课件公司理财-利chap

1、Chapter 23Fundamentals of Corporate FinanceFifth EditionSlides byMatthew WillMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved OptionsTopics CoveredCalls and PutsWhat Determines Option ValuesSpotting the OptionOption TerminologyPut OptionRight to sell an asset at

2、 a specified exercise price on or before the exercise date.Call OptionRight to buy an asset at a specified exercise price on or before the exercise date.Option ObligationsOption ValueThe value of an option at expiration is a function of the stock price and the exercise price.Example - Option values

3、given a exercise price of $180Option ValueCall option value (graphic) given a $180 exercise price.Share PriceCall option value180 220$40Option ValuePut option value (graphic) given a $180 exercise price.Share PricePut option value140 180 $40Option ValueCall option payoff (to seller) given a $180 exe

4、rcise price.Share PriceCall option $ payoff180 Option ValuePut option payoff (to seller) given a $180 exercise price.Share PricePut option $ payoff 180 Option ValueProtective Put - Long stock and long put Share PricePosition ValueProtective PutLong PutLong StockOption ValueProtective Put - Long stoc

5、k and long put Share PricePosition ValueProtective PutOption ValueStraddle - Long call and long put - Strategy for profiting from high volatility Share PricePosition ValueStraddleLong putLong callOption ValueStraddle - Long call and long put - Strategy for profiting from high volatility Share PriceP

6、osition ValueStraddleOption ValueStock PriceUpper LimitLower Limit(Stock price - exercise price) or 0which ever is higherOption ValueComponents of the Option Price1 - Underlying stock price2 - Striking or Exercise price3 - Volatility of the stock returns (standard deviation of annual returns)4 - Tim

7、e to option expiration5 - Time value of money (discount rate)Option ValueBlack-Scholes Option Pricing Model OC = PsN(d1) - SN(d2)e-rtOptions on Real AssetsReal Options - Options embedded in real assetsOptions on Real AssetsReal Options - Options embedded in real assetsOption to ExpandOption to AbandonOptions on Financial AssetsWarrants - Right to buy shares from a company at a stipulated price before a set date.Convertible Bond - Bond that the holder may exchange for a specif