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1994

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1994


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............................................................................................... 11
............................................................................................... 12
I. ........................................... 16
I. ......................................................... 16
1. ................... 16
2. ,
.................................................................. 19
)
, .................................... 20
)
, ........................................ 23
)
, ................ 27
)
.................................................................................... 30
3. ......................................... 32
) ,
....................................................... 32
) ,
................................................................. 34
................................................................................... 34
II. .
......................................... 36
4. .................................................................. 36
5. 42
) ...................................................... 42
) ..................................... 43
) ................................................... 44
................................................................................... 45
III.
..................................................................................................... 46
6. .................. 46
7. ....................................... 47

8. . . .....................51
9. .................54
10. ................................................58
11. .......................................................................58
12. ..................................60
.................................................................................62
IV. ..............................64
13. ...............................64
14. ..............68
15. .................................70
16. .......................................74
.................................................................................75
V.
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17. ,
...................................................................76
) ...................................................76
) ....................................78
18. .........................................79
.................................................................................81
VI. .....................................................82
.................................................................................84
II. ..............................................................85
VII.
..............................................................................85
19. ................85
) .........................................................................87
) ...........................................................................89
) . .............................................91
20. .....................................92
21. ......................................97
.................................................................................98
VIII. ....................................................100
22. ..............................................100
23. ..........................................................................103
) ..............................................................103
) ..................................................................................107
)......................................................................................108
)......................................................................................110

24. ......................................................................................111
) ............................................................111
-1) ...................................................................111
-2) .............................................................113
-3) .................................................114
-4) ............................................115
-5) 116
-6) .......................................................................117
-7) ................................................................118
-8) ..............................................................119
-9) ...............................................................122
) ........................................................123
25. .......................................................127
.................................................................................128
IX. ..........................130
26. ,
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)

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)
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)

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27. ,
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)
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.................................................................................144
X. .......................146
28. ,
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) ,
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29. .......................................148
)
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)
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.................................................................................153
XI. .............................154
30.
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31. .
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) .............................................................155
)
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32. ,
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33. ,
........................................................163
34. - ........................................................166
) ,
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.................................................................................174
XII. ,
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35. .
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36. .
.............................................................................177
37. .
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38. . ..................181
.................................................................................182
III. ....................................................................183
XIII. 183
39. ........................................................183
40.
.....................................................................................184
) ..................................184
) ..................................185
) ......................................................................186
41. ...............................................188
42.
.............................................................................191
43.
.................................................................................192
) ........................192
)
.........................................................................193
) ..................................195
44.
.......................................................................................195
.................................................................................197
XIV. ...................198
45.
.....................................................................................198
46.
........................................................................................203
47.
.............................................................203

.................................................................................204
XV. ...............................205
48. ....................................205
) ......................................206
) . .........................................207
) ....................................................................................214
).........................................................................................217
) ........................................................................................219
) Rho.........................................................................................221
.................................................................................222
1 .....................................................................................223
2 .....................................................................................227
............................................................................230



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S = Fe-r 1T + Div [e-r2 (T - t)]

F = S Div [e-r 1T + e-r2 (T - t)] e-r 1T


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= 6 , t = 3 .
f=0 K=F,

S = Fe-r1T + Div [e-r2 (T - t)]


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, , . ,
. , ,
,
.
, ,
, ,
. ,
.
. 250, 6%, 10%,
. :
F = Se (r q )T = 250e (0,1 0,06 ) 0,33 = 253,36
,
. F >
253,36 , , . F< 253,36 .
.
, ,
, / .
11.


.
,
58

.
: ) ; ) , , .
:

, .
F>S+%+Z
% ;
Z ,
, .
F<S+%
. .
1. . F = 400 .
A, S = 350 . 1 . . 24% .
. : )
; )
24% ; ) ; ) .
18.
. 2.
2

+400 .

-350.

-28 . (350x0,08)

-4.
+18 .

59

2. F = 300 .
1.
. : )

; )
24% ; ) ; )
.
378 . - 300 . = 78 .
(28),

, . , , ,
. , , , r, r - r.

. :
= F2 F1
F2
;
F1 .
,
. , :

F2 - F1 = = F1 e(r r )(T2 T1 ) 1

(F2 > F1)> ,


(F2 < FI), .
12.

.
,
, , 3.

60

3

( , 31 1992 .)
Monday, March 30, 1992
Open

High

Low

Settle

Lifetime
Chang
e

High

Low

Open
interest

CORN (CBT) 5,000 bu.; cents per bu


May

270 1/4 270 1/4 266 266 1/2 -33/4 279 3/4 2343/4 94,456

July

275 1/4 275 1/2 271 271 1/4 -41/4

..

285

239
1/2

104,928

Est.vol 38,000; vol Fri 19,7238 open int.28 1,041, -616

( ) 30 1992 .
(5000 ), .

(, ). (270 1/4),
(2701/4), (266).
(266 1/2), (- 3/4)

. . , ,
. 94456
, , 27
(). , (38000)
(19723).
, , 26
.

61



,
. .
.
.
, , ,
.
,
.
.

.
, . .

() () .
, : , ,
.
.. .,
,
, .
,
.
. ,
,
.

, 62

.

, .
, ,

. 7,
, , .
, , .
. ,
.
. ,
.

IV.


. , , .
,
. , 1973 ., 1975 .,
1982 .
.
, , .
13.

.
100 - r
r , , .
. 10%.
:
100 10 = 90 %
, 90%,
10%. ,
.
, , , . , ,
64

91 , 100000 ..
, ,
, :
91
= 2,49 .
365
, , t1 t2, :
0,0001 100000 .

F2 F1

FI t1;
F2 t2
- :

. 90.
89,95.
, 2,49 ..,
89,95 90
= 5
0,01

2 5 2,49 .. = 24,9 ..

,
().

.
500 ...
750 ..
.


500 ... 65

. , ,
.
.
.

100 . :
91
0,0001 500000 ..
= 12,5 ..
365
. .
I. 91,62 15
91,65.
:
2 3 12,5 .. = 75 ..
1500 .., .
15
75 ..: 1500 .. = 0,05 5%
:
365

(1,05) 15

1 = 3,278 327,8 %

II. 91,62
.
, .
1 ... .
,
, . . 930 1100
16 , . ,
.
100 . , 8,3%,
= 100 -8,3 = 91,7
66

(91,7)
:
2

91,7 91,62
12,5 .. = 200 ..
0,01

, 1500 .. .
, ,
8,3%. . ,
8,25%.
, 8,3%. :
=

H (rs rd ) t 365
1 + (rs t 365)

;
rs ;
rd ;
t , ;
H .

,
8,38%. ,
. :
+ 365

+ rd

t
r
.
r=

r=

10 + 61,065 365

+ 0,0825 = 0,0838 8,38 %


500000
91
67

III. .
, 200 .., .
, 8,38%.
r=

M 365

+ r3
H
t

100 ..
365

+ 0,0838 8,38 %
500000 .. 91
14.

, 13 , ,
1 .. , 13 ,
, ,
13 .
.
89, 90 91 .
,
100 d

(29)

d .
, 10%.

100 10 = 90 %
, .

:
P = 1 000000 . e -r2 t 2
t2
;
r2
/2.
68

,

, .
F = 1000000 .e -r2 t 2 e r1 t 1 = 1000000 .e r1 t 1 r2 t 2

(30)

t1
;
r1
t1.
(30)
F = 1000000 . e - r1 (t 2 t 1 )

(31)

rF t2-t1 90 .
. 90 9,875 %.
1000000 . e

-0,09870,2466

= 975942,36 .


, .
4.
4

( , 31.03.93)
INTEREST RATES
TREASURY BILLS (IMM) $ 1 mil.; pts. of 100%
OPEN
DISCOUNT
INTERES
Open High Low Settle Chg
Settle
Chg
T
95.53

95.54

95.50 95.51

+.02

4.49

-.02

6.532

100
. , ,
, :
P = 100 4(100 F)

69

(32)

;
F .
,

100 4(100 97,59) = 90,36
(32) 4 (100 - F) , d (29),
. (100 - F)
90 .

360
(100 F)
90
, , ,
F = 100 0,25(100 )

(33)

(33) 0,25, 90 .
89 91 ,
89
91
= 0,24272
= 0,2528
360
360
4 (95,51) ,
90 ,

F = 100 0,25(100 95,51) = 98,8775 .
15.


.
,
15 . , 15 . 8%,
100 , . 100 .,
32 . ,
70

96-12, 96 . 12/32
96,375 . 100 ..
96375 .
, , , . , ,
:

, ,
. ,
10%. 40
. ,
:
10000 .
40 = 1095,89 .
365
,
,
8%. , , ,
, 8%,
.

. .

. , 15
2 .
15 .
15 4 ,
15 .
. , , ,
,
.
. , 8%, 100
. . 10%
71

10000
10000
1
+ 100000
= 117292 .

0,08
0,08 (1 + 0,04 )30
1,1729.

15 3 . . 117292 .
,
( 1,04 1 = 0,0198 )
117292 : 1,0198 = 115014,74 .

10000 3
= 2500 .
12
117292 . 2500 . = 114792
1,1479.
. 96-12, 1,1479, 833 . ,
,
96375 1,1479 + 833 = 111461,86 .
, .
, . , .
, ,
, . ,

. ,
.
, . ,
72

( ), . .
2 .
4 ,
8 .
, .
, 2
,
. ,
. ,
.


,
, :

(34)
F = (S I )e rT
S -

I .
.
, 210 , 10%. ,
11,5%,
.
110000 ., 1,35.
30 , 152
. . (
. 12.)

. 12
73



5750 30
= 110947,8 .
182
, 152 (152 : 365 = 0,4164).
110000 +

5750 e 0, 4146 0,1 = 5515,49 .


(210 : 365 = 0,5753)

(110947,8 5515 49)e 0,1 0,5753 = 111675 .


58 .

5750 58
= 109843 .
182

11,5%. , 8%. ,
11,5% 1,35
8%.

109843, : 1,35 = 81365,49 .
111675,7

16.

FTSE 100, . 25 ..
. . , 2000. ,
2000 25 .. = 50000 ..
12,5 ..
.
.
74

. , , , .
. 2500 .. 100 ..
. 10 1980
2000. :
10 20 .. = 5000 .
V.

.
,
.
,
, .

75

V.

.
, , .
17. ,


. , , ,
().
,
III.
, 920 1500 .
, , 30 . .

: -7 , -76,
3- (), -, ,
, . . .
)


1000 . 10 . , .
. 1000-
80000 ., 10- 800 . ,
. 76


, , ,
.
1000- 0,1 .,
10- 1 . 30%.
. ( 1).
10- .
100
1180 . 1 .
1220 . :
100 10 (1220 1180) = 40000 .
. 50 150
. , 200 .

, ,
, :

F = Se(r rf )T
, , ,
. ,
( )
,

,
.
,
.


, ,
,
.
:
F = Se rT
77

, , ,
r

F = S1 +
m

mT

(35)

r ( );
.
(35)
, ,
()
( ).
.
, :
t

F = S1 + r

365

t ,
.
. 120%.
1500 . :
1500 1,3 = 1950 .
, . , ,
, ,
,
. ,
, , ..
.
)

,

, ,
, .
78

1000 .,
, 1000 . ,
985 .
:
1000 985 = 9859000 .
, ,
, .
10%. .
1000 . .
( 1.)
,
, .
.
. 1300.
1288.
:
1 (1300 1288) 1000 = 12000 .
18.


(10 .
) , , .

. ,
:
.

.
.
.
. ( ) .
.

.
79

(, ) , , .
. ,
: 1270.
,
1270 .
, . , : . ,
, . , .

. , . ,
, :
,
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, ,
.

.
. . ,
.
, . ,
, .
.
.
.
() ,
. . 13. .
100 10 . (1)
() 1993 . 1350
. 1 . 1178.

80

. 13
, , , -, , -,
.
,
, , ,
.
.



.
, .
.
, .
, () - .

81

VI.
,
, .
, .
.
. , ,
. ,
. , ,
. , ,
, .
.
.

.
. : 1000 . 1993
. 1630 .
1400 .
150
. , , .
,
1540 ., 1380 .
:
90 . 1000 = 90000 .
82

:
20 . 1000 = 20000 .
70000 . ,
, .
.
, .
,
, ,
.
,
. ,
. . 14, ,

, .
,
, ,
,
.


,
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, .


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VII.

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19.


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85

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.
,
. ,
, .
. 100
120 . .
() 5 . .
120 ., .
, ,
120 . , ,
130 . ,
120 .
130 . :
130 . 120 . = 10 .

5 . , :
10 . - 5 . = 5 .
.
,
120 ., , 110 .
,
120 .
,
110 .
,
, . , ,
, , 5 .
, 5 , ,
,
87

. . .
, . 15,
,
.
, ,
125 .,
, 125 . , 125 .
, 120 . 125
. ,
. , 123 . :
123 . 120 . = 3 .
:
3 . - 5 . = -2 .
-
.
5

>

P-X-i

-i

;
X ;
i , .
.
,
120 . 120 . < < 125 .
, 5 . = 125 .
. > 125 . . -
. 16.
88

- .
6

>

-(P-) + i

, .

.
, ,

.
)


.
, .
. 100
70 .
70 . .
5 .
, , 70 . ,
, 60 .

, 70 . :
89

70 . - 60 = 10 .
, :
10 . - 5 . = 5 .
, 75 .
, : ) ,
(
); )
. . , . 17.
, < 65
. 70 . 5 . .
65 . <<70 . ,
. = 65 . .
- 7.
7

<

X-P-i

-i


. ,
70 .
. , . = 65
. .
-
. 18.

90

) .


: 1)
; 2) ; 3) . ,
. ,

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. , >, = X, < X.
, < X, = , >. , .

.
: 1)
2) .
,
.
. , 70 .
67 . 5
. :
70 . - 67 . = 3 .
:
5 . - 3 . = 2 .
91

,
.
.
, .
, .
20.


.
. , ,
, .
,
.
,
. 1973 .
. 1973 .
() . 16
.
500 . .

. ,
.
.

.
.
, , , . .

,
. .
100
.
.
92


, - ,
. ,
, .
.
,
.
.
,
.
, , , 60 .
15 -
, . , , 11 .
, .
.
2,5 ., 5 . 10 .
.
,
,
. ,
70 . 65 . 75 .
75 .,
80 ., 65 .,
60 .

,
. , ,
. ,
, .

. ,
100 .
.
, ,
.
,
. .
93

, , ,
.
, -
,
: 1) 2)
.
, .
.
.
,
,
5 .

.
.
.
,
.
, . ,
.
, . ,
, .
. ,

.
.

. .
,

. ,
.
. .
7 . 50 . 53 .

30% .
94

:
53 . 200 0,3 = 3180 .
3 . ,
:
200 3 . = 600 .
:
3180 . + 600 . = 3780 .
, ,
, :
200 7 . = 1400 .
:
3780 . -1400 . = 2380 .
,
:
3180 .-1400 . -600 . = 1180 .
. ,
,
, .
, . , , ,

.
. ,
, .
,
. ,
.
,
.

95

. 300
. 40 . 6 . 44 .
50%
.
4 .,
:
300 (44 . 0,5 - 4.) = 5400 .
:
300 6 . = 1800 .
, , :
300 44 .- 5400 . - 1800 . = 6000 .
, . , ,
,
,
( ).
.
30 . 3 . 28 .
30 .
37 . .
1,3% .
, :
300 (37 . - 30 . - 3 .) - 30 . 3 - 37 . 0,013 300 = 965,7 .
,
7 . :
300 (7 . - 3 .) - 30 . 3 2 = 1020 .
:
1020 . -965,7 . = 54,3 .

,
.
. 96

. ,
, ,
. ,
3 :2. 100
, 150 .
51 .,
34 .
. ,
20%. ,
. ,
6:5.
,
120 . 51 ., 42,5 .
, .
21.

, . 8
9 1992 .
6 1992 .
8

Option
&
NY
Closing

Strike
Price

Ford

Calls-Last

Puts- Last

Mar

Apr

Jun

Mar

Apr

Jun

22 1/2

13 1/4

s.

357/8

25

105/8

357/8

30

61/8

65/8

/16

97


- . ,
35 7/8 . . ,
, ,
. r , 6
. s ,
,
.
(. . 9).
9

Total

Call

Vol

3,698

Call

Open

Int

367,624

Total

Put

Vol

1,894

Put

Open

Int

129,427

9 6 1992 .
( 1- ) (2-
), .

.


: .
,
. : .
, , .

. ,
,
.
, , , .

98

, , , .
, , .
: . .
.
, .
.
.

VIII.
, .

. , ,
.
, .
, , .

. 24 25 , 34
XIV.
22.

. .
. .
1.
(. . 19).

, .

.19.
100

2.
(. . 20). .

.20.

3. (.
. 21). .

.21.

4. (.
. 22). .
.
. 19-22, - .
, ()
101

.22.

() , .
, , . 21, . ,
. . ,
(
),
,
. .
,
.
1977 .
,
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.
/ .
, : 1) 2) .
,
, , .
102

,
, /
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. , ( ),
( ) .

, .
, .

.
, , .
:
.
, ,
, . , ,
. ,
.
,
.

.
23.
) ()


.
.
, ,
,

103

. , .
,
.
.
, , .
,
, 5 . 3 . ,
.
. 50 .

51 . . 3 . .

.
1. 51 .
6 .
.
2. 57 .
:
57 . 51 . = 6 .
6 .
, .
3. 57 ., , 60 .
:
60 . 51 . - 6 . = 3 .
4. 45 .
. ,
:
51 . 45 . 6 . = 0.
5. 45 ., ,
40 . :
51 . 40 . - 6 . = 5 .
, ,
57 . 45 . , 57
. 45 . .
104

45 ., 57 .,
. 6 .
, 51 .

, . , 53 .
:
6 . - 53 . + 51 . = 4 .
48 ., :
6 . - 51 . + 48 . = 3 .
,
, :
45 . < < 57 .
-
(. . 10). -
.
. 23 - , . 24
.
10

<

X-P-i \

-i I

>

P-X-i \

;
X ;
i .

105


. .
,
.
, , ()
() . .
1.
(. . 25).
.

.25.

106

2. (. .
26). .

.26.

3.
(. . 27). .
4. (.
. 28). .

.

, . ,
, 107

.

.
. .
60 ., 55 . 5
. . 53 . .
, 70 .
45 . ,
45 ., 70 . 10
. 55 . < < 60 . 45 . < < 55 .
, 60 . < < 70 .
, . = 45 .
= 70 . .
45 . < < 70 .
- , 11. . 29 - , . 30 .

, .
11

P<X1

X1-P-i

X1PX2

-i

>2
X1 ;
2 ;
i .

P-X2-i

. , .
.
, ,
, .
108

.
50 . 49 .
4 .
.
, < 38 . > 56 .,
38 . < < 56 .,
.
38 . < < 56 . = 38
. = 56 . .
- , 12. - . 31 32.
12

<

X-P-i

-i

>

2(P-X)-i

, ,

. ,
.
109


. ,
. .
, ,
, .
. 40 . 50 .
4 .
-- . - , 13.
13

P<X1

2(X1-P)-i

X1PX2

-i

>2

-2-i

X1 ;
2 .
62 . < < 34 ., , 34 . <<62 .
110

12 ., 40 . 50 .
34 . < < 62 . , 34 .
62 ., . - . 33 34.

24.
)

-1)

. .
,
,
. ,
, , . ,
. ,
.
(. . 35).
. 4 .
40 .
45 . 2 . , :
4 . - 2 . = 2 .

111

.35.

45 .,
:
45 . 40 . 2 . = 3 .
45 ., , 48 .,
:
48 . 40 . - 2 . = 6 .

, :
48 . 45 . = 3 .
, 3
.:
6 . 3 . = 3 .
45 . 3
. 40 ., 2 .,
. = 42 .
. - 14.
,

. , , . ,
, , .
. 35.
112

14

PXi

-i

X1<P<X2

P-X1-i

X2-X1-i

X1 ;
2 .
-2)

. ,
, .
,
.
, , ,
.
15.
15


1
X1<P<X2
2


+i
-(P-X1)+i
-(X2-X1)+i

X1 ;
2 .
. 2 .
40 .
35 . 4 .
:
4 . - 2 . = 2 .
113

40 .,
:
-(40 . - 35 .) + 2 . = -3 .
35. :
0 + 2 . = 2 .
35 . < < 37 .
2 . 0 . 37 . 40 .
-3 . 0 .
. 36.


.

,
. ,
.36.
.
-3)


.

. 37.
,

,
.37.

114

X1X2. 16.
16

P<X1

-(X1-P)+i

X1PX2

+i

>2

P-X2 + i

X1 ;
2 .
-4)

.
. 38.
, ,

X1X2. 17.
17

P<X1

X1 - P + i

X1PX2

+i

>2

-(P-X2)+i

X1 ;
2 .

115

.38.

-5)
, .
)
.
(, . 39).

>X, ,
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,

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,
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116

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.
.


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(. . 42).

.41. :

117

.42. :


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. 41 42, ,
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. 44.
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118

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.
.
119

,
. , 2, , .
. 45. -
18.
18


PX1
X1 < 2
2<3
>3


-i
P-X1-i
3 - P -i
-i

X1 ;
2 ;
3 .
.

1,
3 2, X1 3.
.
.

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120


, .
45 46,
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, ,
.

,
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X1,
,
2 3,
4. 4 - 3 = 2 - X1.
, . 49.
, .
, ,
.
19.
19

PX1

-i

X1<P<X2

P-X1-i

2<3

X2-X1 -i*

3<<4

X4-P-i**

-i***

X1, X4 ;
2, 3 .
* (P-X1)-(P-X2)-i = 2-X1- i
** (-1)-(-2)-(-3)-i = (3+2 -X1)-P-i = X4-P-i
*** (P-X1)-(P-X2)-(P-X3)+(P-X4)- i = 0-i
, ,
, . . 50. .

122

.49.

,
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, . . , ,
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,
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123

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124

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.
, ,
. , ,
, , ,
.
***

(
, 34 XV.)
125

.

. ,
, . ,
,
. , ,
.
, ,
,
, . ,
,
,
. , , ,
. ,
, , ,
. . ,
. , ,
. .
.
,
.
, ,
,
. ,
,
126

, , ,
.
.

(
, ).
,
, .
.
25. ( )

,
.
, , , , .
.
,
.
,
. ,
, . ,
, , , , ,
. , , . , ,
, , , ,
. ,
, . , , .
.

, ,
, , , , ,
127

,
.

, , ,
.

, , , , .
,
, , ,
.
,
.

, , .
,
,
,
, . , ,
, , , .
,
,
, , .


. .
. ,
;
, .
,
,
/ , ,
128

. , .
, .
, . ,
, .
, , .
.
,
.
, .
,
.
.

.
,
. . ,
, ,
. ,
, . ,
,
.
, .
, , , .
, ; , .
129

, , .
.

.

.


, ,
. , ,
.
26. ,
,

, .
.
X, ,
.
>, - X. . .
1.
5 ., 100 ., 110 .

130

: , . 5 .
20.
20

1.

- 5 .

2.

- 100 .

3.

+ 110 .
+ 5 .

2.
15 .,
100 ., 110 .
:
. 95 .
, 100 .
5 .
21.
11 .
15 .,

.
21.

1 .

+15.

2.

-110 .
- 95 .

3.

+100 .
+ 5 .

131

,
, X, , > X.
. 54.

.54.

.

, :
S
;
S .

:
. ,
- ,
.
)

,
. . X, ,
< X, - X.
. . 55.
132

.55.


,
.
, :

a .
.
. 50 ., 45 .
50 . 45 .
5 .

.

:
pe Xe rT
;
;
r .

,
.
133

,
, :
S-Xe-rT
.
, . X
, .
, X.
X -rT .
.
T X.
X, ,
. X, X. ,
T , X.
T .
, . 22.
22

>

Va = ce+Xe-rT

VA = 0+X

V = (-)+

V = S

V =

V =

VA>V

VA = V

V ;
.
,
, ,
:
ce + Xe rT S ,
ce S Xe rT
134

(36)

,

.
. 40 . 37
., 10%,
.
.
:
S --r= 40 . -37 -0,1 . = 6,52 .
, 6 ., .
. , ,
:
40 . - 6 . = 34 .
10% :
34 e0,1= 37,58 .
37
., , ,
, :
37,58 . - 37 . = 0,58 .
37 ., ,
, , 35
. :
37,58 . 35 . = 2,58 .
(36) ,
, :
, (S),
(T), ()
(X).
)

,
, :
Xe-rt-S
.
135


.
-r.
< X, ,
X. X,
. , T
X.
, X,
X. ,
(. 23).
23

<

VA=pe+S

VA = 0+

VA = (X-P)+P

V = Xe-rT

V =

V =

VA>V

VA=V

T
, :
pe + S X rT
pe Xe rT S

(37)

, ,
.
. X = 52 ., S = 50 ., r = 10%, T=3 .
.
:
52 .e 0,10,25 50 . = 0,716 .
, 0,6 ., . : 50,6 .
. :
136

50,6 . e0,10,25 = 51,88 .


< X, ,
52 . :
52 . - 51,88 . = 0,22 .
X, ,
, , 53 .
:
53 . - 51,88 . = 1,22 .
(37) ,
, ,
, (X),
(S), (r), (7) (
,
, ).
) .


. ,
, ,
. , . 65 ., 80 .,
.
,
, 15 .
. : 65 .
, , .
, .
,

, .
, ,
, ,
. .
. 137

, , ,
.
, 10%:
80. -65 -0,10,1667 . = 16,07 .

.

. .
,
X -r. .
( t), .
, ,
,
. 24. , , ,
, . ,
.
3) .

, . .

.
-r. ( t)
X, -r(T-t).
,
.
X. ,
.
,
. 25.

138

24

VA=a+Xe-rT

VA-- + -r(T-t)

VA=(P-X)+X

V=S

V=

V=P

V=P

VA<V

VA = V

VA>V

>

VA = O +


25

<

VA=pA + S

V=(-)+

VA=O+P

VA=(X-P)+P

V=-r

V=-r(T-t)

V=

V=X

VA>V

VA>V

VA = V

, ,

.
( ), ,
,
. ,

139

.
,
:
pa X S
,
.
27. ,
,

,
, . ,
.
, 1) , , ,
; 2)
, , . ,
,
75-85% . , , ,
. ,
. , , , , 75-85% .
)

, .
.
, , -rT ,
D (D ,
.
r
. , D
T r).
> X,
P + D rT. X, X + D rT .
140

+ D r. ,
, (.
26). . , T
, :
ce + Xe rT + D S
ce S Xe rT D

(38)

,
,
,
.
, , .
26

VA=S

>
VA=P + D

-rT

V = ce+Xe +D

rT

VA=P + D rT

V=(P-X)+X + D rT

V = 0+X+D rT

V = VA

V>VA

(38) ,
, ,
, : ,
.
)

, .
, -rT D.
141


X P + D rT. < X+ D rT.
X + D rT (c. . 27).
27

VA =Xe-rT+D

V=pe+S

<

VA=X+D rT

VA=X + D rT

V = 0+ + D r

V=(X-P)+P + D rT

V>VA

V =VA

, .
, :
pe + S Xe rT + D
pe Xe rT + D S
,

, ,
. , ,
.
(39) ,
, ,
,
: ,
.
)

,
, , .
, , . ,
142

, , .

.
, ,
, Div1, Div2, Div3..., Divn t1,
t2, t3,.., tn.
( tn),
, :
Ptn X
,
:
Ptn Div n
:
Ptn Div n Xe r (T tn )
Ptn Div n Xe r (T tn ) Ptn X ,

Div n X 1 e r (T tn )
tn.
.
Ptn Div n Xe r (T t n ) Ptn X ,

Div n X 1 e r (T tn )

,
.
tn-1 Divn-1.

, :
Ptn 1 X
,
:
Ptn 1 Div n 1

tn.
tn-1 :
Ptn 1 Div n 1 Xe r (tn tn 1)
143

,
Ptn 1 Div n 1 Xe r (tn tn 1) Ptn 1 X

Div n 1 X 1 e r (tntn 1)
.
Div n 1 X 1 e r (tntn 1)
.
ti i < n,
.
. ,
. S= 50 ., = 48 ., r = 10%, Div2 = 0,8 .,
Div2 = 0,8 . 3 ,
6 . ,
.
:

X 1 e r (tntn 1) = 48 . 1 e 0 ,1(0 ,5 0 ,25 ) = 1,185 .


:

X 1 e r (T t 2 ) = 48 . 1 e 0 ,1(0 ,667 0 ,5 ) = 0,7855 .

X 1 e r (T t2 ) = 48 . . 1 e 0 ,1(0 ,667 0 ,5 ) = 0,7855 .



0,8 > 0,7855

.




.
, ,
.
, ,
, .
144

, ,
.
,
,

.
, , .
.
, ,
,
.
, ,
.
, , , ,
, , .
, ,
. .
, ,
, ,
.
, , , ,
.

X.

, .

,
.
.
) ,

,
.
X1 1
2 2.
X1 < 2, 1 > 2,

.
. X1 < 2, 2 p1

.
)


, , T2 > T1,
c o 2 c o1

2 1

, c12
2 , 1 1 77,
t, 2 - T1.
146


. , .
, . ,

. , ,

X rT S
. , ,

.
, ,
. .
1. ,
, .
, . ,
.
2. ,
, . )
, . ,
. ) . , .
) ,

.
: , , (),
, .
. 1< 2,
c1 c 2

147

1 2

, ,
, . ,

.
, . ,
.
29.
)
,

e ,
. ,
, ,
,
, , , , .
,
.
.
, .
, X-rT. .
> X,
. X, X. ,
T .
,
, :
ce + Xe rT = p e + s

.
. S = 42 ., =40., r 10%,
3 , =3,5 . pe.
:
+ Xe-rT = 3,5 . + 40 . -0,10,25 = 42,5 .
= 42,51 . 42 . = 0,51 .
, 0,51
., 1 .
148

. ,
. :
-3,5 . + 1 . + 42 . = 39,5 .
:
39,5 . 0,10,25 = 40,5 .
> 40 .,
, 40 .
:
40,5 . - 40 . = 0,5 .
< 40 ., .
40 .
:
40,5 . 40 . = 0,5 .
, 0,2
.
.
:
0,2 . + 42 .-3,5 . = 38,7 .
, :
38 .0,10,25 = 39,68 .
< 40 .
:
40 . -39,68 . = 0,32 .
> 40 . ,
40 .
:
40 .-39,68 . = 0,32 .
)
,


.
.
, > +S = +-rT.
149

,
> + -rT - S
= ,
> + -rT S
- < S X -rT
.
.

, X, er .

. ,
. > X,
, . < X,
X.
>X,
(P -)+rT . < X rT
.
, ( t)
. , <
X. ,
, = 0, Xert. ,
.
28.
28

<

>

VA=pa+S

VA=(X-P)+P

VA=(X-P)+P

VA=0+P

V=+

V = O+XerT

V = 0+r

V = (-)+r

V>VA

V>VA

V>VA

150

,
+ > + S

c = ,

+ > + S > S - X
,
- < S X -rT
: S X < - < S X -rT
. , , = 2 .,
= 35 ., S= 33,5 ., 3 , r =
10%. .
33,5 . - 35 . < - < 33,5 . - 35 . -0,10,25
-1,5 . < a -a < 0,64 .
1,5 . > - > 0,64 .
3,5 . >> 2,64 .

,
3,5 . 2,64 .
) ,

. , X -rT
D.
. T
(. . 29).
29

>

P<X

VA=e+-r+D

VA=(P-X)+X + D rT

VA=0+X+D rT

V=pe + S

V = 0+P + D rT

V=(X-P) +P + D rT

VA=V VA=V

151

, ,
+ X -rt + D = + s

, , .
)
,

.
, , X, r, D.
.
30, T . ,
+ S < + X + D
30


VA=ce+X+D

V=P*+S

rT

VA=0+ +
+ Drt
V=(X-P)+P
VA>V

>

<

VA=(P-X) +
+XerT + DrT
V=0 + P + D

VA=0+XerT +
+ D rT
V=(X-P)+P+
+ D rT

VA>V

VA>V

rT

( , - 0)

,
+ S < + X + D
S X - D < -
, , , :
152

ca - pa< S - Xe -rT
,
,
. :
S -X -D < - < S --r



.

.

.
. ,

.
, , .
,
, . ,
.

XL


. ,

.
, , , - , .
- , .
30.

, . , . ,
.
,
100 . , 120 .
10%, 110 . 20%, 105 . 25%, 100 . 20%,
90 . 15%, 80 . 10%. .
,
.
,
,
, - X.
:
0,10 + 0,150 + 0,20 + 0,255 + 0,210 + 0,120 = 5,25 .
154

, . ,
8%. :

5,25 0,080,25 = 5,15 .


31. .


,
, , ,
.

.
)

, ,
. , .

.
,
, . ,
.
,
.
, . , /7
0,3 . t2
0,5 . ,
0,3 , ,
0,5 .
.
,
, .
, ,
.
155

,
,
. , 5
36 .
33 .
10%. ,
34 . 38
. .
34
., .
38 ., 2 . ,
,
. ,
,
.
= 34 . 34 .
= 38 . 38 . 2 . ,
, :
34 . = 38 n . - 2 .
, = 0,5 .
5 17 .
:
33 . 0,5 - c = 16,5 . - c
,
.
5
, :
16,5 .- = 17 . -0,10,4167=16,31 .

=0,19 .

, . , ,
156

.
,
. , . . .
,
.
32. ,


, S
p 1-,
. 56.
Su Sd,
, > 7, a d ,
d < 1.
,
.
. 57. S.
t1 Su Sd.
t2 Su2, Sd2 Sud ..
. ,
, , u=1/d ,
(.
. 58).

.5.

157

,
, , 0
P-X . 0 X- . ,
7,
t , .
. , ,
t4. t4 t3 ..

158

. , ,
.
, ,
.

At Se t , r . , , :
Su + (1 p) Sd

Se rt = pSu + ( 1 p )Sd

e rt = pu + ( 1 p )d
(41) p.

(40)
(41)

e rt d
(42)
ud
,
, . ,
p=

u = e

;d = e

(42)
.
. 40 ., 35%,
10%.
.

t = 0,0833
u = e 0,35
d = e 0,35

0, 0833

= 1,1063

0, 00833

= 0,9039

e rt = e 0,10,0833 = 1,0084
159

p=

1,0084 0,9039
= 0,5163
1,1063 0,9039

1 = 1 0,5163 = 0,4837
,
0,5163 0,4837.
u d,
. ,
, ,
, . 58.
Sd Sd= 40 . 0,9039 = 36,16 .
Sd2 Sd2 = 40 . (0,9039)2 = 32,68 .
Su Su = 40 . 1,1063 = 44,25 .
..

(. . 59).


, .

.59.

. ,
40 ., 45 ., 10%,
35%.
.
160

Su3
. Su = 45 - 44,25 ., = 0,75 .
Sd = 45 . - 36,16 . = 8,84 .
Sd3 = 45 . -29,54 . = 14,46 .
t3, Su2, S, Sd2


. .
t
= () -rT

.
Su2. :

(0,5163 0 + 0,4837 0,75) -0,10,0833 = 0,36 .


S :
(0,5163 0,75 + 0,4837 8,84) -0,10,0833 = 4,62 . ..
. 59.
5 .
.
,
. , . (
t) , X
- .
. 60.
Su2. 0,36 .
:
45 . 48,96 . = -3,96 .
,

. ,
, 0,36 .

161

.60.

S ( t3) 4,62
.,
, :
45 . - 40 . = 5 .
, 4,62 , 5 . . Sd2 :
45 . - 32,68 . = 12,32 .
Sd :
45 . -36,1.= 8,84.
:
(0,5163 5,0 + 0,4837 12,32) -0,10,0833 =8,47 .
, 8,84 .
Su :
45 . - 44,25 . = 0,75 .

162

,
0,75 .,
(0,5163 0,36 + 0,4837 5,0) -0,10,0833 = 2,58

5,56 .
, .
, , .

t. 30-50
.
33. ,

,
.
.
,
, : ) ; ) . .
,
.
, . 61.
, .
,
1 - q.

, . ,
.

. .
,
, , , ,
.
163

, .
.
, , .
.
, 48 ., 45 ., 35%,
10%. ,

.61. , .

3 . .

.
3e-0,10,25= 2,93 .
:
48 . -2,90 . = 45,07 .

,
, 0,5163 0,4837, = 1,1063, d = 0,9039.
Su ( t1) :
45,07 . 1,1063 = 49,86 .
: 3 -0.1x0,1667= 2,95 .
: 49,86 . + 2,95 = 52,81 .
Su ( t2 ) :
164

45,07 . 1,10632 = 55,16 .


:
3-0,1x0,0833= 2,98 .
:
55,16 . + 2,98 . = 58,14 .
3

Su :
45,07 . 1,10633 = 61,02 .
,
. Su4 67,5
. ,
,
,
, , ,
.
, ,
(.
. 62).
Sd3. , 11,34
. , ,

.62. , .
,

165

, ,
11,71 .
Sd ( t3 ,
4,28 . , , ,

2,80 .
,
.
, .
34. -
) , . .

70- . .
,
. , .
.
: ,
, ,
, . .

.
. .
, .
. .

,
.
,
. . , (. 63) 166


, . , , ,
. -,
.
, , ,
.
.
,

(. 64). , , , 50
., ,
45 .
55 .,
.
,
, ,
, ,
, ..
. ,
, , , , .

,
,
, . 65.
. , ,
. , ,
,
, .

,
, . .
, , ,
,
167

, . , , .

. .

, .
,
. , ,
. . , 100 .,
10%, ,
90 . 11 . (10010%) 8,3%
, 80 . 120 . (100210%) 95,4%
168

70 . 130 . (100310%) 99,7 .



, , 99,7%
, 95,4% 68,3% (.
. 66).

,
.
. 10% . .
252 . :
10% : 252 = 0,63%
100 .,
:
1000,0063 = 0,63 .
. ,

,
.
, .
, .
.

, . ,
20%,
10%. ()
,
, 20%, , 20%
10%, , 15%, , 20%.
169


( )
() .

. .
,
, , ,
, , ,
. ,
.

.
,
..

,
. ,

, ,
, .

, ,
. , ,
, .
.


1 1
(xi m)2
=
(43)

n 1 n1
;
();
xi ().
170

m=

1 1
xi
n i =1

(44)

1 1
(45)
i xi
i = 1 i =1

. i i .
. ,
,
P Pi
(46)
xi = i +1
Pi
Pi i- .
,
,
P
(47)
xi = ln i +1
Pi
,
, . , .
. . 34.
.
34
m=

- (.)
0
1
2

50,0
51,0
52,0

P +1
ln i
Pi

0,0198
0,0194

0,01782
0,01742

0.000316
0.000303

171

. 34

(.)

P +1
ln i
Pi

51,5

-0,0097

-0,01168

0,000136

50,5

-0,0196

-0,02158

0,000466

49,0

-0,0302

-0,03218

0,001036

6.

48,5

-0,0103

-0,01228

0,000151

49,0

0,0103

0,00832

0,000069

49,5

0,0102

0,00822

0,000068

50,5

0,0200

0,01802

0,000325

10

51,0

0,0099

0,00792

0,000063

0,0198

0,002933

= 0,0198 : 10 = 0,00198
0,002933
= 0,0180499
9
. , .
=

0,0180499 52 = 0 ,13016 13,016%


-

(48)
ce = SN (d1 ) Xe rT N (d 2 )
= ,
.
(49)
pe = Xe rT N ( d 2 ) SN ( d1 )
ln (S X ) + (r + 2 2)T ln (S X ) + rT 1
(50)
d1 =
=
+ T
2
T
T
172

d2 =

ln (S X ) + (r + 2 2 )T
T

= d1 T

(51)

.
- . ,

r ;
, ;
N (di) ,
, di.
. S = 50 ., =45 ., r = 10%, T= 6 ,
= 0,525. .
ln (50 45) + 0,1 0,5
+ 0,5 0,525 0,5 = 0,6041
d1 =
0,525 0,5
d 2 = 0,6041 0,525 0,5 = 60,2329
N (di)(c. 2) :
N(d1) = 0,7271; N(d2) = 0,5921

= 50 . 0,7271 45 . -0,10,50,5921 = 11,01 .


) ,

,
: 1) 2)
. .

. .
,
. ,
.
.
,
173

. ,
q

q.
T , ,
S, ,
, ,
S e-qT . ,

. . ,
, , S
S e-qT
ce = Se qT N (d1 ) Xe rT N (d 2 )

(52)

pe = Xe rT N ( d 2 ) Se qT N ( d1 )

(53)

ln (S X ) + (r q + 2 2)T

(54)

d1 =
d2 =

T
ln (S X ) + (r q 2 2)T

(55)
= d1 - T
T
d1 d2 :
Se qT
S
= ln qT
X
X
.
, S
,
.
-.
ln


. , ,
, , .

174

. ,
. ,


.
, 1) ; 2)
, .

-. , .
,
, .

.
. .
.
,
.
.

XII. ,
, ,

,
, , . , .
35. .


, , S & 100, PS &
500, ( 15 );
( 1700 ) . , , ,
,
. ,

,
. , 100.
.
. 3254.
3284.
(3284-3254) 100 = 3000 .


.

,
.
176

, . ,
,
, .
. 245.
250.
20%. , ,
.
1%, 2%, 1,5%.
10%. .
. :
1% + 2% + 1,5%
12 = 18%
3
-.
d1 =

ln (250 245) + (0,1 0,18 + (0,2)2 2 ) 0,25


0,2 0,25

= 0,0520

N(d1) = 0,5207
d 2 = 0,5207 0,2 0,25 = 0,048
N(d2) = 0,4809
ce = 250e 0,180, 25 0,5207 2450,10, 25 0,4809 = 15,3635
:
15,3635 100 =1536,35 .

,
, S
.
36. .


. .
177

, , -, ,
, , , .
.

, , .
. ,
.
.
. 100
100 . 120 ., .
:
(120 . - 100 ) 100 = 2000 .
.

.
, , , ,
.
.


, .
, ,
, ,
, 5, , ,
Se-q .
, .

:
178

Oe rT = 0
, , r - q.
,
, r = q. , ,
, ,
,
Fe-rT, F . :
ce = Fe rT N (d1 ) Xe rT N (d 2 ) = e rT [FN (d1 ) X (d 2 )]
p e = e rT [XN ( d 2 ) FN ( d1 )]
ln (F X ) + ( 2 2)T

; d2 =

ln (F X ) + ( 2 2)T

= d1 T
T
T
,
.
,
,
, , .
d1 =

37. .
.


, , .
,
.
.
.

-
ln (B X ) + (r + 2 2)T
ce = BN (d1 ) Xe rT N (d 2 ) ; d 2 =
T
179

pe = Xe rT N ( d 2 ) N ( d1 )

d 2 = d1 T

.

, . ,
. , ,
.
. .
, , .
)
, ,
,
-
; ) , .
.
,
, X.

.
,
.

,
.
, . , 15 ,
10 .

180


. , ,
.
, ,
. , , .
.

,
. .
38.

.
, , , , ,
, , .
, . ,
/ 31250 , 62500 .

, .
, ,
. -
, :
ce = Se rT N (d1 ) Xe rT N (d 2 )
pe = Xe rT N ( d 2 ) Se rjT N ( d1 )
d1 =
d2 =

ln (S X ) + (r - r + 2 2 )T
T
ln (S X ) + (r - rj - 2 2)T
T

181

= d1 T

S ()
(, , );
rf .


, , .
,
.
, , , ,
, -.
.

III.
XIII.

. ,
, .
,
.
39.


, , .
.
, -, , -,
.
/ .

. ,
. ,
.
,
, .
.

. , , ,
133



.

: , .
().
, .
,
.
,
.
40.

/
. ,

, ,
. , .
I 1. ,
.
.
)

. ,
, .
. 500 . . 520 .

. , -

184


. ,
. ,
520 .

520 .
,
. , 520 . .
? ,
540 .
540 . . , , 20 .,
.
520 . ,
500 .
500 . ,
20 . , ,
520 . ,
, .
)

-
, .
.
. 520 .
.
500 .,
, 20 . . 520 .
540 ., ,
20 . ,
520 .
, .

. , , / ,
185

,
, ,

( ..). ,
/ .
. , , .
, 510 .,
10 . ,
500 .
510 . .
)

-
,
, ,
.
, .
. ,
, ,
, , , .

.
:
b1 = S1-F1

(56)

b .
:
b2 = S2 - F2

(57)

, ,

/ , :
S2 + (F1 -F2) = F1 + (S2 -F2) = F1 + b2

186

,
, , /
:
S2 + (F1-F1)=F1 + b2
, , 2 .
, .

: ;
.
.
, ,
,
,
.
, ,
.

.
, ,
,
, . -.

.
:
) t2, a
:
S 2h S 2F
S 2h ;
S 2F , ;
)
S 2F F2
187

, , :

) (

S 2h + (F1 F2 ) = F1 + S 2F F2 + S 2h S 2F

(58)

. , .
, .
.
. S1 = 500 ., F1 = 510 .
S2 = 510 ., S2 = 515 .
. , , .
P = S2+ (F1 -F2) = 510 . + 510 .-515 .= 505 .
-:
P = F1+b2
b2= 510 . -515 . = -5 .
= 510 . + (-5 .) = 505 .
41.


,
.
:

. 200
. . .

.
1600 . 1 . ,
200000
= 200
1000
188

, , ,
( , ).
, , , (
).

Vp=Vs-hVF
Vp ;
VS ;
VF ;
.
,
:
V p = Vs hVF = 0
.
:
h=

Vs
V F

,
,
.
( S) ( F) .
:
r
(60)
h=
F
s A S;
A F;
F
S F

1 n
(xi x )2
=

n 1 i =1
189

xi i- (S F);
* ;


1
2

n
n

x12 xi

(62)
= i =1 i =1
n 1
n(n 1)


v x,y
=
(63)
x y
Cov x,y ( S
F,
2

Cov x , y =

(xi x )(yi y )
i =1

(64)

[n

n xi yi xi yi
x12

][

( xi ) n yi ( yi )
2

(65)


S F, . 67.
. . ,
,
.
:

190

,S =0,02127, F = 0,01933, = 0,8574.


0,8574

0,02127
= 0,9435
0,01933

,
94,35% . ,
10 . 300 (
,
).
300 0,9
= 27
10

.67. S F

42.

FTSE 100. ,
570 ..., 1,2.
. 2100.
,
. :
191

.

, :
25 .. 2100 = 52500 ..

.

570000
1,2 = 13
52500
43.

)


.
. , .

:
F =

S
Kk

(68)

F ;
S ;
Kk ,
(68),
, . (68) :
S
(69)
Kk =
F
,
192

, . > 1,
, ,
, . < 1,
, ,
. , ,

(70)
,
.
. 740
. ,

8%- 15- 100 .
112%, 1,2. ,
, .

740000
1,2 = 7,9
100000 1,12
, 8
.
)


. , (duration). ,

193

. , , :
S = D S

r
1+ r

(71)

S ;
D ;
r .

KD =

S
S g

(72)

KD ;
S ;
Sg .
(72) :
KD =

D S r / (1 + r )
D g S g rg / 1 + rg

(73)

g .

, ,

r / (1 + r ) = rg / 1 + rg

(73) :
KD =

DS
Dg S g

(74)

194

.
, .
: S= 119, D= 14,2, Dg= 12,1.

14,2 119
K=
= 1,25
12,1 112
, ,
740000
1,2 1,25 = 9,9 10
100000 1,12
)


, . , (74). D .
,
. . S
.
.
(75).
. 740 . 13,8, 110.
.

13,8 110
= 1,12
KD =
12,3 112
740000
=
1,2 1,12 = 8,9
100000 1,12

, 9 .
44.

1000 . , .
, 195

() 1017 .
1 . 250
.. ,
. , ,
1000 .
. 1338 . , ,

, ,
250 . . 1120 .,
1450 . 250 ..

250000000 : 1120 = 223214,29 .


,
250 ., :
246 (1450 -1338) - 1000 = 27552000 .

27552000 : 1120 = 24600 .
, , :
223214,29 + 24600 = 247814,2 .
:
250000000 : 247814,29 = 1008,82 .
,
1008,82 . .
, 1017 . , (330 .)
(321 .). , -

196

, , , 1420
., ,
1017 ., , 1036,38 .


.
.
, .
. .

. ,
.
.
, .
,
.
,
. , ,
, .

.
,
.
.
.
.
.
, .

, . ,
.
197

XIV.

. ,
, ,
, ,
,
.
45.


.
,
.
,
.
1. , ,
, .
. 100
., 5 .
. . 68.
, , 5 . .
100 .,
100 . . ,
.
2. , . 10
. . 69. 198

,

(10 .). , .

3.
.
,
. , .

199

4. ,
.
, .
. ,
, .
, .
.
5. ,
.
, ,
.
.

, (
1, 2, 3) ,
, ( )
. ()
, (
)

( 3).

, ( ) . .
. , 100
. , .
5 ; 95 . 4
. 105 . (. . 70). ,
.
. ,
.
,
. . ,

200


( ) .

.70.


, . . 74.
, , . . 71 ,
t1 t2.
.
. , 100 .

,
. 72. .
, ,
. :

201

, 400 , 100 . ,
4 .

202

46.

, ,
.
,
. , ,
,
( , ).
, ,

47.


. ,
1 ...
8%. , ,

(
13). 500 ..., .
91,25. , 8,75%.
, 30 .
91,50.

3

2 500000 0,0001 30 = 750 .


12

203

, 88,75.
91,25,
11,25% (100- 88,75).
3
1000000(0,1125 0,0875) = 6250 ..
12
:
91,25 88,75
12,5
2 = 6250 ..
0,01

(12,5 .. ).

.
,
8,75%.
, . , ,

12
3 = 0,089 8,90 %
0,0875 +
1000000
375


,

.
,
.
.
, , . , , .
.
204

XV.


.
.
, , , , ,
, , Rh.
, .
. .
. , 5000 . .
5000 ., ,
, 5000 . . ,
6%.
. 1050 . 1 .
:
5000 . e 0,060, 25 =4925,56 .
4925,561050 . = 5172 . .
48.


, , .
205

, ,
. ,
, .
. 1000
40 . 2 .
. 40 .
,
1000 40 .
40 ., 1000 . , 35 ., ,
1000 , , 40000 . 35000 .
)

. . 73.

.73.

. , , .
( to - t1),
.
( t1), ,
. ( t2)
.. t3 t4.
,
. 206

,
. , ,
, , , (S < X),
(S >).
) .

,
.
. , , ,
,
.

, ,
.
=

C
S

;
;
S .
, .

(. . 74). .
74 S-

.74.

207

,
. ,
0,4. ,
40% . . , 5
100 , :
5000,4 = 200.
, ,
.
(, ). ( ) (. . 75).

.75.

,
.
,

. ,
0,5 . ,
. , . 75,
.
208

,
. (
) -1 ( ).
-0,5.
. 76, .

.76.


. ,
,
. ,
, , ,
.
. .
. 0,4. 5
, 100 .
,
0,4 500 = 200 .
209

,
1 . 200 .
:
0,4 1 . = 0,4 .
, . :
0,4 . 500 = 200 .
, 1 .
200 . . 0,4
. 200 .
,
. :
0,4 (-500) = -200.
,
200 S ., S,
200 S ., S.
. .
, ,

: .
,

S
S
:
=

1: 0,4 = 5/2.
, 5
2 . ,
100 ,
200 .

210

, . , ,
.
.
,
, . .
. , ,
0,4 0,5. ,

0,1 500 = 50 .
.
. , , , . ,
.
, , :
= N (d1 )
d1 =

(79)

ln(S X ) + rT 1
+ T
2
T

N(d1) N(d1)
. ,
, :
= N (d1 ) 1

(80)

, , :
= e qT N (d1 ),
d1 =

ln(S X ) + (r q + 2 2 )T
T

:
211

(81)

= e qT [N (d1 ) 1]

(82)

:
= E rjT N (d1 ),
d 1 =

(83)

ln(S X ) + (r rj + 2 2 )T
T


= e rjT N (d1 ) 1

(84)


= e rT N (d1 ),
d 1 =

(85)

ln(S X ) + ( 2 2 )T
T


= e rT [N (d1 ) 1]

(86)


, ,
. . , , ,
. ,
,
F = e (r q )T S
, .
S
:e (r-q)TS . , (r-q)T.
,
, ,
F, :
AF = e (rq )T A
212

(87)

, , . , , :
AF = e rT A

(88)

:
AF = e (r re )T A

(89)

. 20 , . 100 . 0,4.
.
,
250 .
15%.
:
0,4 (-2000) = - 800.
:
800e-0,150,25 = 770,5.
250 , ,
.

, ,
, , :
N

p = pi i

(90)

i =1

;
i ( ) i- , i i- .
.
(
100 ): ) 80 ,
0,45; ) 60 , -0,5.
:
8000 0,45 - 6000 (-0,5) = 6600.
213

, ,
6600 .
)


.
, . ,

, . :
2C
r= 2
S
.
,
,
. . ,
, . , (
) ,
.

. , . .

.
.
. ,
0,03. ,
0,03 . ,
0,03
. , 0,4.
0,43.
, 0,46. ,
,
. , , , ,
.

214

. , ,
.

.
,
(. . 77).
(. . 78).
,
.
, ,
=

N ' (d 1 )
S T

d 1 =

(91)

ln(S X ) + (r + + 2 2 )T
T

N ' (d 1 )e qT
S T

, d 1 =

ln(S X ) + (r q + 2 2 )T
T
215

(92)

.78.


N ' (d 1 )e rjT
(93)
=
S T

=

N ' (d 1 )e rjT
F T

(94)

,
, , . ,
, .
n , n.

.
v = + n n
(95)
V .
(95) ,

n =
n

,
.
120. (100 ) 1,2.
, 120 : 1,2 = 100 .
216

, ,
.
=

c
T

- .

. , 0,2. 1,5
., 1,3 .
, . ,
-0,2.
, . (
, . .
.)

. , ,
, .
, .
79, ( )

.
,
, :
SN ' (d 1 )
(96)
=
rXe rT N (d 2 ),
2 T
ln(S X ) + (r + 2 2 )T
d 1 =
; d 2 = d1 T ;
T
1 x2 2
N ' (X ) =
e
2

SN ' (d 1 )
(97)
=
+ rXe rT N ( d 2 ),
2 T
217

. 79

SN ' (d 1 )e qT
2 T
d 1 =

+ qSN (d1 )e qT rXe rT N (d 2 ),

ln(S X ) + (r q + 2 2 )T
T

(98)

; d 2 = d1 T

SN ' (d 1 )e qT
2 T

qSN ( d1 )e qT + rXe qT N ( d 2 ),

(99)

SN ' (d 1 )e rjT
2 T

+ rjSN ( d1 )e rjT rXe rT N (d 2 ),

(100)

SN ' (d 1 )e rjT
2 T

rjSN ( d1 )e rjT + rXe rT N ( d 2 ),


218

(101)

FN ' (d 1 )e rT
=
+ rSN (d1 )e rT rXe rT N (d 2 ),
2 T

(102)


FN ' (d1 )e rT
=
rSN (d1 )e rT + rXe rT N ( d 2 ),
2 T

(103)

, ,

C
. B =
.
,
. , 3,5,
0,2. ,
1 % 3,7, 1 %
3,3.
.
(. .80).

. 81.

219

, ,
, ,
Bp
, B
() . ,
.
,
.
, ,
(104)
B = S T N (d1 )
ln(S X ) + (r 2 2 )T
d 1 =
T
,
,
B = S T N (d1 )e qT
d 1 =

105

ln(S X ) + (r q + 2 2 )T

T

B = S T N (d1 )e rjT
220

(106)


B = F T N (d1 )e rT

(107)


, , , , .
e)Rho

Rho ,
.
,
, Rho
Rho = XTe rT N (d 2 )
d 2 =

(108)

ln(S X ) + (r 2 2 )T
T


Rho = XTe rT N ( d 2 )

(109)

, , Rho
, d2
d 2 =

ln(S X ) + (r q 2 2 )T
T

,
,
. ,
.
, ( ).

221


, ,
.
.
.

. .
, , .
,
, . , ,
. , .

.
. .
.
,
. .
,
.
.
Rho ,
.

222

1

(10 )
1. 10 .
,
, / .
2.
, 10
,
.
3.
.
4. ( )
,
.
5.
, ,
, .

, .

10 .

500 .

, .
6. , ,

.
7. 2- .
, ,
3- .
, .7.7.
.
8.
1 .
9. ( )
1 1 10 .
10.
30%.
11.
15 , .
,
, ,
, () .

223

12.
10-00 , .
13. 10-00 12-00 ,
,
/
.
. ,
.
.
14. 30
.
,
.
15.
, . 2-7
.
(
).
16. /
.
/
.
17.
(. 7).

1000
1. 1000 .
,
, / .
2.
, 1000
.
3.
.
4. ( )
(.
13 ), 10-
.
5.
(), .
6. , ,

.
7.
,

224

, 3- .
, .
,
17-00 4-
.

20%
, ,
.
8.
1 .
9. ( )
0,1 1 .
10.
30%.
11.
15 .
,
, ,
, () .
12.
14-00 , .
13. 14-00 16-00
,
( 9) ,
.
.
, .

.
14.
, . 2 -7
.
(
).


.
15. ,
,
.
.
16.

, ,
.

225



1.
. , ,
/
.
2.
,
,
. .
3. 1000 , .
4.

.
5.
, , () .
6. ,
.
7.
.
8.
1 .
9. 10%.
10.
25
. ,
, .11.
.
11. () ,

. ,
, ,
.

.
14-00 16-00 .
12.

, (),
.

226

2
N(di) di 0)
di

.00

.01

.02

.03

.04

.05

.06

.07

.08

.09

0.0

0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359

0.1

0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753

0.2

0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141

0.3

0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517

0.4

0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879

0.5

0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224

.6

0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549

0.7

0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852

0.8

0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133

0.9

0.8159 0.8186 0.8212 0,8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389

1.0

0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621

1.1

0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830

1.2

0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015

1.3

0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177

1.4

0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319

1.5

0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441

1.6

0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545

1.7

0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633

1.8

0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706

1.9

0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767

2.0

0.8772 0.8778 0.8783 0.8788 0.8793 0.8798 0.8803 0.8808 0.8812 0.8817

2.1

0.8821 0.8826 0.8830 0.8834 0.8838 0.8842 0.8846 0.8850 0.8854 0.8857

2.2

0.8861 0.8864 0.8868 0.8871 0.8875 0.8878 0.8881 0.8884 0.8887 0.9890

2.3

0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916

2.4

0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936

2.5

0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9950 0.9952

2.6

0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964

2.7

0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974

2.8

0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981

2.9

0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986

227

di

.00

3.0

.01

.02

.03

.04

.05

.06

.07

.08

.09

0.9986 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
0.9992
).9993

3.1

0,9990 0.9991 0.9991 0.9991 0.9992 0.9992 0.9922

0.9993

3.2

0.9993 0.9993 0.9994 0.9994 0.9994 0.9994 0.9994 0.9995 0.9995 0.9995

3.3

0.9995 0.9995 0.9995 0.9996 0.9996 0.9996 0.9996 0.9996 0.9996 0.9997

3.4

0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9998

3.5

0.9978 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998

3.6

0.9998 0.9998 0.9999 0.9999 0.9999 0.9999 0.9998 0.9999 0.9999 0.9999

3.7

0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999

3.8

0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999

3.9

1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000

4.0

1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000

N (0,8475) = N (0,84) + 0,75 [N (0,85) - N (0,84)] =


= 0,7995 + 0,75 (0,8023 - 0,7995) = 0,8016.
N (di) di
di

.00

.01

.02

.03

.04

.05

.06

.07

.08

.09

-0.0

0.5000 0.4960 0.4920 0.4880 0.4840 0.4801 0.4761 0.4721 0.4681

0.4641

-0.1

0.4602 0.4562 0.4522 0.4483 0.4443 0.4404 0.4364 0.4325 0.4286

0.4247

-0.2

0.4207 0.4168 0.4129 0.4090 0.4052 0.4013 0.3974 0.3936 0.3897

0.3859

-0.3

0.3821 0.3783 0.3745 0.3707 0.3669 0.3632 0.3594 0.3557 0.3520

0.3483

-0.4

0.3446 0.3409 0.3372 0.3336 0.3330 0.3264 0.3228 0.3192 0.3156

0.3121

-0.5

0,3085 0.3050 0.3015 0.2981 0.2946 0.2912 0.2877 0.2843 0.2810

0.2776

-0.6

0.2743 0.2709 0.2676 0.2643 0.2611 0.2578 0.2546 0.2514 0.2483

0.2451

-0.7

0.2420 0.2389 0.2358 0.2327 0.2296 0.2266 0.2236 0.2206 0.2177

0.2148

-0.8

0.2119 0.2090 0.2061 0.2033 0.2005 0.1977 0.1949 0.1922 0.1894

0.1867

-0.9

0.1841 0.1814 0.1788 0.1762 0.1736 0.1711 0.1685 0.1660 0.1635

0.1611

-1.0

0,1587 0.1562 0.1539 0.1515 0.1492 0.1469 0.1446 0.1423 0.1401

0.1379

-1.1

0.1357 0.1335 0.1314 0.1292 0.1271 0.1251 0.1230 0.1210 0.1190

0.1170

-1.2

0.1151 0.1131 0.1112 0.1093 0.1075 0.1056 0.1038 0.1020 0.1003

0.0985

-1.3

0.0968 0.0951 0.0934 0.0918 0.0901 0.0885 0.0869 0.0853 0.0838

0.0823

-1.4

0.0808 0.0793 0.0778 0.0764 0.0749 0.0735 0.7021 0.0708 0.0694

0.0681

228

di

.00

.01

.02

.03

.04

.05

.06

.07

.08

.09

-1.5

0.0668 0.0655 0.0643 0.0630 0.0618 0.0606 0.0594 0.0582 0.0571 0.0559

-1.6

0.0548 0.0537 0.0526 0.0516 0.0505 0.0495 0.0485 0.0475 0.0465 0.0455

-1.7

0.0446 0.0436 0.0427 0.0418 0.0409 0.0401 0.0392 0.0384 0.0375 0.0367

-1.8

0.0359 0.0351 0.0344 0.0336 0.0329 0.0322 0.0314 0.0307 0.0301 0.0294

-1.9

0.0287 0,0281 0.0274 0.0268 0.0262 0.0256 0.0250 0.0244 0.0239 0.0233

-2.0

0.0228 0.0222 0.0217 0.0212 0.0207 0.0202 0.0197 0.0192 0.0188 0.0183

-2.1

0.0179 0.0174 0.0170 0.0166 0.0162 0.0158 0.0154 0.0150 0.0146 0.0143

-2.2

0.0139 0.0136 0.0132 0.0129 0.0125 0.0122 0.0119 0.0116 0.0113 0.0110

-2.3

0.0107 0.0104 0.0102 0.0099 0.0096 0.0094 0.0091 0.0089 0.0087 0.0084

-2,4

0.0082 0.0080 0.0078 0.0075 0.0073 0.0071 0.0069 0.0068 0.0066 0.0064

-2.5

0.0062 0.0060 0.0059 0.0057 0.0055 0.0054 0.0052 0.0051 0.0049 0.0048

-2.6

0.0047 0.0045 0.0044 0.0043 0.0041 0.0040 0.0039 0.0038 0.0037 0.0036

-2.7

0.0035 0.0034 0.0033 0.0032 0.0031 0.0030 0.0029 0.0028 0.0027 0.0026

-2.8

0.0026 0.0025 0.0024 0.0023 0.0023 0.0022 0.0021 0.0021 0.0020 0.0019

-2.9

0.0019 0.0018 0.0018 0.0017 0.0016 0.0016 0.0015 0.0015 0.0014 0.0014

-3.0

0.0014 0.0013 0.0013 0.0012 0.0012 0.0011 0.0011 0.0011 0.0010 0.0010

-3.1

0.0010 0.0009 0.0009 0.0009 0.0008 0.0008 0.0008 0.0008 0.0007 0.0007

-3.2

0.0007 0.0007 0.0006 0.0006 0.0006 0.0006 0.0006 0.0005 0.0005 0.0005

-3.3

0.0005 0.0005 0.0005 0.0004 0.0004 0.0004 0.0004 0.0004 0.0004 0.0003

-3.4

0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0002

-3.5

0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002

-3.6

0.0002 0.0002 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001

-3.7

0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001

-3.8

0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001

-3.9

0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

-4.0

0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

N (-0,7238) = N (-0,72) - 0,38 [N (-0,72) - N (-0,73)] =


= 0,2358 - 0,38 (0,2358 - 0,2327) = 0,2346.


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230

,
, .
.


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. . 071

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./: (095) 288-59-60