公司理财第二十二章（英文版）课件.ppt

公司理财第二十二章课件 0 OptionsandCorporateFinance Chapter22 Copyright 2015bytheMcGraw HillEducation Asia Allrightsreserved 公司理财第二十二章课件 1 KeyConceptsandSkills UnderstandoptionterminologyBeabletodetermineoptionpayoffsandprofitsUnderstandthemajordeterminantsofoptionpricesUnderstandandapplyput callparityBeabletodetermineoptionpricesusingthebinomialandBlack Scholesmodels 公司理财第二十二章课件 2 ChapterOutline 22 1Options22 2CallOptions22 3PutOptions22 4SellingOptions22 5OptionQuotes22 6CombinationsofOptions22 7ValuingOptions22 8AnOptionPricingFormula22 9StocksandBondsasOptions22 10OptionsandCorporateDecisions SomeApplications22 11InvestmentinRealProjectsandOptions 公司理财第二十二章课件 3 22 1Options Anoptiongivestheholdertheright butnottheobligation tobuyorsellagivenquantityofanasseton orbefore agivendate atpricesagreedupontoday ExercisingtheOptionTheactofbuyingorsellingtheunderlyingassetStrikePriceorExercisePriceReferstothefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingassetExpiry ExpirationDate Thematuritydateoftheoption 公司理财第二十二章课件 4 Options EuropeanversusAmericanoptionsEuropeanoptionscanbeexercisedonlyatexpiry Americanoptionscanbeexercisedatanytimeuptoexpiry In the MoneyExercisingtheoptionwouldresultinapositivepayoff At the MoneyExercisingtheoptionwouldresultinazeropayoff i e exercisepriceequaltospotprice Out of the MoneyExercisingtheoptionwouldresultinanegativepayoff 公司理财第二十二章课件 5 22 2CallOptions Acalloptiongivestheholdertheright butnottheobligation tobuyagivenquantityofsomeassetonorbeforesometimeinthefuture i e beforetheexpirationdateataprice theexerciseorstrikeprice agreedupontoday Whenexercisingacalloption you callin theasset Exercisingthecalloptioninvolvesgivingthecalloptionplustheexercisepriceandreceivingthequantityofasset 公司理财第二十二章课件 6 CallOptionPricingatExpiry Atexpiry anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics Ifthecallisin the money itisworthST E Ifthecallisout of the money itisworthless C Max ST E 0 WhereSTisthevalueofthestockatexpiry timeT Eistheexerciseprice Cisthevalueofthecalloptionatexpiry 公司理财第二十二章课件 7 CallOptionPayoffs 20 120 20 40 60 80 100 40 20 40 60 Stockprice Optionpayoffs Buyacall Exerciseprice 60 公司理财第二十二章课件 8 CallOptionProfits Exerciseprice 60 optionpremium 10 Buyacall 70 10 10 公司理财第二十二章课件 9 22 3PutOptions Aputoptiongivestheholdertheright butnottheobligation tosellagivenquantityofanassetonorbeforesometimeinthefuture atpricesagreedupontoday Whenexercisingaput you put theassettosomeone Exercisingtheputinvolvesgivingtheputoptionplusthegivenquantityofassettotheseller andreceivingtheexercisepriceinreturn 公司理财第二十二章课件 10 PutOptionPricingatExpiry Atexpiry anAmericanputoptionisworththesameasaEuropeanoptionwiththesamecharacteristics Iftheputisin the money itisworthE ST Iftheputisout of the money itisworthless P Max E ST 0 公司理财第二十二章课件 11 PutOptionPayoffs 20 0 20 40 60 80 100 40 20 0 40 60 Stockprice Optionpayoffs Buyaput Exerciseprice 50 50 50 公司理财第二十二章课件 12 PutOptionProfits 20 20 40 60 80 100 40 20 40 60 Stockprice Optionprofits Buyaput Exerciseprice 50 optionpremium 10 10 10 50 公司理财第二十二章课件 13 OptionValue IntrinsicValueCall Max ST E 0 Put Max E ST 0 TimeValueThedifferencebetweentheoptionpremiumandtheintrinsicvalueoftheoption 公司理财第二十二章课件 14 22 4SellingOptions Theseller orwriter ofanoptionhasanobligation Thesellerreceivestheoptionpremiuminexchange 公司理财第二十二章课件 15 CallOptionPayoffs 20 120 20 40 60 80 100 40 20 40 60 Stockprice Optionpayoffs Sellacall Exerciseprice 50 50 公司理财第二十二章课件 16 PutOptionPayoffs 20 0 20 40 60 80 100 40 20 0 40 50 Stockprice Optionpayoffs Sellaput Exerciseprice 50 50 公司理财第二十二章课件 17 OptionDiagramsRevisited Exerciseprice 50 optionpremium 10 Sellacall Buyacall 50 60 40 100 40 40 Stockprice Optionprofits Buyaput Sellaput 10 10 Buyacall Sellaput Buyaput Sellacall 公司理财第二十二章课件 18 22 5OptionQuotes 公司理财第二十二章课件 19 22 5OptionQuotes Thisoptionhasastrikepriceof 85 Mayistheexpirationmonth Lasttradedpriceforthestockis 85 70 公司理财第二十二章课件 20 22 5OptionQuotes Putswiththisexercisepriceareout of the money 公司理财第二十二章课件 21 22 5OptionQuotes 371calloptionswiththisexercisepriceweretradedthatday 公司理财第二十二章课件 22 22 5OptionQuotes Sincetheoptionison100sharesofstock buyingthisoptionwouldcost 83pluscommissions 公司理财第二十二章课件 23 22 6CombinationsofOptions Putsandcallscanserveasthebuildingblocksformorecomplexoptioncontracts Ifyouunderstandthis youcanbecomeafinancialengineer tailoringtherisk returnpromeetyourclient sneeds 公司理财第二十二章课件 24 ProtectivePutStrategy Payoffs Buyaputwithanexercisepriceof 50 Buythestock ProtectivePutpayoffs 50 0 50 Valueatexpiry Valueofstockatexpiry 公司理财第二十二章课件 25 ProtectivePutStrategy Profits Buyaputwithexercisepriceof 50for 10 Buythestockat 40 40 ProtectivePutstrategyhasdownsideprotectionandupsidepotential 40 0 40 50 Valueatexpiry Valueofstockatexpiry 10 公司理财第二十二章课件 26 CoveredCallStrategy Sellacallwithexercisepriceof 50for 10 Buythestockat 40 40 CoveredCallstrategy 0 40 50 Valueatexpiry Valueofstockatexpiry 公司理财第二十二章课件 27 LongStraddle 30 40 60 70 30 40 Stockprice Optionpayoffs Buyaputwithexercisepriceof 50for 10 Buyacallwithexercisepriceof 50for 10 ALongStraddleonlymakesmoneyifthestockpricemoves 20awayfrom 50 50 公司理财第二十二章课件 28 ShortStraddle 30 30 40 60 70 40 Stockprice Optionpayoffs 50 ThisShortStraddleonlylosesmoneyifthestockpricemoves 20awayfrom 50 Sellaputwithexercisepriceof 50for 10 Sellacallwithanexercisepriceof 50for 10 公司理财第二十二章课件 29 Put CallParity P0 S0 C0 E 1 r T 25 25 Stockprice Optionpayoffs Considerthepayoffsfromholdingaportfolioconsistingofacallwithastrikepriceof 25andabondwithafuturevalueof 25 Call Portfoliopayoff 公司理财第二十二章课件 30 Put CallParity 25 25 Stockprice Optionpayoffs Considerthepayoffsfromholdingaportfolioconsistingofashareofstockandaputwitha 25strike Portfoliovaluetoday P0 S0 Portfoliopayoff 公司理财第二十二章课件 31 Put CallParity Sincetheseportfolioshaveidenticalpayoffs theymusthavethesamevaluetoday hencePut CallParity C0 E 1 r T P0 S0 公司理财第二十二章课件 32 22 7ValuingOptions Thelastsectionconcerneditselfwiththevalueofanoptionatexpiry Thissectionconsidersthevalueofanoptionpriortotheexpirationdate Amuchmoreinterestingquestion 公司理财第二十二章课件 33 AmericanCall C0mustfallwithinmax S0 E 0 C0 S0 25 Optionpayoffs Call ST loss E Profit ST Timevalue Intrinsicvalue In the money Out of the money 公司理财第二十二章课件 34 OptionValueDeterminants CallPutStockprice Exerciseprice Interestrate Volatilityinthestockprice Expirationdate ThevalueofacalloptionC0mustfallwithinmax S0 E 0 C0 S0 Theprecisepositionwilldependonthesefactors 公司理财第二十二章课件 35 22 8AnOptionPricingFormula Wewillstartwithabinomialoptionpricingformulatobuildourintuition Thenwewillgraduatetothenormalapproximationtothebinomialforsomereal worldoptionvaluation 公司理财第二十二章课件 36 BinomialOptionPricingModel Supposeastockisworth 25todayandinoneperiodwilleitherbeworth15 moreor15 less S0 25today andinoneyearS1iseither 28 75or 21 25 Therisk freerateis5 Whatisthevalueofanat the moneycalloption 25 S0 公司理财第二十二章课件 37 BinomialOptionPricingModel Acalloptiononthisstockwithexercisepriceof 25willhavethefollowingpayoffs Wecanreplicatethepayoffsofthecalloptionwithaleveredpositioninthestock 25 21 25 28 75 S1 S0 C1 3 75 0 公司理财第二十二章课件 38 BinomialOptionPricingModel Borrowthepresentvalueof 21 25todayandbuy1share Thenetpayoffforthisleveredequityportfolioinoneperiodiseither 7 50or 0 Theleveredequityportfoliohastwicetheoption spayoff sotheportfolioisworthtwicethecalloptionvalue 25 21 25 28 75 S1 S0 debt 21 25 portfolio 7 50 0 C1 3 75 0 21 25 公司理财第二十二章课件 39 BinomialOptionPricingModel Thevaluetodayoftheleveredequityportfolioistoday svalueofonesharelessthepresentvalueofa 21 25debt 25 21 25 28 75 S1 S0 debt 21 25 portfolio 7 50 0 C1 3 75 0 21 25 公司理财第二十二章课件 40 BinomialOptionPricingModel Wecanvaluethecalloptiontodayashalfofthevalueoftheleveredequityportfolio 25 21 25 28 75 S1 S0 debt 21 25 portfolio 7 50 0 C1 3 75 0 21 25 公司理财第二十二章课件 41 Iftheinterestrateis5 thecallisworth BinomialOptionPricingModel 25 21 25 28 75 S1 S0 debt 21 25 portfolio 7 50 0 C1 3 75 0 21 25 公司理财第二十二章课件 42 BinomialOptionPricingModel thereplicatingportfoliointuition Manyderivativesecuritiescanbevaluedbyvaluingportfoliosofprimitivesecuritieswhenthoseportfolioshavethesamepayoffsasthederivativesecurities Themostimportantlesson sofar fromthebinomialoptionpricingmodelis 公司理财第二十二章课件 43 Delta Thispracticeoftheconstructionofarisklesshedgeiscalleddeltahedging Thedeltaofacalloptionispositive Recallfromtheexample Thedeltaofaputoptionisnegative 公司理财第二十二章课件 44 Delta DeterminingtheAmountofBorrowing Valueofacall Stockprice Delta Amountborrowed 2 38 25 AmountborrowedAmountborrowed 10 12 公司理财第二十二章课件 45 TheRisk NeutralApproach Wecouldvaluetheoption V 0 asthevalueofthereplicatingportfolio Anequivalentmethodisrisk neutralvaluation S 0 V 0 S U V U S D V D q 1 q 公司理财第二十二章课件 46 TheRisk NeutralApproach S 0 isthevalueoftheunderlyingassettoday S 0 V 0 S U V U S D V D S U andS D arethevaluesoftheassetinthenextperiodfollowinganupmoveandadownmove respectively q 1 q V U andV D arethevaluesoftheoptioninthenextperiodfollowinganupmoveandadownmove respectively qistherisk neutralprobabilityofan up move 公司理财第二十二章课件 47 TheRisk NeutralApproach Thekeytofindingqistonotethatitisalreadyimpoundedintoanobservablesecurityprice thevalueofS 0 Aminorbitofalgebrayields 公司理财第二十二章课件 48 ExampleofRisk NeutralValuation 21 25 C D q 1 q Supposeastockisworth 25todayandinoneperiodwilleitherbeworth15 moreor15 less Therisk freerateis5 Whatisthevalueofanat the moneycalloption Thebinomialtreewouldlooklikethis 25 C 0 28 75 C U 公司理财第二十二章课件 49 ExampleofRisk NeutralValuation 21 25 C D 2 3 1 3 Thenextstepwouldbetocomputetheriskneutralprobabilities 25 C 0 28 75 C U 公司理财第二十二章课件 50 ExampleofRisk NeutralValuation 21 25 0 2 3 1 3 Afterthat findthevalueofthecallintheupstateanddownstate 25 C 0 28 75 3 75 公司理财第二十二章课件 51 ExampleofRisk NeutralValuation Finally findthevalueofthecallattime0 25 2 38 公司理财第二十二章课件 52 Thisrisk neutralresultisconsistentwithvaluingthecallusingareplicatingportfolio Risk NeutralValuationandtheReplicatingPortfolio 公司理财第二十二章课件 53 TheBlack ScholesModel WhereC0 thevalueofaEuropeanoptionattimet 0 R therisk freeinterestrate N d Probabilitythatastandardized normallydistributed randomvariablewillbelessthanorequaltod TheBlack ScholesModelallowsustovalueoptionsintherealworldjustaswehavedoneinthe2 stateworld 公司理财第二十二章课件 54 TheBlack ScholesModel Findthevalueofasix monthcalloptiononHardcraft Inc withanexercisepriceof 150 ThecurrentvalueofashareofHardcraftis 160 TheinterestrateavailableintheU S isR 5 Theoptionmaturityis6months halfofayear Thevolatilityoftheunderlyingassetis30 perannum Beforewestart notethattheintrinsicvalueoftheoptionis 10 ouranswermustbeatleastthatamount 公司理财第二十二章课件 55 TheBlack ScholesModel Let stryourhandatusingthemodel Ifyouhaveacalculatorhandy followalong Then Firstcalculated1andd2 公司理财第二十二章课件 56 TheBlack ScholesModel N d1 N 0 52815 0 7013N d2 N 0 31602 0 62401 公司理财第二十二章课件 57 22 9StocksandBondsasOptions Leveredequityisacalloption Theunderlyingassetcomprisestheassetsofthefirm Thestrikepriceisthepayoffofthebond Ifatthematurityoftheirdebt theassetsofthefirmaregreaterinvaluethanthedebt theshareholdershaveanin the moneycall Theywillpaythebondholdersand callin theassetsofthefirm Ifatthematurityofthedebttheshareholdershaveanout of the moneycall theywillnotpaythebondholders i e theshareholderswilldeclarebankruptcy andletthecallexpire 公司理财第二十二章课件 58 StocksandBondsasOptions Leveredequityisaputoption Theunderlyingassetcomprisestheassetsofthefirm Thestrikepriceisthepayoffofthebond Ifatthematurityoftheirdebt theassetsofthefirmarelessinvaluethanthedebt shareholdershaveanin the moneyput Theywillputthefirmtothebondholders Ifatthematurityofthedebttheshareholdershaveanout of the moneyput theywillnotexercisetheoption i e NOTdeclarebankruptcy andlettheputexpire 公司理财第二十二章课件 59 StocksandBondsasOptions Itallcomesdowntoput callparity Stockholder spositionintermsofcalloptions Stockholder spositionintermsofputoptions 公司理财第二十二章课件 60 MergersandDiversification Diversificationisafrequentlymentionedreasonformergers Diversificationreducesriskand therefore volatility Decreasingvolatilitydecreasesthevalueofanoption Assumediversificationistheonlybenefittoamerger Sinceequitycanbeviewedasacalloption shouldthemergerincreaseordecreasethevalueoftheequity Sinceriskydebtcanbeviewedasrisk freedebtminusaputoption whathappenstothevalueoftheriskydebt Overall whathashappenedwiththemergerandisitagooddecisioninviewofthegoalofstockholderwealthmaximization 公司理财第二十二章课件 61 Example Considerthefollowingtwomergercandidates Themergerisfordiversificationpurposesonlywithnosynergiesinvolved Risk freerateis4 公司理财第二十二章课件 62 Example UsetheBlackandScholesOPM oranoptionscalculator tocomputethevalueoftheequity Valueofthedebt valueofassets valueofequity 公司理财第二十二章课件 63 Example Theassetreturnstandarddeviationforthecombinedfirmis30 Marketvalueassets combined 40 15 55Facevaluedebt combined 18 7 25 TotalMVofequityofseparatefirms 25 72 9 88 35 60Wealthtransferfromstockholderstobondholders 35 60 34 18 1 42 exactincreaseinMVofdebt 公司理财第二十二章课件 64 M AConclusions Mergersfordiversificationonlytransferwealthfromthestockholderstothebondholders Thestandarddeviationofreturnsontheassetsisreduced therebyreducingtheoptionvalueoftheequity Ifmanagement sgoalistomaximizestockholderwealth thenmergersforreasonsofdiversificationshouldnotoccur 公司理财第二十二章课件 65 OptionsandCapitalBudgeting StockholdersmaypreferlowNPVprojectstohighNPVprojectsifthefirmishighlyleveragedandthelowNPVprojectincreasesvolatility Consideracompanywiththefollowingcharacteristics MVassets 40millionFaceValuedebt 25millionDebtmaturity 5yearsAssetreturnstandarddeviation 40 Risk freerate 4 公司理财第二十二章课件 66 Example LowNPV Currentmarketvalueofequity 22 706millionCurrentmarketvalueofdebt 17 294million 公司理财第二十二章课件 67 Example LowNPV Whichprojectshouldmanagementtake EventhoughprojectBhasalowerNPV itisbetterforstockholders Thefirmhasarelativelyhighamountofleverage WithprojectA thebondholdersshareintheNPVbecauseitreducestheriskofbankruptcy WithprojectB thestockholdersactuallyappropriateadditionalwealthfromthebondholdersforalargergaininvalue 公司理财第二十二章课件 68 Example NegativeNPV WehaveseenthatstockholdersmightpreferalowNPVtoahighone butwouldtheyeverpreferanegativeNPV Undercertaincircumstances theymight Ifthefirmishighlyleveraged stockholdershavenothingtoloseif