Chap022公司理财罗斯英文原书第九版底2章.ppt

Chap022公司理财罗斯英文原书第九版底2章.ppt

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OptionsandCorporateFinanceChapter22Copyright2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/Irwin22-1KeyConceptsandSkillsoUnderstandoptionterminologyoBeabletodetermineoptionpayoffsandprofitsoUnderstandthemajordeterminantsofoptionpricesoUnderstandandapplyput-callparityoBeabletodetermineoptionpricesusingthebinomialandBlack-Scholesmodels22-2ChapterOutline22.1Options22.2CallOptions22.3PutOptions22.4SellingOptions22.5OptionQuotes22.6CombinationsofOptions22.7ValuingOptions22.8AnOptionPricingFormula22.9StocksandBondsasOptions22.10OptionsandCorporateDecisions:

SomeApplications22.11InvestmentinRealProjectsandOptions22-322.1OptionsoAnoptiongivestheholdertheright,butnottheobligation,tobuyorsellagivenquantityofanasseton（orbefore）agivendate,atpricesagreedupontoday.oExercisingtheOptionnTheactofbuyingorsellingtheunderlyingassetoStrikePriceorExercisePricenReferstothefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingassetoExpiry（ExpirationDate）nThematuritydateoftheoption22-4OptionsoEuropeanversusAmericanoptionsnEuropeanoptionscanbeexercisedonlyatexpiry.nAmericanoptionscanbeexercisedatanytimeuptoexpiry.oIn-the-MoneynExercisingtheoptionwouldresultinapositivepayoff.oAt-the-MoneynExercisingtheoptionwouldresultinazeropayoff（i.e.,exercisepriceequaltospotprice）.oOut-of-the-MoneynExercisingtheoptionwouldresultinanegativepayoff.22-522.2CallOptionsoCalloptionsgivestheholdertheright,butnottheobligation,tobuyagivenquantityofsomeassetonorbeforesometimeinthefuture,atpricesagreedupontoday.oWhenexercisingacalloption,you“callin”theasset.22-6CallOptionPricingatExpiryoAtexpiry,anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics.nIfthecallisin-the-money,itisworthSTE.nIfthecallisout-of-the-money,itisworthless:

C=MaxSTE,0WhereSTisthevalueofthestockatexpiry（timeT）Eistheexerciseprice.Cisthevalueofthecalloptionatexpiry22-7CallOptionPayoffs201202040608010040204060Stockprice（$）Optionpayoffs（$）BuyacallExerciseprice=$505022-8CallOptionProfitsExerciseprice=$50;optionpremium=$10Buyacall201202040608010040204060Stockprice（$）Optionprofits（$）50101022-922.3PutOptionsoPutoptionsgivestheholdertheright,butnottheobligation,tosellagivenquantityofanassetonorbeforesometimeinthefuture,atpricesagreedupontoday.oWhenexercisingaput,you“put”theassettosomeone.22-10PutOptionPricingatExpiryoAtexpiry,anAmericanputoptionisworththesameasaEuropeanoptionwiththesamecharacteristics.oIftheputisin-the-money,itisworthEST.oIftheputisout-of-the-money,itisworthless.P=MaxEST,022-11PutOptionPayoffs20020406080100402004060Stockprice（$）Optionpayoffs（$）BuyaputExerciseprice=$50505022-12PutOptionProfits202040608010040204060Stockprice（$）Optionprofits（$）BuyaputExerciseprice=$50;optionpremium=$1010105022-1322.4SellingOptionsoTheseller（orwriter）ofanoptionhasanobligation.oThesellerreceivestheoptionpremiuminexchange.22-14OptionValueoIntrinsicValuenCall:

MaxSTE,0nPut:

MaxEST,0oSpeculativeValuenThedifferencebetweentheoptionpremiumandtheintrinsicvalueoftheoption.OptionPremium=IntrinsicValueSpeculativeValue+22-15CallOptionPayoffs201202040608010040204060Stockprice（$）Optionpayoffs（$）SellacallExerciseprice=$505022-16PutOptionPayoffs20020406080100402004050Stockprice（$）Optionpayoffs（$）SellaputExerciseprice=$505022-17OptionDiagramsRevisitedExerciseprice=$50;optionpremium=$10SellacallBuyacall5060401004040Stockprice（$）Optionprofits（$）BuyaputSellaput1010BuyacallSellaputBuyaputSellacall22-1822.5OptionQuotes22-19OptionQuotesThisoptionhasastrikepriceof$135;arecentpriceforthestockis$138.25;Julyistheexpirationmonth.22-20OptionQuotesThismakesacalloptionwiththisexercisepricein-the-moneyby$3.25=$138$135.Putswiththisexercisepriceareout-of-the-money.22-21OptionQuotesOnthisday,2,365calloptionswiththisexercisepriceweretraded.22-22OptionQuotesTheCALLoptionwithastrikepriceof$135istradingfor$4.75.Sincetheoptionison100sharesofstock,buyingthisoptionwouldcost$475pluscommissions.22-23OptionQuotesOnthisday,2,431putoptionswiththisexercisepriceweretraded.22-24OptionQuotesThePUToptionwithastrikepriceof$135istradingfor$.8125.Sincetheoptionison100sharesofstock,buyingthisoptionwouldcost$81.25pluscommissions.22-2522.6CombinationsofOptionsoPutsandcallscanserveasthebuildingblocksformorecomplexoptioncontracts.oIfyouunderstandthis,youcanbecomeafinancialengineer,tailoringtherisk-returnprofiletomeetyourclientsneeds.22-26ProtectivePutStrategy（Payoffs）Buyaputwithanexercisepriceof$50Buythe