Chapter 22 Corporate Finance 公司理财 机械工业出版社 Ross PPT课件.ppt

1 Chapter22OptionsandCorporateFinance BasicConcepts 2 ExecutiveSummary Optionsarespecialcontractualarrangementsgivingtheownertherighttobuyorsellanassetatafixedpriceanytimeonorbeforeagivendate Stockoptions themostfamiliartype areoptionstobuyandsellsharesofcommonstock Eversince1973 stockoptionshavebeentradedonorganizedexchanges 3 ExecutiveSummary Corporatesecuritiesareverysimilartothestockoptionsthataretradedonorganizedexchanges Almosteveryissueofcorporatebondsandstockshasoptionfeatures Inaddition capital structuredecisionsandcapital budgetingdecisionscanbeviewedintermsofoptions 4 ExecutiveSummary Westartthischapterwithadescriptionofdifferenttypesofpubliclytradedoptions Weidentifyanddiscussthefactorsthatdeterminetheirvalues Weshowhowcommonstocksandbondscanbethoughtofasoptionsontheunderlyingvalueofthefirm Thisleadstoseveralnewinsightsconcerningcorporatefinance 5 Options Anoptionisacontractgivingitsownertherighttobuyorsellanassetatafixedpriceonorbeforeagivendate Optionsareauniquetypeoffinancialcontractbecausetheygivethebuyertheright butnottheobligation todosomething Thebuyerusestheoptionsonlyifitisadvantageoustodoso otherwisetheoptioncanbethrownaway 6 Options Specialvocabularyandimportantdefinitions ExercisingtheOptionStrikingorExercisePriceExpirationDateAmericanandEuropeanOptions 7 CallOptions Themostcommontypeofoptionisacall Acalloptiongivestheownertherighttobuyanassetatafixedpriceduringaparticulartimeperiod Themostcommoncallstradedonexchangesareoptionsonstocksandbonds Example callonIBMstock 8 CallOptions Thevalueofacalloptionatexpirationdependsonthevalueoftheunderlyingstockatexpiration Thecallisinthemoney outofthemoney atthemoney Thepayoffontheexpirationdateofacalloption 9 CallOptions Figure22 1plotsthevalueofthecallatexpirationagainstehvalueofIBM sstock Itisreferredtoasthehockey stickdiagramofcall optionvalues Noticethatthecallcanneverhaveanegativevalue Itisalimited liabilityinstrument whichmeansthatalltheholdercanloseistheinitialamountofoptionfees 10 PutOptions Aputoptioncanbeviewedastheoppositeofacall Itgivestheholdertherighttosellthestockforafixedexerciseprice Thepayoffoftheputoption 11 SellingOptions Aninvestorwhosells orwrites acalloncommonstockpromisestodeliversharesofthecommonstockifrequiredtodosobythecalloptionholder Noticethesellerisobligatedtodoso Whywouldthesellerofacallplacehimselfinsuchaprecariousposition Theansweristhesellerispaidtotakethisrisk 12 SellingOptions Figure22 3 ThepayoffstosellersofCallsandPuts andtoBuyersofCommonStock Noticethatbuyingthestockisthesameasbuyingacalloptiononthestockwithanexercisepriceofzero Becausetheexercisepriceiszero thecallholdercanbuythestockfornothing whichisreallythesameasowningit 13 ReadingtheWallStreetJournal Howtheseoptionsarequotedinmedia suchasWallStreetJournal Seetheexampleoftable22 1 14 CombinationsofOptions Putsandcallscanserveasbuildingblocksformorecomplexoptioncontracts Thestrategyofbuyingaputandbuyingtheunderlyingstockiscalledaprotectiveput Itisasifoneisbuyinginsuranceforthestock Figure22 4illustratesthepayofffrombuyingaputoptiononastockandsimultaneouslybuyingthestock 15 CombinationsofOptions NotethatthecombinationofbuyingaputandbuyingtheunderlyingstockhasthesameshapeinFigure22 4asthecallpurchaseinFigure22 1 16 CombinationsofOptions Now let strythestrategyof legA Buyingacall legB Buyingazero couponbondwithafacevalueof 50thatmaturesonthesamedaythattheoptionexpires WhatdoesthegraphofsimultaneouslybuyingbothLegAandLegBofthisstrategylooklike ItlookslikethefarrightgraphofFigure22 5 17 CombinationsofOptions Thefar rightgraphofFigure22 5looksexactlylikethefar rightgraphofFigure22 4 Thus aninvestorgetsthesamepayofffromthestrategyofFigure22 4 andthestrategyofFigure22 5 regardlessofwhathappenstothepriceoftheunderlyingstock Inotherwords theinvestorgetsthesamepayofffromthefollowingtwostrategies 18 CombinationsofOptions 1 Buyingaputandbuyingtheunderlyingstock 2 Buyingacallandbuyingazero couponbond Iftheabovetwostrategieshavethesamepayoffs theymusthavethesamecost Thisleadstotheinterestingresultthat 19 CombinationsofOptions Priceofunderlyingstock Priceofput Priceofcall Presentvalueofexerciseprice or equivalently 20 CombinationsofOptions Thisrelationshipisknownasput callparityandisoneofthemostfundamentalrelationshipsconcerningoptions Itisaverypreciserelationship Fromtheparity youcanreplicatethepurchaseofashareofstockbybuyingacall sellingaput andbuyingazero couponbond Thisisasyntheticstock 21 CombinationsofOptions Covered callStrategyBuyastockandwritethecallonthestocksimultaneously Thisconservativestrategyknownassellingacoveredcall 22 ValuingOptions BoundingtheValueofaCallLowerBound Anoptioncannotsellbelowstockprice exerciseprice Strategy buyacall exercisethecallandsellstockatcurrentmarketprice UpperBound Theupperboundaryisthepriceoftheunderlyingstock Strategy buyingthestockandsellingthecall 23 可编辑 24 ValuingOptions ThefactorsDeterminingCall OptionValuesExercisepriceExpirationDateStockpriceKeyfactor ThevariabilityoftheunderlyingAssetInterestRate 25 ValuingOptions FactorsDeterminingPut OptionValues StockpriceExercisepriceInterestrateExpirationdateVolatilityoftheunderlyingasset 26 ValuingOptions SummaryofOptionsvalues Table22 2 27 Anoption pricingFormula Thevalueofanoptionisafunctionoffivevariables ThecurrentpriceoftheunderlyingassetExercisepriceTimetoexpirationVarianceoftheunderlyingstockRisk freeinterestrate 28 Anoption pricingFormula NPVapproachcannotbeusedtodeterminethepriceofanoptionbecauseoftheunknownrisklevel BlackandScholesattackedtheproblembypointingoutthatastrategyofborrowingtofinanceastockpurchaseduplicatestheriskofacall Knowingthepriceofastockalready onecandeterminethepriceofacall 29 Anoption pricingFormula Ifweletthefuturestockpricebeoneofonlytwovalues weareabletoduplicatethecallexactly Thismodeliscalledatwo stateoptionmodel 30 Anoption pricingFormula ATwo StateOptionModelSupposethecurrentstockpriceis 50 andthestockwilleitherbe 60or 40attheendoftheyear Imagineacalloptiononthestockwithaone yearexpirationdateanda 50exerciseprice Investorcanborrowat10 Howtodeterminethepriceofthecall 31 Anoption pricingFormula Considertwostrategies 1 buythecall2 buyone halfashareofstock borrow 18 18 Asyoucansee thecashflowsfromthesecondstrategymatchthecashflowsfromthefirststrategy Weareduplicatingthecallwiththesecondstrategy 32 Anoption pricingFormula Seethepayoffsonpage626 Thefuturepayoffstructureofthebuyacallstrategyisduplicatedbythestrategyofbuystockandborrow Thatis undereitherstrategy aninvestorwouldendupwith 10ifthestockpriceroseand 0ifthestockpricefell Thesetwostrategiesareequivalent 33 Anoption pricingFormula Iftwostrategiesalwayshavethesamecashflowsattheendoftheyear howmusttheirinitialcostsberelated Sameinitialcosts Otherwisearbitragehappens Thecostsofourstrategyofbuyingstockandborrowingare 6 82 sothepriceofthecallisalso 6 82 34 Anoption pricingFormula DeterminingtheDeltaThepotentialswingofthecallprice thepotentialswingofthestockpriceTheratioiscalledthedeltaofthecall Itmeansthattheriskofbuyingone halfshareofstockshouldbethesameastheriskofbuyingonecall 35 Anoption pricingFormula DeterminingtheamountofborrowingHowdidweknowhowmuchtoborrow Buyingone halfshareofstockbringsuseither 30or 20atexpiration whichisexactly 20morethanthepayoffsof 10and 0 respectively fromthecall 36 Anoption pricingFormula Risk NeutralValuationWefoundtheexactvalueoftheoptionwithoutevenknowingtheprobabilitythatthestockwouldgoupordown Thecurrentstockpricealreadybalancestheviewsoftheoptimistsandthepessimists Theoptionreflectsthatbalancebecauseitsvaluedependsonthe