return" ], "views": { "first": "数值/单位/现金表", "second": "定价、现金、状态或事件图；见同一实验实现" }, "implementation": { "html": "/notebook/labs/m-efg/interactions.html?experiment=EXP-MEFG-M16-RETURN", "engine": "/notebook/labs/m-efg/engine.js", "static_available_without_js": true }, "source_id_aliases": { "MEFG-ODD": "MA-OCC", "MEFG-OCC-EQUITY": "PFH-EQUITY", "MEFG-OCC-ETF": "PFH-ETF", "MEFG-OIC-T1": "PFH-T1", "MEFG-SPX": "MA-SPX", "MEFG-MIT-OPTIONS": "PFH-MIT-OPTIONS", "MEFG-MIT-KOGAN": "PFH-MIT-BSM", "MEFG-OIC-PARITY": "PFH-PARITY", "MEFG-OIC-EXERCISE": "PFH-EXERCISE", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025" }, "input_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json", "static_equivalent": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M16.html" } ] ``` ## Sources - [Characteristics and Risks of Standardized Options](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf): 本会话实际读取的指定单元，不是96页全文；支持权利、单位、权利金、费用和保证金的区分。 契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。 M-E/F/G 本批采用：规则、权利金、行权/指派和同财富假设例；本课指定单元不替代实际交易者对整份ODD的阅读。无真实行情或个人券商操作保证。 - [15.401 Finance Theory I: Lecture 10–11, Options](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf): 逐腿相加的保护、价差和跨式支付；不承担现行结算规则。 M-E/F/G 本批采用：模型内的支付和复制定价；不代替当前产品规则，讲义现金增长记号不能误写成年化净利率。 ## Content relations ```json [ { "from": "zh-m16", "relation": "part_of", "to": "markets-derivatives", "reason": "主要 topic 归属" }, { "from": "zh-m16", "relation": "requires", "to": "zh-m15", "reason": "仅需要这项先备能力，不由推荐次序自动生成", "required_competence": "分清call/put、premium、单位和行权方式" }, { "from": "m16-payoff", "relation": "supported_by", "to": "PFH-MIT-OPTIONS", "reason": "模型内的支付和复制定价；不代替当前产品规则，讲义现金增长记号不能误写成年化净利率。", "locator": "Slides 3–9: option definitions and payoff；Slides 16–21: binomial replication and risk-neutral valuation", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m16-payoff" }, { "from": "m16-wealth", "relation": "supported_by", "to": "MA-OCC", "reason": "规则、权利金、行权/指派和同财富假设例；本课指定单元不替代实际交易者对整份ODD的阅读。无真实行情或个人券商操作保证。", "locator": "Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m16-wealth" }, { "from": "m16-writer", "relation": "supported_by", "to": "MA-OCC", "reason": "规则、权利金、行权/指派和同财富假设例；本课指定单元不替代实际交易者对整份ODD的阅读。无真实行情或个人券商操作保证。", "locator": "Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m16-writer" }, { "from": "m16-explore", "relation": "illustrated_by", "to": "EXP-MEFG-M16-RETURN", "reason": "先比较全部财富，再切到期权权利金分母，看两个百分比回答什么问题。", "at_section": "m16-explore" } ] ``` ## Related entries ## Optional reading path 理解合约与市场机制: step 15/17 用同一初始财富比较配置，分开终点支付、交易损益和不同回报分母。 结果之外，还要核账户怎样经过平仓、行权与交收。 Next: [行权、指派与到期：账户究竟发生什么](https://ou-liu-red-sugar.github.io/zh/notebook/option-exercise-assignment-settlement/)