《公司理财课件chap022章节》由会员分享，可在线阅读，更多相关《公司理财课件chap022章节（76页珍藏版）》请在金锄头文库上搜索。
1、Options and Corporate Finance,Key Concepts and Skills,Understand option terminology Be able to determine option payoffs and profits Understand the major determinants of option prices Understand and apply put-call parity Be able to determine option prices using the binomial and Black-Scholes models,C
2、hapter Outline,22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Option Quotes 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Options and Corporate Decisions: Some Applications 22.11 Investment in Real P
3、rojects and Options,22.1 Options,An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or before) a given date, at prices agreed upon today. Exercising the Option The act of buying or selling the underlying asset Strike Price or Exercise Price
4、Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset Expiry (Expiration Date) The maturity date of the option,Options,European versus American options European options can be exercised only at expiry. American options can be exercised at any time
5、up to expiry. In-the-Money Exercising the option would result in a positive payoff. At-the-Money Exercising the option would result in a zero payoff (i.e., exercise price equal to spot price). Out-of-the-Money Exercising the option would result in a negative payoff.,22.2 Call Options,Call options gi
6、ves the holder the right, but not the obligation, to buy a given quantity of some asset on or before some time in the future, at prices agreed upon today. When exercising a call option, you “call in” the asset.,Call Option Pricing at Expiry,At expiry, an American call option is worth the same as a E
7、uropean option with the same characteristics. If the call is in-the-money, it is worth ST E. If the call is out-of-the-money, it is worthless: C = MaxST E, 0 Where ST is the value of the stock at expiry (time T) E is the exercise price. C is the value of the call option at expiry,Call Option Payoffs
8、,20,120,20,40,60,80,100,40,20,40,60,Stock price ($),Option payoffs ($),Buy a call,Exercise price = $50,50,Call Option Profits,Exercise price = $50; option premium = $10,Buy a call,50,10,10,22.3 Put Options,Put options gives the holder the right, but not the obligation, to sell a given quantity of an
9、 asset on or before some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.,Put Option Pricing at Expiry,At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is wort
10、h E ST. If the put is out-of-the-money, it is worthless. P = MaxE ST, 0,Put Option Payoffs,20,0,20,40,60,80,100,40,20,0,40,60,Stock price ($),Option payoffs ($),Buy a put,Exercise price = $50,50,50,Put Option Profits,20,20,40,60,80,100,40,20,40,60,Stock price ($),Option payoffs ($),Buy a put,Exercis
11、e price = $50; option premium = $10,10,10,50,Option Value,Intrinsic Value Call: MaxST E, 0 Put: MaxE ST , 0 Speculative Value The difference between the option premium and the intrinsic value of the option.,22.4 Selling Options,The seller (or writer) of an option has an obligation. The seller receiv
12、es the option premium in exchange.,Call Option Payoffs,20,120,20,40,60,80,100,40,20,40,60,Stock price ($),Option payoffs ($),Sell a call,Exercise price = $50,50,Put Option Payoffs,20,0,20,40,60,80,100,40,20,0,40,50,Stock price ($),Option payoffs ($),Sell a put,Exercise price = $50,50,Option Diagrams
13、 Revisited,Exercise price = $50; option premium = $10,Sell a call,Buy a call,50,60,40,100,40,40,Stock price ($),Option payoffs ($),Buy a put,Sell a put,10,10,Buy a call,Sell a put,Buy a put,Sell a call,22.5 Option Quotes,Option Quotes,This option has a strike price of $135;,a recent price for the st
14、ock is $138.25;,July is the expiration month.,Option Quotes,This makes a call option with this exercise price in-the-money by $3.25 = $138 $135.,Puts with this exercise price are out-of-the-money.,Option Quotes,On this day, 2,365 call options with this exercise price were traded.,Option Quotes,The C
15、ALL option with a strike price of $135 is trading for $4.75.,Since the option is on 100 shares of stock, buying this option would cost $475 plus commissions.,Option Quotes,On this day, 2,431 put options with this exercise price were traded.,Option Quotes,The PUT option with a strike price of $135 is
16、 trading for $.8125.,Since the option is on 100 shares of stock, buying this option would cost $81.25 plus commissions.,22.6 Combinations of Options,Puts and calls can serve as the building blocks for more complex option contracts. If you understand this, you can become a financial engineer, tailoring the risk-return profile to meet your cli
