Corporate Finance公司理财原配课件 17 Option and Corporate Finance.ppt

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1、OptionsandCorporateFinanceChapter17KeyConceptsandSkillsUnderstandoptionterminologyBeabletodetermineoptionpayoffsandprofitsUnderstandthemajordeterminantsofoptionpricesUnderstandandapplyput-callparityBeabletodetermineoptionpricesusingthebinomialandBlack-Scholesmo

2、delsChapterOutline17.1Options17.2CallOptions17.3PutOptions17.4SellingOptions17.5OptionQuotes17.6CombinationsofOptions17.7ValuingOptions17.8AnOptionPricingFormula17.9StocksandBondsasOptions17.10OptionsandCorporateDecisions:SomeApplications17.11InvestmentinRealPr

3、ojectsandOptions17.1OptionsAnoptiongivestheholdertheright,butnottheobligation,tobuyorsellagivenquantityofanasseton(orbefore)agivendate,atpricesagreedupontoday.ExercisingtheOptionTheactofbuyingorsellingtheunderlyingassetStrikePriceorExercisePriceReferstothefixed

4、priceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingasset.Expiry(ExpirationDate)ThematuritydateoftheoptionOptionsEuropeanversusAmericanoptionsEuropeanoptionscanbeexercisedonlyatexpiry.Americanoptionscanbeexercisedatanytimeuptoexpiry.In-the-MoneyExe

5、rcisingtheoptionwouldresultinapositivepayoff.At-the-MoneyExercisingtheoptionwouldresultinazeropayoff(i.e.,exercisepriceequaltospotprice).Out-of-the-MoneyExercisingtheoptionwouldresultinanegativepayoff.17.2CallOptionsCalloptionsgivestheholdertheright,butnottheob

6、ligation,tobuyagivenquantityofsomeassetonorbeforesometimeinthefuture,atpricesagreedupontoday.Whenexercisingacalloption,you“callin”theasset.CallOptionPricingatExpiryAtexpiry,anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics.Ifthecalli

7、sin-the-money,itisworthST–E.Ifthecallisout-of-the-money,itisworthless:C=Max[ST–E,0]WhereSTisthevalueofthestockatexpiry(timeT)Eistheexerciseprice.CisthevalueofthecalloptionatexpiryCallOptionPayoffs–2012020406080100–40204060Stockprice($)Optionpayoffs($)BuyacallEx

8、erciseprice=$5050CallOptionProfitsExerciseprice=$50;optionpremium=$10Buyacall–2012020406080100–40204060Stockprice($)Optionpayoffs($)50–101017.3PutOptionsPutoptionsgivestheho