chap022.ppt

《chap022.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、OptionsandCorporateFinanceKeyConceptsandSkillsUnderstandoptionterminologyBeabletodetermineoptionpayoffsandprofitsUnderstandthemajordeterminantsofoptionpricesUnderstandandapplyput-callparityBeabletodetermineoptionpricesusingthebinomialandBlack-ScholesmodelsChapterOutline22.1Option

2、s22.2CallOptions22.3PutOptions22.4SellingOptions22.5OptionQuotes22.6CombinationsofOptions22.7ValuingOptions22.8AnOptionPricingFormula22.9StocksandBondsasOptions22.10OptionsandCorporateDecisions:SomeApplications22.11InvestmentinRealProjectsandOptions22.1OptionsAnoptiongivesthehold

3、ertheright,butnottheobligation,tobuyorsellagivenquantityofanasseton(orbefore)agivendate,atpricesagreedupontoday.ExercisingtheOptionTheactofbuyingorsellingtheunderlyingassetStrikePriceorExercisePricethefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingassetExpi

4、ry(ExpirationDate)ThematuritydateoftheoptionOptionsEuropeanversusAmericanoptionsEuropeanoptionscanbeexercisedonlyatexpiry.Americanoptionscanbeexercisedatanytimeuptoexpiry.In-the-Money价内权证Exercisingtheoptionwouldresultinapositivepayoff.At-the-Money价平权证Exercisingtheoptionwouldresul

5、tinazeropayoff(i.e.,exercisepriceequaltospotprice).Out-of-the-Money价外权证Exercisingtheoptionwouldresultinanegativepayoff.22.2CallOptionsCalloptionsgivestheholdertheright,butnottheobligation,tobuyagivenquantityofsomeassetonorbeforesometimeinthefuture,atpricesagreedupontoday.Whenexer

6、cisingacalloption,you“callin”theasset.CallOptionPricingatExpiryAtexpiry,anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics.Ifthecallisin-the-money,itisworthST–E.Ifthecallisout-of-the-money,itisworthless:C=Max[ST–E,0]WhereSTisthevalueofthestockatexpiry(t

7、imeT)Eistheexerciseprice.CisthevalueofthecalloptionatexpiryCallOptionPayoffs–2012020406080100–40204060Stockprice($)Optionpayoffs($)BuyacallExerciseprice=$5050CallOptionProfitsExerciseprice=$50;optionpremium=$10Buyacall–2012020406080100–40204060Stockprice($)Optionpayoffs($)50–1010

8、22.3PutOptionsPutoptionsgivestheholderth