期权及其定价理论

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1、OptionPricingTheoryandOptionPricingTheoryandApplicationsApplicationsAswathDamodaranWhatisanoption?lAnoptionprovidestheholderwiththerighttobuyorsellaspecifiedquantityofanunderlyingassetatafixedprice(calledastrikepriceoranexerciseprice)atorbeforetheexpirationdateoftheoption.lSinceitisarightandnot

2、anobligation,theholdercanchoosenottoexercisetherightandallowtheoptiontoexpire.lTherearetwotypesofoptions-calloptions(righttobuy)andputoptions(righttosell).CallOptionslAcalloptiongivesthebuyeroftheoptiontherighttobuytheunderlyingassetatafixedprice(strikepriceorK)atanytimepriortotheexpirationdate

3、oftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)>StrikePrice(K)lBuyermakesthedifference:S-KÐIfthevalueoftheunderlyingasset(S)

4、calldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatanytimepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpira

5、tion,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,ÐthevalueofaputdecreasesasthevalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyingassetdecreasesPa

6、yoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,therighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomelessvaluable.ÐVarian

7、ceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethepriceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput