investment option valuation

《investment option valuation》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、FinalPDFtoprinterCHAPTERTWENTY-ONE21OptionValuationINTHEPREVIOUS chapterweexaminedgeneralizedintoausefulandaccuratepric-optionmarketsandstrategies.Wenotedthatingtool.Wethenmoveontooneparticularmanysecuritiescontainembeddedoptionsvaluationformula,thefamousBlack-Scholesthataf

2、fectboththeirvaluesandtheirrisk–model,oneofthemostsignificantbreak-returncharacteristics.Inthischapter,weturnthroughsinfinancetheoryinseveraldecades.ourattentiontooption-valuationissues.ToFinally,welookatsomeofthemoreimpor-understandmostoption-valuationmodelstantapplication

3、sofoption-pricingtheoryinrequiresconsiderablemathematicalandsta-portfoliomanagementandcontrol.tisticalbackground.Still,manyoftheideasOption-pricingmodelsallowusto“backandinsightsofthesemodelscanbedemon-out”marketestimatesofstock-pricevolatil-stratedinsimpleexamples,andwewil

4、lcon-ity,andwewillexaminethesemeasuresofcentrateonthese.impliedvolatility.NextweturntosomeoftheWestartwithadiscussionofthefactorsmoreimportantapplicationsofoption-pricingthatoughttoaffectoptionprices.Aftertheoryinriskmanagement.Finally,wetakeathisdiscussion,wepresentseveral

5、boundsbrieflookatsomeoftheempiricalevidencewithinwhichoptionpricesmustlie.Nextweonoptionpricing,andtheimplicationsofturntoquantitativemodels,startingwithathatevidenceconcerningthelimitationsofsimple“two-state”option-valuationmodel,theBlack-Scholesmodel.andthenshowinghowthis

6、approachcanbe21.1OptionValuation:IntroductionIntrinsicandTimeValuesConsideracalloptionthatisoutofthemoneyatthemoment,withthestockpricebelowtheexerciseprice.Thisdoesnotmeantheoptionisvalueless.Eventhoughimmediateexercisetodaywouldbeunprofitable,thecallretainsapositivevaluebe

7、causethereisalwaysachancethestockpricewillincreasesufficientlybytheexpirationdatetoallowforprofitableexercise.Ifnot,theworstthatcanhappenisthattheoptionwillexpirewithPARTVIzerovalue.bod61671_ch21_722-769.indd7227/27/131:45AMFinalPDFtoprinterCHAPTER21OptionValuation723Theval

8、ueS02Xissometimescalledtheintrinsicvalueofin-the-moneycalloptionsbecauseitgivesthe