the intelligent investor s guide to option pricing

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1、Chapter3TheInTellIgenTInvesTor’sguIdeToopTIonprIcIngBytheendofthischapter,youshouldunderstandhowchangesinthefollow-ingBlack-Scholes-Mertonmodel(BSM)driversaffectthepriceofanoption:1.Moneyness2.Forwardvolatility3.Timetoexpiration4.InterestratesanddividendyieldsYouwillalsolearnaboutthethreemeas

2、uresofvolatility—forward,im-plied,andstatistical.Youwillalsounderstandwhatdriversaffectoptionpricesthemostandhowsimultaneouschangestomorethanonevariablemayworkfororagainstanoptioninvestmentposition.Inthischapterandthroughoutthisbookingeneral,wewillnottrytofigureoutaprecisevalueforanyoptionsbu

3、tjustlearntorealizewhenanop-tionisclearlytooexpensiveortoocheapvis-à-visourrationalexpectationsforafairvalueoftheunderlyingstock.Assuch,wewilldiscusspricingingeneralterms;forexample,“Thisoptionwillbemuchmoreexpensivethanthatone.”Thisgeneralityfreesusfromthecomputationaldifficultiesthatcomeabo

4、utwhenonetriestocalculatetoopreciseapriceforagivenop-tion.TheBSMisdesignedtogiveapreciseanswer,butforinvesting,simplyknowingthatthepriceofsomesecurityissignificantlydifferentfromwhatitshouldbeisenoughtogiveoneaninvestingedge.4950 • TheIntelligentOptionInvestorIntermsofhowthischapterfitsinwith

5、thegoalofbeinganintelligentoptioninvestor,itisinthischapterthatwestartoverlayingtherangeofexposureintroducedinChapter1withtheimpliedstockpricerangegivenbytheBSMconethatwasintroducedinChapter2.Thisperspectivewillallowustogetasenseofhowexpensiveitwillbetogainexposuretoagivenrangeor,conversely,t

6、oseehowmuchwearelikelytobeabletogenerateinrevenuebyacceptingexposuretothatrange.Understandingthevalueofagivenrangeofexposureasperceivedbythemarketplacewillallowustodeterminewhatoptionstrategywillbebesttouseafterwedetermineourownintelligentvaluationrangeforastock.Jargonintroducedinthischapteri

7、sasfollows:Strike–stockpriceratioVolatility(Vol)TimevalueForwardvolatilityIntrinsicvalueImpliedvolatilityTenorStatisticalvolatilityTimedecayHistoricalvolatilityHowOptionPricesareDeterminedInChapter1,wesawwhatoptionslookedlikefromtheperspectiv