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ID:37670720
大小:213.86 KB
页数:63页
时间:2019-05-28
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1、OptionPricingTheoryandOptionPricingTheoryandApplicationsApplicationsAswathDamodaranWhatisanoption?lAnoptionprovidestheholderwiththerighttobuyorsellaspecifiedquantityofanunderlyingassetatafixedprice(calledastrikepriceoranexerciseprice)atorbeforetheexpirationdateoftheoption.lS
2、inceitisarightandnotanobligation,theholdercanchoosenottoexercisetherightandallowtheoptiontoexpire.lTherearetwotypesofoptions-calloptions(righttobuy)andputoptions(righttosell).CallOptionslAcalloptiongivesthebuyeroftheoptiontherighttobuytheunderlyingassetatafixedprice(strikepr
3、iceorK)atanytimepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)>StrikePrice(K)lBuyermakesthedifference:S-KÐIfthevalueoftheunderlyingasset(S)4、increasesasthevalueoftheunderlyingassetincreasesÐthevalueofacalldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatany5、timepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,Ðthevalueofaputdecreasesasth6、evalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,t7、herighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomelessvaluable.ÐVarianceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethe8、priceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput
4、increasesasthevalueoftheunderlyingassetincreasesÐthevalueofacalldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatany
5、timepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,Ðthevalueofaputdecreasesasth
6、evalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,t
7、herighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomelessvaluable.ÐVarianceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethe
8、priceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput
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