Capitolul 8

UWLOL]DUHDúLHYDOXDUHDRS LXQLORU
SWUDWHJLLGHLQYHVWL LL
8.8WLOL]DUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL
2S LXQLOH QHJRFLDELOH FRQVWLWXLH R SLD  LGHDO  SHQWUX VSHFXODWRUL FDUH
XUP UHVF FkúWLJXULOH WHRUHWLF QHOLPLWDWH úL HIHFtul lor de levier foarte important.
(OH VXQW úL XQ LQVWUXPHQW LGHDO SHQWUX FHL FDUH YRU V  VH DFRSHUH vPSRWULYD
ULVFXULORU GHRDUHFH RS LXQLOH SHUPLW DFHDVWD vQ VFKLPEXO SO LL XQHL SULPH
2S LXQLOHIDFRELHFWXORSHUD LXQLORUGHDUELWUDM

6SHFXOD LD

SpeFXOD LD SULQ RS LXQL GHYLQH SRVLELO  SULQ LQWHUPHGLXO YRODWLOLW LL DFHVWRUD
mai mare decât a activelor suport.
$FHVWHRSHUD LXQLVXQWGH
L D FXPS UD VDX D YLQGH &$//–uri sau PUT–uri neacoperite pentru a lua
SR]L LHDVXSUDDFWLYHORUVXSRUWVWUDWHJLLVLmple);
LLDFRPELQDPDLPXOWHVHULLGHRS LXQLDVXSUDDFHOXLDúLDFWLYVXSRUWVDOWXUL
SULP GXEO JkWXLUHD
iii) a procura un portofoliu de CALL–XUL úL 387–XUL úL GH DFWLYH VXSRUW
SHQWUXDFUHúWHI U ULVFSR]LWLYODVFDGHQ 
Strategiile simple sunt oSHUD LXQLGHFXPS UDUHVDXGHYkQ]DUHGHRS LXQLvQ
IXQF LHGHDQWLFLS ULOHVSHFXODWRULORUDVXSUDHYROX LHLYLLWRDUHDFXUVXOXLDFWLYHORU
suport:
• 'DF VHDQWLFLSHD] RFUHúWHUHLPSRUWDQW DFXUVXULORUvQDLQWHGHVFDGHQ D
RS LXQLL DWXQFL FXPS UDUHD GH &$//–XUL YD IL FHD PDL UHFRPDQGDW 
VWUDWHJLHVLPSO 
• ,QYHVWL LD SODWD SULPHL SRDWH IL vQVR LW  GH XQ HIHFW GH OHYLHU LPSRUWDQW
DVXSUD FkúWLJXULORU SRVLELOH GH FUHúWHUH GH FXUV 'DF  DQWLFLS ULOH QX VH
adeveresc, atunci pierderile sunt limitate la nivelul primei.
• 'DF VHDQWLFLSHD] RVWDELOLWDWHDFXUVXULORUSkQ ODVFDGHQ DRS LXQLLVH
SURFHGHD] ODRYkQ]DUHGH&$//–uri neacoperite (scontându-se pe faptul
F  FHO SX LQ FXUVXULOH QX YRU FUHúWH VDX OD R YkQ]DUH GH 387–uri
(mizându-VHSHIDSWXOF FHOSX LQFXUVXULOHQXYRUVF GHD
• $FHVWH RSHUD LXQL VXQW FHOH PDL ULVFDQWH SHQWUX F  vQ DFHVW FD] GH
neîmplinire a previziunilor, ei vor înregistra pierderi nelimitate cu mult
mai mari decât primele încasate (efect de levier).
16 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

• 'DF  VH DQWLFLSHD]  R VF GHUH D FXrsurilor activelor suport pe durata de

YDODELOLWDWH D RS LXQLORU DWXQFL VWUDWHJLD VSHFXODWLY  UHFRPDQGDW  HVWH
FXPS UDUHD GH 387–XUL 3ULQFLSLXO GH D FkúWLJD HVWH DVHP Q WRU FX
FXPS UDUHDGH&$//–uri în cazul întâi. Efectul de levier este cu atât mai
mareFXFkWVF GHUHDHVWHPDLPDUHúLGXUDWDGHH[HUFLWDUHHVWHPDLVFXUW 
&RPELQD LLOH GH PDL PXOWH VHULL GH RS LXQL DVXSUD DFHOXLDúL DFWLY VXSRUW VH
IXQGDPHQWHD] SHDQWLFLS ULIRDUWHH[DFWHHYROX LHLFXUVXOXLDFWLYXOXLVXSRUW
'DF DQWLFLS ULOHVHGRYHGHVFFRUHFWHDWXQFLFkúWLJXULOHSRWILPDLPDULGHFkW
cele realizate prin strategii simple.
• ³6DOWXULOH´ VXQW SR]L LLOH XQXL JHVWLRQDU GH SRUWRIROLX FDUH FXPS U  úL
YLQGHvQDFHODúLWLPSGRX &$//–XULVDXGRX 387–XULDVXSUDDFHOXLDúL
activ suport, dar având SUH XULGHH[HUFL LXVDXVFDGHQ HGLIHULWH
• 'DF SUH XOGHH[HUFL LXDO&$//–ului vândut ( Ev ) este superior celui al
CALL–XOXL FXPS UDW ( Ec )  DWXQFL VDOWXO HVWH FUHVF WRU 6WUDWHJLD VH
XWLOL]HD]  FkQG VH HVWLPHD]  R FUHúWHUH D FXUVXOXL DFWLYXOXL VXSRUW
&kúWLJXOPD[LPHVWHGLIHUHQ DGLQWUHDEDWHUHDGLQWUHSUH XULOHGHH[HUFL LX
úLDEDWHUHDSULPHORURS LXQLORU
Castig max xim = ( Ev − Ec ) − (Cc − Cv ) (8.1.)
unde: Ec –UHSUH]LQW SULPDSO WLW SHQWUX&$//FXPS UDW 
Cv –UHSUH]LQW SULPDvQFDVDW SHQWUX&$//YkQGXW 
,QYHUV GDF  Ec  DO RS LXQLL &$// FXPS UDWH HVWH VXSHULRU OXL Ev (al
RS LXQLL&$//YkQGXWHDWXQFLVDOWXOHVWHGHVFUHVF WRU&kúWLJXOQHWHVWHGLIHUHQ D
vQWUHSULPHOHRS LXQLORUúLSLHUGHUHDPD[LP 3LHUGHUHDHVWHDVWIHOGLIHUHQ DvQWUH
DEDWHUHDSUH XULORUGHH[HUFL LXúLDEDWHUHDSULPHORU
Pierdere max ima = ( Ec − Ev ) − (Cc − Cv ) (8.2.)
Profitul Punct mort &XPS UDUH&$//
Ec + C c − C v
Cv

&kúWLJVWDELOL]DW

0 S1

Cc Ec
Ev
Vânzare
CALL
Cc

Figura 8.1. &kúWLJXOPD[LPvQFD]XO³VDOWXULORU´

Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 17

Profitul

Cv

&XPS UDUH
CALL

0 Ev
Ec S1

Cc Pierdere
Punct mort VWDELOL]DW
Ev + (Cv − Cc ) Vânzare
CALL
Figura 8.2. 3LHUGHUHDPD[LP vQFD]XO³VDOWXULORU´

• 3ULPDGXEO FRQVW vQFXPS UDUHDVDXYkQ]DUHDVLPXOWDQ DXQXL&$//

úL D XQXL 387 SHQWUX DFHODúL DFWLY VXSRUW DFHODúL SUH  GH H[HUFL LX úL
DFHHDúLVFDGHQ 3HQWUXRSHUD LXQHDGHFXPS UDUHVHVSHU vQWU-RYDULD LH
SXWHUQLF DFXUVXOXLI U DVHúWLVHQVXOÌQFD]XOXQHLYkQ] ULVLPXOWDQH
SUHYL]LXQHD HVWHIRQGDW  SH R YDULD LH IRDUWH VF ]XW  D FXUVXOXL DFWLYXOXL
suport.
&XPS UDUH &XPS UDUH
PUT CALL

&kúWLJ &kúWLJ

xx xx
Pierdere x

x
Figura 8.3. &XPS UDUHDvQFD]XO³SULPHLGXEOH´
18 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

x
&kúWLJ

xx xx

Pierdere
Pierdere
Vânzare Vânzare
PUT CALL
Figura 8.4. Vânzarea în cazul “primei duble”

• Gâtuirea – HVWH R RSHUD LXQH GH SULP  GXEO  vQ FDUH XQD GLQ
FDUDFWHULVWLFLOH&$//úL387HVWHGLIHULW GHH[HPSOXSUH XOGHH[HUFL LX
ReconstitXLUHDVLQWHWLF a unei CALL (Cc ) FDUHGH LQHvQSRUWRIROLXV XXQ
activ suport ( S 0 ) XQvPSUXPXWODQLYHOXOSUH XOXLGHH[HUFL LXFHYDILUDPEXUVDW
ODVFDGHQ D&$//GHFLODRYDORDUHDFWXDO GH
E
(1 + R )
f
t

úLRRS LXQH3873oDVXSUDDFHOXLDúLDFWLYVXSRUWDYkQGDFHODúLSUH GHH[HUFL LX

úLDFHHDúLVFDGHQ 
2SHUD LXQHDVLQWHWLF &$//VHSRDWHDIODvQUHOD LDGHSDULWDWHELQHFXQRVFXW 
vQWHRULDRS LXQLORUUHVSHFWLYGLIHUHQ DvQWUHYDORULOH&$//úL387V ILHHJDO FX
GLIHUHQ DvQWUHFXUVXODFWLYXOXLVXSRUWúLSUH XOGHH[HUFL LX
E
C 0 − P0 = S 0 − (8.3)
(1 + R ) f
t

unde: R f –UHSUH]LQW UDWDDQXDO DGREkQ]LLI U ULVF

t –IUDF LXQLGLQWU-un DQUHSUH]HQWkQGYDODELOLWDWHDRS LXQLLGHH[HPSOX
3
3luni = = 0,24
12
3HQWUXD UHFRQVWLWXL VLQWHWLF XQ&$// HVWH VXILFLHQW V WUDQVIHU P WHUPHQXO
P0vQSDUWHDGUHDSW 
E
C0 = P0 + S0 −
1+ R f (
t
)
'DF DF LXQHDHYROXHD] GHOD S 0 úL S1 úLvPSUXPXWXOGHOD
E
(1 + R )
f
t
Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 19

OD(DWXQFLSR]L LDSRUWRIROLXOXLODVFDGHQ DRSHUD LXQLLHVWHXQ&$//

3R]L LDODVFDGHQ 'DF  S1 > E 'DF S1 < E

FXUVXODF LXQLLOD S1 S1
VFDGHQ
+ valoarea unei PUT 0 E − S1
− împrumutul E E
rambursat
VLWXD LDODVFDGHQ S1 − E S1 + E − S1 − E = 0

Tabelul 8.1.3R]L LDXQXLSRUWRIROLXODVFDGHQ

'HFL SR]L LD OD VFDGHQ  FRUHVSXQGH H[DFW YDORULL LQYHVWL LHL vQ FXPS UDUHD
unei CALL.
9DORDUHD&$//HVWHHJDO FX S1 − E DWXQFLFkQGFXUVXODF LXQLLFUHúWHFXP
HUD GHDúWHSWDW vQF  GH ODFXPS UDUHD RS LXQLL VDX HVWH QXO  DWXQFL FkQG FXUVXO
DF LXQLLDVF ]XW
3RUQLQGGHODDFHDVW UHOD LHGHSDULWDWHVHSRDWHUHFRQVWLWXLDUWLILFLDOYDORDUHD
RS LXQLL387DXQXLDFWLYVXSRUWúLDFHHDDXQXLSODVDPHQWI U ULVF
E E
P0 = C 0 − S 0 + ⇒ S 0 = C0 − P0 + ⇒
(1 + R )
f
t
(1 + R )
f
t

E
⇒ = S 0 + P0 − C0 (8.4)
(1 + R ) t

FXPS UDUHDF LXQH387úLYkQ]DUH&$//

f

ÌQ XOWLPXO FD] H[HUFLWDUHD 387 YD FRPSHQVD VF GHUHD FXUVXOXL DF LXQLL
&$// ILLQG QXO  LQYHUV FUHúWHUHD FXUVXOXL DF LXQLL YD DFRSHUL SLHUGHUHD GLQ
vânzarea CALL387ILLQGQXO 

Acoperirea

$FRSHULUHD vPSRWULYD YDULD LHL FXUVXOXL DFWLYXOXL VXSRUW GHYLQH SRVLELO  SULQ
IL[DUHDvQSUHDODELODXQXLSUH GHH[HUFL LXCostul acoperirii la risc este egal cu
QLYHOXO SULPHL SO WLWH SHQWUX FXPS UDUHD RS LXQLL &XPS U WRUXO S VWUHD]  vQ
DFHODúL WLPS SRVLELOLWDWHD GH D UHDOL]D FkúWLJXUL LPSRUWDQWH vQ FD]XO HYROX LHL
favorabile a cursului.
&XPS UDUHD XQHL &$// DVXSUD XQXL DFWLY VXSRUW FDUH VH DIO  GHMD vQWU-un
SRUWRIROLX UHSUH]LQW  XQ PLMORF GH DS UDUH vPSRWULYD XQHL FUHúteri a cursului
activului suport.
&XPS UDUHDXQXL387VHIRORVHúWHvQFD]XOXQHLVF GHULDFXUVXOXLDFWLYXOXL
suport.
20 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

9kQ]DUHD XQHL &$// DFRSHULW  SULQ GH LQHUHD SUHDODELO  VDX DFKL]L- LRQDUHD
activului suport este o strategie conservatoare 5LVFXO RSHUD iunii este nul (în cel
PDLU XFD]DFHVWDDQWUHQHD] RSLHUGHUHGHRSRUWXQLWDWHGDF DFWLYXOVXSRUWFUHúWH
YkQ] WRUXOYDWUHEXLV FHGH]HDF LXQHDF WUHFXPS U WRULDUSURILWXOYDILOLPLWDWGH
P ULPHDSULPHLvQFDVDWH
3URWHF LDXQXLSRUWRIROLXHVWHGHDVHPHQHDSRVLELO SULQFXPS UDUHDGH387-
uri.
'DF  SRUWRIROLXO DUH R FRPSR]L LH DSURSLDW  GH VWUXFWXUD LQGLFHOXL EXUVLHU
DWXQFLDFRSHULUHDSULQDFHDVW VWUDWHJLHYDILSHUIHFW 

Arbitrajul

$UELWUDMXO LQWHUYLQH DWXQFL FkQG SUH XO GH SLD  DO RS LXQLORU este supra sau
VXEHYDOXDW ÌQ SULQFLSLX RSHUDWRULL FXPS U  RS LXQL VXEHYDOXDWH úL YkQG RS LXQL
VXSUDHYDOXDWHPHQ LQkQGRYDULD LHQHW DVXSUDSR]L LHLJOREDOHDSRUWRIROLXOXL
2SHUD LXQLOHGHDUELWUDMVXQWLQL LDWHvQSULPXOUkQGSULQXWLOL]DUHVLPXOWDQ 
de CALL-uri (sau de PUT-XUL DVXSUD DFHOXLDúL DFWLY VXSRUW GDU FX SUH XUL GH
H[HUFL LXVDXFXVFDGHQ HGLIHULWHVDOWXULGLIHULWH
ÌQDOGRLOHDUkQGHOHVXQWLQL LDWHSULQXWLOL]DUHDVLPXOWDQ DXQXL&$//úLD
XQXL 387 DYkQG DFHODúL DFWLY VXSRUW DFHOHDúL SUH XUL GH H[HUFL LX úL DFHOHDúL
VFDGHQ HVDXPDLPXOWSULQXWLOL]DUHDGHFRPELQD LLGHVDOWXULúLGHVFDGHQ H

8.0RGHOHGHHYDOXDUHDRS LXQLORU
ÌQDLQWHGHVFDGHQ RULFHRS LXQHDUHXQSUH GHSLD FXUVEXUVLHUUH]XOWDW
din echilibrul cerere-RIHUW SHQWUXDFHVWDFWLYFRQGL LRQDOÌQIDSWRSHUDWRULLLDXvQ
FDOFXOVXUVHOHGHFkúWLJGLQGH LQHUHDGHRS LXQLvQUDSRUWFXUH]XOWDWHOHGH LQHULLGH
active suport.
0DLPXOWRSHUDWRULLDXvQYHGHUHFRUHODUHDFHORUFLQFLIDFWRULGHWHUPLQDQ LDi
YDORULLRULF UHLRS LXQL
C = f (S , E , σ , R f , D)
,QWHUHVDQWHVWHvQV GHDúWLGDF RS LXQLOHVXQWFRUHFWHYDOXDWHGHF WUHRSHUDWRULL
GH SH SLD D ILQDQFLDU  GH D úWL GDF  DFHVWHD VXQW VXSUDHYDOXDWH VDX VXEHYDOXDWH
SHQWUXDSURFHGDODRSHUD LXQLGe arbitraj.
([LVW GRX PRGHOHGHHYDOXDUHDRS LXQLORU
• modelul Black & Sholes;
• modelul binominal.
Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 21

8.2.1. Modelul Black & Sholes

Ipotezele modelului:
L RS LXQLOH VXQW FRQVLGHUDWH D IL GH WLS HXURSHDQ SRW IL H[HUFLWDWH QXPDL OD
VFDGHQ 
ii) variD LDFXUVXULORUDFWLYHORUVXSRUWXUP UHúWHXQSURFHVVWRKDVWLFFRQWLQXX
vQ WLPS GXS  R SURJUHVLH JHRPHWULF   EURZQLDQ  SURFHV :LQQHU FX R SDUWH
DQWLFLSDW úLRSDUWHQHDQWLFLSDW 
LLLSHGXUDWDGHYDODELOLWDWHDRS LXQLLQXDXORFY UV PLQWHGHGLYLGHQde;
LY SLD D ILQDQFLDU  HVWH FRQVLGHUDW  SHUIHFW  FX WRW FH LPSOLF  DFHDVW 
VXSR]L LHDWRPLFLWDWHI U ILVFDOLWDWHúLFRVWXULGHWUDQ]DF LHSULPLUHúLDFRUGDUH
GHvPSUXPXWI U ULVFODDFHHDúLUDW GHGREkQG HWF
Modelul Black & Sholes este cel mai FRPSOHW vQWUXFkW LQWHJUHD]  FLQFL
IDFWRULGHWHUPLQDQ LDLYDORULLFXUVXODFWLYXOXLVXSRUW6SUH XOGHH[HUFL LX(
UDWDGREkQ]LLDQXDOHI U ULVF ( R f ) IUDF LXQHDGHWLPSU PDV SkQ ODVFDGHQ D
RS LXQLLWYDULDQ DFXUVXOXLDctivului suport (σ 2 ) .
Formulele lui Black and Sholes s-DXRE LQXWSHED]DSUH XULORUGHHFKLOLEUXSH
SLD vQDEVHQ DRULF UHLRSRUWXQLW LGHDUELWUDMSUH -valoare.
ÌQDFHVWHFRQGL LLYDORDUHDWHRUHWLF DXQHL&$//HVWH
−Rf t
C = S * N (d1 ) − E * e * N (d 2 ) , cu
S  1 
1n  +  R f + σ 2  ⋅ t
E 2 
d1 =    (8.5)
σ⋅ t
 s 
1n 
 1
úL d 2 = d1 − σ t ;
− R f ⋅t
d 1=  E ⋅ e + σ t
σ t 2
N(d) – IXQF LD GH GHQVLWDWH D SUREDELOLW LL FXPXODWH GH DO −∞ la d) a unei
variabile normale.
Avem:
t2
1 d1 −
N (d1 ) = ∫e 2 dt =
2π −∞

 S  S 1 S  1 2
1n − R ⋅t  1n + R f ⋅ t + σ 2 ⋅ t 1n +  R f + σ t
=  Ee
f
 + 1σ t = E 2 =
E  2 
.
σ t 2 σ t σ t
⇓ ⇓
N ( d1 ) N ( d1 )
'LQUHOD LDGHSDULWDWHHYRFDW PDLvQDLQWHVHGHGXFHYDORDUHDXQXL387
Rf t
P = − S * N (d1 ) + E * e * N (−d 2 ). (8.6)
22 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

'DF  YDORDULOH WHRUHWLFH & úL 3 VXQW GLIHULWH GH FXUVXO GH SLD  DO RS LXQLORU
respective, atunci în mod necesar vor DYHD ORF RSHUD LXQL GH DUELWUDM SkQ  OD
restabilirea echilibrului.
'HWHUPLQDUHD DFHVWHL YDORUL WHRUHWLFH SRUQHúWH GH OD GHWHUPLQDUHD YDORULL
aleatoare într-un context temporar al unui portofoliu (P), format din activul suport
úLXQQXP UGHRS LXQLHFKLYDlente cu activul suport:
P = Q s × S + Qc × C (8.7)
unde: Qs – cantitatea de activ suport;
Qc –FDQWLWDWHDGHRS LXQL&$//SHQWUXIRUPDUHDSRUWRIROLXOXL
Acesta este numit portofoliu de acoperire, care nu aduce decât un randament
PLQLPI U ULVF ( R f ) FDSUH DOWLPSXOXLGHGH LQHUHDDFHVWXLD
Valoarea CDRS LXQLL&$//YDILGHFLGHWHUPLQDW GRDUGHWLPSúLGHFXUVXO
activului suport:
C = f ( S , t ) , factori E, R f , σ 2   ILLQG FRQVWDQ L 3ULQ LSRWH]HOH PRGHOXOXL
%ODFN 6KROHVVHFRQVLGHU F YDULD LDFXUVXOXL6DODFWLYXOXLVXSRUWDUHRSDUWH
GHWHUPLQLVW úLDOWDDOHDWRDUH
dS
= µdt + σdz (8.8.)
S
partea partea
determi aleatoare
unde: QLVW
µ -PHGLDUHQWDELOLW LORUDFWLYXOXLVXSRUW
σ -DEDWHUHDPHGLHS WUDWLF DUHQWDELOLW LORU
t -WLPSXOSkQ ODVFDGHQ DRS LXQLL
dt -FUHúWHUHLQILQLWH]LPDO DWLPSXOXL
z -YDULDELO DOHDWRDUHFDUHVLQWHWL]HD] WRDWHHOHPHQWHOHSLH HL
Factorul zGHILQHúWHXQSURFHV:LQQHUVDX]JRPRWDOESURFHVELQRPLQDOFX
µz = ct úL σ 2 = 0
Black & Sholes au aplicat procesuO :LQQHU OD SRUWRIROLXO I U  ULVF P,
RE LQkQG
dP = Qs ⋅ dS + Qc ⋅ dC (8.9)
unde: dC HVWHFDOFXODWFDYLWH] GHYDULD LHSULQWHKQLFD,WR
∂S ∂S 1 ∂2S 2 2
dS = dP + dt + ⋅ σ ⋅ P ⋅ dt (8.10)
∂P ∂t 2 ∂P 2
DF UHLYDORDUHODOLPLW HVWH
dS ∂P dP ∂S dP P
lim = ⋅ = ⋅ ⋅ (8.11)
dt → ∞ S ∂P dS ∂P P S
Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 23

În fapt, N (d1 ) UHSUH]LQW RUDW GHDFRSHULUH+DSRUWRIROLXOXLGHDUELWUDMGH

PDL VXV UDW  FH WUHEXLH DMXVWDW  OD ILHFDUH PRGLILFDUH D FXUVXOXL 6 DO DFWLYXOXL
suport.
3UDFWLFLHQLLQXPHVFDFHDVW UDW H, “coeficient de sensibilitate delta” (∆):
dC
∆= (8.12)
dS
unde: 0 < ∆ CALL < 1;
- 1 < ∆ PUT< 0.
3ULQGHILQL LH∆ activ suport = 1.
Coeficientul ∆UHSUH]LQW YDULD LDSUH XOXLDFHVWHLRS LXQLUH]XOWDW GLQYDULD LD
foarWH PLF  D SUH XOXL DFWLYXOXL VXSRUW DOWIHO VSXV HVWH VHQVLELOLWDWHD SULPHL GH
FXPS UDUHVDXGHYkQ]DUHDXQHLRS LXQLODYDULD LDFXUVXOXLDF LXQLL
Din punct de vedere matematic, ∆HVWHGHULYDWDvQWkLDSUH XOXLSULPHLDF LXQLL
vQUDSRUWFXSUH XODF iunii.
ÌQWHUPHQLHFRQRPLFLDFHVWFRHILFLHQWP VRDU ULVFXOSR]L LHLSRUWRIROLXOXL
• ∆LDYDORULvQWUHúL
• HVWHvQSULQFLSLXSHQWUXRDF LXQHODSDULWDWH
• mai mare decât 1/2 pentru CALL în cadrul cursurilor supraevaluate (mai
mic decât 1/2 pentru PUT în cadrul cursurilor supraevaluate);
• mai mic decât 1/2 pentru CALL în cadrul cursurilor subevaluate (mai mare
decât 1/2 pentru PUT în cadrul cursurilor subevaluate).
2EVHUYD LH
∆ →SHP VXU FHVHDSURSLHVFDGHQ DRS LXQLL
Un coeficient ∆ de 0,60 SHQWUX&$//VHPQLILF IDSWXOF RYDULD LHFXOHXD
SUH XOXLDFWLYXOXLVXSRUWGHWHUPLQ RYDULD LHHJDO FXXPDSUH XOXL&$//
$FHDVWD vQVHDPQ  vQ WHUPHQL GH ULVF F  GHWHUPLQDUHD XQXL &$// HVWH
HFKLYDOHQW FXGH LQHUHDDGHDF LXQLactive suport).
'DF  GH H[HPSOX DF LXQHD VH DSUHFLD]  FX  GH XP &$// FUHúWH FX
0,60 ×   XP &XP &$// VH DSOLF  OD  DF LXQL SULQ GH LQHUHD D  GH
DF LXQL × 20=1200 u.m..
/DXQSRUWRIROLXFRPSXVGLQDF LXQLGLQRS LXQLGHFXPS UDUH&$//úLGLQ
RS LXQLGHYkQ]DUH387VHDWULEXLHVHPQXOOD³delta´SHQWUXRS LXQLOHFDUHVH
DSUHFLD] DWXQFLFkQGDF LXQLOHFUHVFúLVHPQXO-) la “delta´SHQWUXRS LXQLOHFDUH
VHDSUHFLD] DWXQFLFkQGDF LXQLOHVFDG
Se aduQ FRHILFLHQ LL³delta´DLRS LXQLORUFXFRHILFLHQ LL³beta´DLDF LXQLORU
pentru a rezulta un coeficient “beta´QHWFDUHP VRDU ULVFXOSR]L LHLUHVSHFWLYHD
portofoliului.
8Q SRUWRIROLX SHUIHFW DFRSHULW DU WUHEXL V  DLE  FRHILFLHQWXO ³beta” egal cu
zero ÌQ UHDOLWDWHDFHDVW  SR]L LH QX SRDWHILvQWkOQLW  GHFkW SHQWUX YDULD LL IRDUWH
PLFLDOHFXUVXULORUDF LXQLORU'DF DFHDVWDVHPRGLILF IRDUWHPXOWDWXQFLULVFXO
portofoliului se va modifica.
24 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

3HQWUX D DSUHFLD ULVFXO DVXPDW GH LQYHVWLWRU VH XWLOL]HD]  PDL GHJUDE 
coeficientul “ gama” .
Coeficientul “ gama” (ΓP VRDU VHQVLELOLWDWHDFRHILFLHQWXOXL ∆ODRYDULD LH
XQLWDU DFXUVXOXLDFWLYXOXLVXSRUW
d∆
Γ= (8.13)
dS
úL HVWH GHULYDWD D GRXD D SUH XOXL RS LXQLL vQ UDSRUW FX SUH XO DF LXQLL $FHVW
FRHILFLHQWFUHúWHSHP VXU FHVHDSURSLHVFDGHQ DRS LXQLL
'DF  DVRFLHP FRHILFLHQWXO ∆ FX YLWH]D GH UHDF LH D SUH XOXL RS LXQLL OD
YDULD LLOH GH FXUV DOH DF LXQLL DWXQFL FRHILFLHQWXO JDPD Γ VH DVRFLD]  FX
DFFHOHUD LDDFHVWHLYLWH]H
CunRDúWHUHDDFHVWHLDFFHOHUD LLSHUPLWHV VHDMXVWH]HULVFXOSRUWRIROLXOXLúLD
YHGHDGDF SR]L LDDFHVWXLULVFVHDSURSLHGH
6HQVLELOLWDWHD YDORULL RS LXQLL vQ IXQF LH GH FHLODO L IDFWRUL GHWHUPLQDQ L
(t , σ , R f , E ) VHDSUHFLD] SULQFRHILFLHQ Li θ, vega, τúLε.
Coeficientul “ theta” (θ P VRDU  VHQVLELOLWDWHD SUH XOXL XQHL RS LXQL OD R
YDULD LHDGXUDWHLW
dC
θ= (8.14)
dt
θILLQGGHFLGHULYDWDvQWkLDSUH XOXLRS LXQLLvQUDSRUWFXWLPSXO
&XFkWRS LXQHDVHDSURSLHGHVFDGHQ FXDWkWFRHILFLHQWXOθFUHúWHúLFXDWkW
YDORDUHDWLPSDRS LXQLLVFDGH
Coeficientul “ vega” (ν P VRDU  VHQVLELOLWDWHD SUH XOXL XQHL RS LXQL OD R
YDULD LHDYRODWLOLW LLFXUVXOXLDFWLYXOXLVXSRUW
dC
ν= . (8.15)
dσ
CXFkWRS LXQHDVHDSURSLHGHVFDGHQ FXDWkWFRHILFLHQWXO³vega” scade.
&RHILFLHQ LL³iota´úL³epsilon´PDLSX LQXWLOL]D LvQJHVWLXQHDSRUWRIROLXOXL
H[SULP VHQVLELOLWDWHDSUH XOXLXQHLRS LXQLvQUDSRUWFXYDULD LDUDWHLGHGREkQG 
I U ULVFúLUHVSHFWLYYDULD LDSUH XOXLGHH[HUFL LX
7R LIDFWRULLGHWHUPLQDQ LGLQPRGHOXO%ODFN 6KROHVVXQWGLUHFWREVHUYDELOL
FXH[FHS LDGLVSHUV ULLUHQWDELOLW LLactivului suportFDUHSRDWHILHVWLPDW SHED]D
unei serii de rate de rentabilitate observate anterLRU $FHVWH UDWH WUHEXLH V  ILH
V SW PkQDOHúLGHWHUPLQDWHvQED]DDQXDO GREkQGDFRQWLQX 
$FHDVW YRODWLOLWDWHHVWHFRQVLGHUDW VWDELO ÌQUHDOLWDWHYRODWLOLWDWHDDFWLYXOXL
VXSRUWQXSRDWHILLQGHSHQGHQW GHDF LXQHDRSHUDWRULORUSHSLD GHDQWLFLS ULOH
ORUDVXSUDUHQWDELOLW LLYLLWRDUH

8.2.2. Modelul binomial

(ODERUDWGH&R[5RVVúL5XELQVWHLQPRGHOXOELQRPLDODGDXJ ODLSRWH]DGH
SLD  SHUIHFW  R LSRWH]  VSHFLILF  YDULD LLOH SUH XULORU SH SLD D GH RS LXQL úL DOH
Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 25

DFWLYXOXLVXSRUWXUP UHVFXQSURFHVELQRPLQDOvQWLPSGLVFUHWúLQXFRQWLQXXFDvQ

modelul Black and Sholes).
$VWIHO vQ FDGUXO XQHL SHULRDGH vQDLQWH GH VFDGHQ  FXUVXO S 0 al activului
VXSRUW SRDWH XUFD SkQ  OD u⋅ S 0 , cu o probabilitate q, GDU SRDWH VF GHD SkQ  OD
d ⋅ S 0 cu o probabilitate 1-q:

q u ⋅ S0

S0

1-q d ⋅ S0

unde:
u –IDFWRUPXOWLSOLFDWRUvQFUHúWHUHGHFXUVGHIRUPD³UDWDGHFUHúWHre” ,
fiind superior lui r = 1 + R f deci n > r > 1;
d –IDFWRUPXOWLSOLFDWRUvQVF GHUHGHFXUVGHIRUPD³– rata de diminuare” ,
fiind inferior lui r = 1 + R f ,dar pozitiv 0 ≤ d < r <1.
ùLSHQWUXFDRULFHSRVLELOLWDWHGHDUELWUDMV ILHHOLPLQDW VHYDVFULHd < r < u.
Valoarea C D XQHL &$// HXURSHQH SRDWH V  LD GHFL YDORDUHD PD[LP  (Cu )
vQWUH  úL u ⋅ S 0 − E cu probabilitatea q VDX YDORDUHD PLQLP  C ⋅ d vQWUH  úL
d ⋅ S 0 − E cu probabilitatea 1 – q;

q C ⋅ u = max(0; u ⋅ S 0 − E )

S0

1-q C ⋅ d = max(0; d ⋅ S 0 − E )

ùWLLQGF vQDFHVWproces binominalVXQWúDQVHFDYDORDUHD&$//V ILH

OD VFDGHQ  HJDO  FX C ⋅ u úL GH DVHPHQHD  V  ILH C ⋅ d, se pune problema
GHWHUPLQ ULLOXLC.
Procesul de arbitraj între un portofoliu de active suport úLXQDOWXOGH&$//–
XUL FRUHVSXQ] WRDUH SH R SLD  HILFLHQ  FRQGXFH OD XQ UDQGDPHQW HJDO FX
GREkQGDI U ULVF ( R f ) .
Astfel, un portofoliu care combLQ FXPS UDUHDXQXLDFWLYVXSRUWúLYkQ]DUHD
XQXLQXP UFRUHVSXQ] WRUGH&$//–uri, este perfect acoperit.
9DORDUHD SRUWRIROLXOXL OD VFDGHQ D RS LXQLL YD IL u ⋅ S 0 − x2 ⋅ C ⋅ u cu o
probabilitate q sau d ⋅ S 0 − x2 ⋅ C ⋅ d cu o probabilitate de 1 – q, unde q ∈ [0,1]:
26 7UDQ]DF LLúLSLH HILQDQFLDUH7HRULHúLDSOLFD LL

q u ⋅ S 0 − x2 ⋅ C ⋅ u

S0

1-q d ⋅ S 0 − x2 ⋅ C ⋅ d

Pentru ca portofoliul ( S 0 − x2 ⋅ C ) V ILHI U ULVFWUHEXLHFDFHOHGRX YDORUL

DOHDFHVWXLDODVFDGHQ DRS LXQLLV ILHHJDOHvQWUHHOHRULFDUHDU fi starea naturii (
“ u” sau “ d” ):
u ⋅ S 0 − x2 ⋅ C ⋅ u = d ⋅ S 0 − x2 ⋅ C ⋅ d
De fapt, x2  UHSUH]LQW  LQYHUVXO UDWHL GH DFRSHULUH D SRUWRIROLXOXL FRQWUD
ULVFXOXLGHSLD 
ÌQ FHOH GLQ XUP  YDORDUHD SRUWRIROLXOXL I U  ULVF HVWH YDORDUHD LQL LDO 
( S 0 − x2 ⋅ C ) PXOWLSOLFDW FX r = 1 + R f .
r ( S 0 − x 2 ⋅C ) = u ⋅ S 0 − x2 ⋅ C ⋅ u .
6HSRDWHRE LQHYDORDUHD³C´DRS LXQLL&$//vQ t = 0 în cadrul simplificat al
XQHLSHULRDGHvQDLQWHGHVFDGHQ 
S (r − u )+ (x2 ⋅ C ⋅ u )
C=
x2 ⋅ r
Înlocuind x2 cu expresia de mai sus D UDWHL GH DFRSHULUH VH RE LQH vQ ILQDO
valoarea “ C´DRS LXQLL&$//vQmodelul binomialSHRVLQJXU SHULRDG 
p ⋅ C ⋅ u + (1 − p )C ⋅ d
C=
r
r−d
unde: p=
u−d
úL
u−r
1− p = .
u−d
Factorul “ p” este între altele probabilitatea de acoperire, respectiv valoarea pe
FDUHWUHEXLHV RDLE ³q´ODHFKLOLEUXGDF LQYHVWL LDGHFDSLWDODUILI U ULVF
Valoarea “ C´ D RS LXQLL SRDWH IL LQWHUSUHWDW  FD YDORDUH DFWXDOL]DW  OD UDWD
GREkQ]LLI U ULVFDYDORULORUYLLWRDUHSUREDELOHDOHRS LXQLLODVFDGHQ 
*HQHUDOL]DUHD PRGHOXOXL ELQRPLDO SH XQ QXP U ³n” de perioade ia în
FRQVLGHUDUHWRDWHVW ULOHSRVLELOHDOHFXUVXOXLDFWLYXOXLVXSRUWFX³t´FUHúWHULúLvQ
FRQVHFLQ  FX ³u - t´ VF GHUL vQ WRDWH FRPELQD LLOH SRVLELOH DOH DUERUHVFHQ HL
acestor elemente:
Capitolul 8. 8WLOL]DUHDúLHYDOXDUHDRS LXQLORU6WUDWHJLLGHLQYHVWL LL 27

q2 C ⋅ u ⋅ u = max(0; u 2 ⋅ S 0 − E )

q C⋅u
q(1 – q) C ⋅ u ⋅ d = max(0; u ⋅ d ⋅ S 0 − E )
C
q(1 – q)
1-q C⋅u

(1 − q ) 2 C ⋅ d ⋅ d = max(0; d 2 ⋅ S 0 − E )

unde: u 2 ⋅ S 0 ; u ⋅ d ⋅ S 0 úL d 2 ⋅ S 2 sunt valori posibile ale cursului activului suport, în

SHULRDGDDGRXDFXSUREDELOLW LOH q 2 ; 2⋅ q ⋅ (1 – qúLUHVSHFWLY (1 − q ) 2 .
ÌQDFHVWHFRQGL LLQRXDHVSUHVLHDYalorii ( CDXQHLRS LXQL&$//HVWH
C = S 0 ⋅ B (α , n, p ’) − E ⋅ r − n ⋅ B (α , n, p )
unde: α -UHSUH]LQW SHULRDGDGHFUHúWHULDFXUVXOXLDFWLYXOXLVXSRUWvQLQWHUYDOXO
[0, n ]
B(α, n, p) –UHSUH]LQW SUREDELOLWDWHDGHDDYHDFHOSX LQαFUHúWHULvQperioada
[0, n@FkQGSUREDELOLWDWHDGHDDYHDRFUHúWHUHHVWHp.
u
p′ = ⋅p
r
Dezvoltarea modelului binomial în timp continuu conduce la modelul
Black & Sholes care, în fapt, este un caz particular al modelului binomial.