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1、Chapter21:OptionValuationChapterOpenerPART VIp.711INTHEPREVIOUSchapterweexaminedoptionmarketsandstrategies.Wenotedthatmanysecuritiescontainembeddedoptionsthataffectboththeirvaluesandtheirrisk–returncharacteristics.Inthischapter,weturnourattentiontooption-valuationiss
2、ues.Tounderstandmostoption-valuationmodelsrequiresconsiderablemathematicalandstatisticalbackground.Still,manyoftheideasandinsightsofthesemodelscanbedemonstratedinsimpleexamples,andwewillconcentrateonthese. Westartwithadiscussionofthefactorsthatoughttoaffectoptionpri
3、ces.Afterthisdiscussion,wepresentseveralboundswithinwhichoptionpricesmustlie.Nextweturntoquantitativemodels,startingwithasimple“two-state”option-valuationmodel,andthenshowinghowthisapproachcanbegeneralizedintoausefulandaccuratepricingtool.Wethenmoveontooneparticularva
4、luationformula,thefamousBlack-Scholesmodel,oneofthemostsignificantbreakthroughsinfinancetheoryinseveraldecades.Finally,welookatsomeofthemoreimportantapplicationsofoption-pricingtheoryinportfoliomanagementandcontrol. Option-pricingmodelsallowusto“backout”marketestima
5、tesofstock-pricevolatility,andwewillexaminethesemeasuresofimpliedvolatility.Nextweturntosomeofthemoreimportantapplicationsofoption-pricingtheoryinriskmanagement.Finally,wetakeabrieflookatsomeoftheempiricalevidenceonoptionpricing,andtheimplicationsofthatevidenceconcern
6、ingthelimitationsoftheBlack-Scholesmodel.21.1OptionValuation:IntroductionIntrinsicandTimeValuesConsideracalloptionthatisoutofthemoneyatthemoment,withthestockpricebelowtheexerciseprice.Thisdoesnotmeantheoptionisvalueless.Eventhoughimmediateexercisetodaywouldbeunprofita
7、ble,thecallretainsapositivevaluebecausethereisalwaysachancethestockpricewillincreasesufficientlybytheexpirationdatetoallowforprofitableexercise.Ifnot,theworstthatcanhappenisthattheoptionwillexpirewithzerovalue.p.712 ThevalueS0−XissometimescalledtheintrinsicvalueStoc
8、kpriceminusexerciseprice,ortheprofitthatcouldbeattainedbyimmediateexerciseofanin-the-moneyoption.ofin-the-moneycalloptionsbe
