Corporate Finance 第7版 答案Ch022Word格式文档下载.docx

Corporate Finance 第7版 答案Ch022Word格式文档下载.docx

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22.1

a.Anoptionisacontractgivingitsownertherighttobuyorsellanassetatafixedpriceonorbeforeagivendate.

b.Exerciseistheactofbuyingorsellingtheunderlyingassetunderthetermsoftheoptioncontract.

c.Thestrikepriceisthefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingasset.Thestrikepriceisalsocalledtheexerciseprice.

d.Theexpirationdateisthematuritydateoftheoption.ItisthelastdateonwhichanAmericanoptioncanbeexercisedandtheonlydateonwhichaEuropeanoptioncanbeexercised.

e.Acalloptiongivestheownertherighttobuyanassetatafixedpriceduringaparticulartimeperiod.

f.Aputoptiongivestheownertherighttosellanassetatafixedpriceduringaparticulartimeperiod.

22.2AnAmericanoptioncanbeexercisedonanydateuptoandincludingtheexpirationdate.AEuropeanoptioncanonlybeexercisedontheexpirationdate.SinceanAmericanoptiongivesitsownertherighttoexerciseonanydateuptoandincludingtheexpirationdate,itmustbeworthatleastasmuchasaEuropeanoption,ifnotmore.

22.3Theputisnotcorrectlypriced.AnAmericanputoptionmustalwaysbeworthmorethanthevalueofimmediateexercise.Thevalueofimmediateexerciseforaputoptionequalsthestrikepriceminusthecurrentstockprice.Inthisproblem,thevalueofimmediateexerciseis$5（=$40-$35）.Sincetheoptioniscurrentlysellingfor$4.50,lessthanthevalueofimmediateexercise,theoptionisunderpriced.Considerthefollowinginvestmentstrategydesignedtotakeadvantageofthemispricing:

StrategyCashFlow

1.Buyputoption-$4.50

2.Buystock-$35.00

3.Exerciseputoption+$40.00

ArbitrageProfit+$0.50

Therefore,Mr.Nashshouldbuytheoptionfor$4.50,buythestockfor$35,andimmediatelyexercisetheputoptiontoreceiveitsstrikepriceof$40.Thisstrategyyieldsariskless,arbitrageprofitof$0.50（=$5-$4.50）.

22.4a.IftheoptionisAmerican,itcanbeexercisedonanydateuptoandincludingitsexpirationon

February25.

b.IftheoptionisEuropean,itcanonlybeexercisedonitsexpirationdate,February25.

c.Theoptionisnotworthless.ThereisachancethatthestockpriceofFuturaCorporationwillriseabove$45sometimebeforetheoption’sexpirationonFebruary25.Inthiscase,acalloptionwithastrikepriceof$45wouldbevaluableatexpiration.Theprobabilityofsuchaneventhappeningisbuiltintothecurrentpriceoftheoption.

22.5a.Thepayofftotheownerofacalloptionatexpirationisthemaximumofzeroandthecurrentstockpriceminusthestrikeprice.ThepayofftotheownerofacalloptiononStockAonDecember21is:

max[0,ST-K]=max[0,55-50]=$5

whereST=thepriceoftheunderlyingassetatexpiration

K=thestrikeprice

b.Thepayofftothesellerofacalloptionatexpirationistheminimumofzeroandthestrikepriceminusthecurrentstockprice.ThepayofftothesellerofacalloptiononStockAonDecember21is:

min[0,K-ST]=min[0,50-55]=-$5

Inotherwords,thesellermustpay$5.

c.Thepayofftotheownerofacalloptionatexpirationisthemaximumofzeroandthecurrentstockpriceminusthestrikeprice.ThepayofftotheownerofacalloptiononStockAonDecember21is:

max[0,ST-K]=max[0,45-50]=$0

d.Thepayofftothesellerofacalloptionatexpirationistheminimumofzeroandthestrikepriceminusthecurrentstockprice.ThepayofftothesellerofacalloptiononStockAonDecember21is:

min[0,K-ST]=min[0,50-45]=$0

e.

f.

g.Thesellerofacalloptionreceivesapremium,thepriceoftheoption,atthetimeofsale.Atexpiration,ifthebuyerchoosesnottoexercise,thepremiumbecomespureprofitfortheseller.Therefore,anindividualwillwrite（sell）acalloptionifhedoesnotbelievethestockpricewillriseabovethestrikepricebeforeexpiration.

22.6a.Thepayofftotheownerofaputoptionatexpirationisthemaximumofzeroandthestrikepriceminusthecurrentstockprice.ThepayofftotheownerofaputoptiononStockAonDecember21is:

max[0,K-ST]=max[0,50-55]=$0

b.Thepayofftothesellerofaputoptionatexpirationistheminimumofzeroandthecurrentstockpriceminusthestrikeprice.ThepayofftothesellerofacalloptiononStockAonDecember21is:

min[0,ST-K]=min[0,55-50]=$0

c.Thepayofftotheownerofaputoptionatexpirationisthemaximumofzeroandthestrikepriceminusthecurrentstockprice.ThepayofftotheownerofaputoptiononStockAonDecember21is:

max[0,K-ST]=max[0,50-45]=$5

d.The