金融学概论讲义(北大光华管理学院)lecture07

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1、PrinciplesofFinanceLecture07OptionPricingModels57Options:Definition·AnAmerican-stylecalloptiongivestheownertheright(butnotobligation)tobuyaspecifiedassetataspecifiedpriceatanypointintimepriortoaspecifieddate·AnAmerican-styleputoptiongivestheownertheright(butnotobligat

2、ion)tosellaspecifiedassetataspecifiedpriceatanypointintimepriortoaspecifieddate·FortheEuropean-styleoptions,theownercanonlyexerciseontheexpirationdate57OptionsaroundusGovernmentpricesupport:Governmentssometimesprovideassistancetofarmersbyofferingtopurchaseagricultural

3、productsataspecifiedsupportprice.Ifthemarketpriceislowerthanthesupport,thenafarmerwillexerciseherrightto‘put’hercroptothegovernmentatthehigherprice.Insurance:Insurancepolicyoftengivesyoutheright,butnottheobligationtodosomething,itisthereforeoption-like.57Optionsaround

4、usLimitedliability:Theownersofalimitedliabilitycorporationhavetheright,butnottheobligation,to‘put’thecompanytothecorporation’screditorsandbondholders.Limitedliabilityis,ineffect,aputoption.TradingonCommission:Youareatraderwithacontractgivingyouacommissionof20%ofeachmo

5、nth’stradingprofits.Ifyoumakealoss,thenyouwalkaway,butifyoumakeaprofit,youstay.(Youmaybetemptedtoincreaseyourvolatilitytoboostthevalueofyouroption).57SpecificationsofOptionsContracts·EuropeanorAmerican·CallorPut(OptionClass)·UnderlyingAsset·StrikePrice·Maturity(Expira

6、tion)Date57SomeTerminology·Longposition:Thepartywhobuystheoptionsissaidtohavealongposition·Shortposition:Thepartywhowrites(i.e.sells)theoptionissaidtohaveashortposition57SomeTerminology·IntheMoney:exerciseoftheoptionwouldbeprofitable.Call:marketprice>exercisepricePut:

7、exerciseprice>marketprice·OutoftheMoney:exerciseoftheoptionwouldnotbeprofitable.Call:marketprice

8、ffLongCall0ShortCallStockPrice57PayofftoPutOptionsPayofftoalongput:Payofftoashortput:57PayofftoPutOptionsPayoffShortPutStock