第5讲期权与公司理财ppt课件.ppt

1 Chapter5 2 Basicconcepts Options acontractthatgivesonepartytheoptiontoenterintoatransactioneitherataspecifictimeinthefutureorwithinaspecificfutureperiodatapricethatisagreedwhenthecontractisissued Exerciseprice theexerciseorstrikepriceisthepriceatwhichthefuturetransactionwilltakeplace Premium isthepricepaidbytheoptionbuyertotheseller orwriter fortherighttobuyorselltheunderlyingshare Calloptions 看涨期权 持有者有权在某一确定的时间以某一确定的价格购买标的资产 Putoptions 看跌期权 持有者有权在某一确定的时间以某一确定的价格出售标的资产 3 Basicconcepts Europeanoptions canonlybeexercisedatexpiration Americanoptions canbeexercisedanytimepriortoexpiration Bermudanoptions anoptionwhereearlyexerciseisrestrictedtocertaindatesduringthelifeoftheoption Longpositions 多头头寸 whenaninvestorbuysanoptiontheinvestorislongShortpositions 空头头寸 whenaninvestorsellsanoptiontheinvestorisshortBidprice 询价 买方报价 Offerprice askprice 要价 卖方报价 4 Profilesofcalloptionsatexpiration Longcall thevalueofacalloptionatexpiration thevalueoftheunderlyingsecurityatexpiration theexpirationprice ifthevalueoftheunderlyingsecurity expirationprice 0r 0 ifthevalueoftheunderlyingsecurity or expirationprice profit valueofacalloption premiumpaid alongcalloptionpositionatexpirationhasamaximumloss whichisthepremium butunlimitedprofits 5 Profilesofcalloptionsatexpiration Shortcall thesellerofacalllosesmoneywhentheoptionisexercisedandgainsthepremiumiftheoptionisnotexercised thevalueoftheshortcallatexpirationisthenegativeofthelongposition profit premiumreceived valueofacalloption ashortcalloptionpositionatexpirationhasamaximumprofit whichisthepremium butunlimitedlosses 6 Profilesofputoptionsatexpiration Longput thevalueofaputoptionatexpiration theexpirationprice thevalueoftheunderlyingsecurityatexpiration ifthevalueoftheunderlyingsecurityor expirationprice profit valueofaputoption premiumpaid alongputoptionpositionatexpirationhasamaximumloss whichisthepremium andalsohasamaximumprofitwhentheunderlyingpriceiszero 7 Profilesofputoptionsatexpiration Shortput profit premiumreceived valueofaputoption ashortputoptionpositionatexpirationhasamaximumprofit whichisthepremiumreceived ithasamaximumlosswhentheunderlyingpriceiszero 8 Determinantsofoptionvalues Theexerciseprice Forthecall thehighertheexerciseprice thelowertheprobabilitythatacallwillbeexercised socallpriceswilldecreaseastheexercisepricesincrease Fortheput theeffectrunsintheoppositedirection Thepriceoftheunderlying Forthecall asthecurrentstockpricegoesup thehighertheprobabilitythatthecallwillbeinthemoney sothecallpricewillincrease Fortheput theeffectrunsintheoppositedirection 9 Determinantsofoptionvalues Thevolatilityoftheunderlying bothcallsandputswillbenefitinpriceastheunderlyingassetbecomesmorevolatile Thetimetoexpiration bothcallsandputswillbenefitfromincreasedtimetoexpiration Theinterestrate Forthecall thehighertheinterestrate thelowerthepresentvalueoftheexerciseprice sothecallpricewillincrease Theputisadverselyaffected 10 Theintrinsicandtimevalue Intrinsicvalue isthevalueoftheoptionifitwasexercisednow intrinsicvalueattimet currentpriceofunderlyingstock forcalloption callstrikeprice intrinsicvalueattimet putstrikeprice forputoption currentpriceofunderlyingstockInthemoney ITM 实值 theintrinsicvalueispositiveAtthemoney ATM 平值 theintrinsicvalueiszeroOutofthemoney OTM 虚值 theintrinsicvalueisnegative 11 Theintrinsicandtimevalue Thedifferencebetweenthemarketpriceofanoptionanditsintrinsicvalueisthetimevalueoftheoption BuyersofATMorOTMoptionsaresimplybuyingtimevalue whichdecreasesasanoptionapproaches Ontheexpirationdaythetimevalueofanoptioniszero andallanoptionisworthisitsintrinsicvalue 12 TheBlack Scholespricingmodel Assumptions perfectmarketswithontaxes notransactionscosts perfectsecuritydivisibility andnorestrictionsonshortselling interestratesareconstantovertheoptions life thestockpaysnodividendsorinterestduringtheoption slife thedistributionofpossibleassetpricesattheendofanyfiniteintervalislognormal 13 TheBlack Scholespricingmodel N dx isthecumulativevaluefromthenormaldistributiontablesforthevaluedx Pa PVofthecashinflowsPe Costoftheinvestmentr Riskfreerateofreturnt TimetoexpiryofoptioninyearsS Standarddeviationoftheproject 14 期权组合 保护性看跌期权 买入看跌期权的同时买入标的股票的策略 这如同为买入股票购买了一项保险 这种股票可以随时以执行价格卖出 而不论市场中股票价格跌得有多深 买卖期权平价 标的股票的价格 看跌期权价格 看涨期权价格 行权价的现值这表明存在着两种购买保护性看跌期权的途径 你可以在购买看跌期权的同时买进标的股票 此时的成本包括标的股票的价格加上看跌期权的价格 或者在购买看涨期权的同时买进零息债券 这时的成本包括看涨期权价格加上行权价格的现值 15 被视为期权的股票和债券 公司看涨期权价值 公司价值 公司看跌期权价值 无违约