Chapter 22 Corporate Finance 公司理财课件

Chapter22OptionsandCorporateFinance:BasicConcepts,ExecutiveSummary,Optionsarespecialcontractualarrangementsgivingtheownertherighttobuyorsellanassetatafixedpriceanytimeonorbeforeagivendate.Stockoptions,themostfamiliartype,areoptionstobuyandsellsharesofcommonstock.Eversince1973,stockoptionshavebeentradedonorganizedexchanges.,2,PPT学习交流,ExecutiveSummary,Corporatesecuritiesareverysimilartothestockoptionsthataretradedonorganizedexchanges.Almosteveryissueofcorporatebondsandstockshasoptionfeatures.Inaddition,capital-structuredecisionsandcapital-budgetingdecisionscanbeviewedintermsofoptions.,3,PPT学习交流,ExecutiveSummary,Westartthischapterwithadescriptionofdifferenttypesofpubliclytradedoptions.Weidentifyanddiscussthefactorsthatdeterminetheirvalues.Weshowhowcommonstocksandbondscanbethoughtofasoptionsontheunderlyingvalueofthefirm.Thisleadstoseveralnewinsightsconcerningcorporatefinance.,4,PPT学习交流,Options,Anoptionisacontractgivingitsownertherighttobuyorsellanassetatafixedpriceonorbeforeagivendate.Optionsareauniquetypeoffinancialcontractbecausetheygivethebuyertheright,butnottheobligation,todosomething.Thebuyerusestheoptionsonlyifitisadvantageoustodoso;otherwisetheoptioncanbethrownaway.,5,PPT学习交流,Options,Specialvocabularyandimportantdefinitions:ExercisingtheOptionStrikingorExercisePriceExpirationDateAmericanandEuropeanOptions,6,PPT学习交流,CallOptions,Themostcommontypeofoptionisacall.Acalloptiongivestheownertherighttobuyanassetatafixedpriceduringaparticulartimeperiod.Themostcommoncallstradedonexchangesareoptionsonstocksandbonds.Example-callonIBMstock,7,PPT学习交流,CallOptions,Thevalueofacalloptionatexpirationdependsonthevalueoftheunderlyingstockatexpiration.Thecallisinthemoney,outofthemoney,atthemoney.Thepayoffontheexpirationdateofacalloption.,8,PPT学习交流,CallOptions,Figure22.1plotsthevalueofthecallatexpirationagainstehvalueofIBMsstock.Itisreferredtoasthehockey-stickdiagramofcall-optionvalues.Noticethatthecallcanneverhaveanegativevalue.Itisalimited-liabilityinstrument,whichmeansthatalltheholdercanloseistheinitialamountofoptionfees.,9,PPT学习交流,PutOptions,Aputoptioncanbeviewedastheoppositeofacall.Itgivestheholdertherighttosellthestockforafixedexerciseprice.Thepayoffoftheputoption.,10,PPT学习交流,SellingOptions,Aninvestorwhosells(orwrites)acalloncommonstockpromisestodeliversharesofthecommonstockifrequiredtodosobythecalloptionholder.Noticethesellerisobligatedtodoso.Whywouldthesellerofacallplacehimselfinsuchaprecariousposition?Theansweristhesellerispaidtotakethisrisk.,11,PPT学习交流,SellingOptions,Figure22.3:ThepayoffstosellersofCallsandPuts,andtoBuyersofCommonStock.Noticethatbuyingthestockisthesameasbuyingacalloptiononthestockwithanexercisepriceofzero.Becausetheexercisepriceiszero,thecallholdercanbuythestockfornothing,whichisreallythesameasowningit.,12,PPT学习交流,ReadingtheWallStreetJournal,Howtheseoptionsarequotedinmedia,suchasWallStreetJournal?Seetheexampleoftable22.1.,13,PPT学习交流,CombinationsofOptions,Putsandcallscanserveasbuildingblocksformorecomplexoptioncontracts.Thestrategyofbuyingaputandbuyingtheunderlyingstockiscalledaprotectiveput.Itisasifoneisbuyinginsuranceforthestock.Figure22.4illustratesthepayofffrombuyingaputoptiononastockandsimultaneouslybuyingthestock.,14,PPT学习交流,CombinationsofOptions,NotethatthecombinationofbuyingaputandbuyingtheunderlyingstockhasthesameshapeinFigure22.4asthecallpurchaseinFigure22.1.,15,PPT学习交流,CombinationsofOptions,Now,letstrythestrategyof:(legA)Buyingacall(legB)Buyingazero-couponbondwithafacevalueof$50thatmaturesonthesamedaythattheoptionexpires.WhatdoesthegraphofsimultaneouslybuyingbothLegAandLegBofthisstrategylooklike?ItlookslikethefarrightgraphofFigure22.5.,16,PPT学习交流,CombinationsofOptions,Thefar-rightgraphofFigure22.5looksexactlylikethefar-rightgraphofFigure22.4.Thus,aninvestorgetsthesamepayofffromthestrategyofFigure22.4,andthestrategyofFigure22.5,regardlessofwhathappenstothepriceoftheunderlyingstock.Inotherwords,theinvestorgetsthesamepayofffromthefollowingtwostrategies:,17,PPT学习交流,CombinationsofOptions,1.Buyingaputandbuyingtheunderlyingstock.2.Buyingacallandbuyingazero-couponbond.Iftheabovetwostrategieshavethesamepayoffs,theymusthavethesamecost.Thisleadstotheinterestingresultthat:,18,PPT学习交流,CombinationsofOptions,Priceofunderlyingstock+Priceofput=Priceofcall+Presentvalueofexerciseprice,or,equivalently,19,PPT学习交流,CombinationsofOptions,Thisrelationshipisknownasput-callparityandisoneofthemostfundamentalrelationshipsconcerningoptions.Itisaverypreciserelationship.Fromtheparity,youcanreplicatethepurchaseofashareofstockbybuyingacall,sellingaput,andbuyingazero-couponbond.Thisisasyntheticstock.,20,PPT学习交流,CombinationsofOptions,Covered-callStrategyBuyastockandwritethecallonthestocksimultaneously.Thisconservativestrategyknownassellingacoveredcall.,21,PPT学习交流,ValuingOptions,BoundingtheValueofaCallLowerBound:Anoptioncannotsellbelowstockpriceexerciseprice.Strategy:buyacall,exercisethecallandsellstockatcurrentmarketprice.UpperBound:Theupperboundaryisthepriceoftheunderlyingstock.Strategy:buyingthestockandsellingthecall.,22,PPT学习交流,ValuingOptions,ThefactorsDeterminingCall-OptionValuesExercisepriceExpirationDateStockpriceKeyfactor:ThevariabilityoftheunderlyingAssetInterestRate,23,PPT学习交流,ValuingOptions,FactorsDeterminingPut-OptionValues:StockpriceExercisepriceInterestrateExpirationdateVolatilityoftheunderlyingasset,24,PPT学习交流,ValuingOptions,SummaryofOptionsvalues:Table22.2,25,PPT学习交流,Anoption-pricingFormula,Thevalueofanoptionisafunctionoffivevariables:ThecurrentpriceoftheunderlyingassetExercisepriceTimetoexpirationVarianceoftheunderlyingstockRisk-freeinterestrate,26,PPT学习交流,Anoption-pricingFormula,NPVapproachcannotbeusedtodeterminethepriceofanoptionbecauseoftheunknownrisklevel.BlackandScholesattackedtheproblembypointingoutthatastrategyofborrowingtofinanceastockpurchaseduplicatestheriskofacall.Knowingthepriceofastockalready,onecandeterminethepriceofacall.,27,PPT学习交流,Anoption-pricingFormula,Ifweletthefuturestockpricebeoneofonlytwovalues,weareabletoduplicatethecallexactly.Thismodeliscalledatwo-stateoptionmodel.,28,PPT学习交流,Anoption-pricingFormula,ATwo-StateOptionModelSupposethecurrentstockpriceis$50,andthestockwilleitherbe$60or$40attheendoftheyear.Imagineacalloptiononthestockwithaone-yearexpirationdateanda$50exerciseprice.Investorcanborrowat10%.Howtodeterminethepriceofthecall?,29,PPT学习交流,Anoption-pricingFormula,Considertwostrategies:1.buythecall2.buyone-halfashareofstock;borrow$18.18.Asyoucansee,thecashflowsfromthesecondstrategymatchthecashflowsfromthefirststrategy.Weareduplicatingthecallwiththesecondstrategy.,30,PPT学习交流,Anoption-pricingFormula,Seethepayoffsonpage626.Thefuturepayoffstructureofthebuyacallstrategyisduplicatedbythestrategyofbuystockandborrow.Thatis,undereitherstrategy,aninvestorwouldendupwith$10ifthestockpriceroseand$0ifthestockpricefell.Thesetwostrategiesareequivalent.,31,PPT学习交流,Anoption-pricingFormula,Iftwostrategiesalwayshavethesamecashflowsattheendoftheyear,howmusttheirinitialcostsberelated?Sameinitialcosts.Otherwisearbitragehappens.Thecostsofourstrategyofbuyingstockandborrowingare:$6.82,sothepriceofthecallisalso$6.82.,32,PPT学习交流,Anoption-pricingFormula,DeterminingtheDeltaThepotentialswingofthecallprice/thepotentialswingofthestockpriceTheratioiscalledthedeltaofthecall.Itmeansthattheriskofbuyingone-halfshareofstockshouldbethesameastheriskofbuyingonecall.,33,PPT学习交流,Anoption-pricingFormula,DeterminingtheamountofborrowingHowdidweknowhowmuchtoborrow?Buyingone-halfshareofstockbringsuseither$30or$20atexpiration,whichisexactly$20morethanthepayoffsof$10and$0,respectively,fromthecall.,34,PPT学习交流,Anoption-pricingFormula,Risk-NeutralValuationWefoundtheexactvalueoftheoptionwithoutevenknowingtheprobabilitythatthestockwouldgoupordown!Thecurrentstockpricealreadybalancestheviewsoftheoptimistsandthepessimists.Theoptionreflectsthatbalancebecauseitsvaluedependsonthestock.,35,PPT学习交流,Anoption-pricingFormula,RiskNeutralValuati