derivativesandriskmanagement(英文版)(編輯修改稿)
2025-01-24 07:50 本頁面
【文章內(nèi)容簡介】 20 25 30 35 40 45 50 Stock Price Option value 30 25 20 15 10 5 Market price Exercise value 18 16 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?The stock underlying the call option provides no dividends during the call option’s life. ?There are no transactions costs for the sale/purchase of either the stock or the option. ?kRF is known and constant during the option’s life. What are the assumptions of the BlackScholes Option Pricing Model? (More...) 18 17 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?Security buyers may borrow any fraction of the purchase price at the shortterm, riskfree rate. ?No penalty for short selling and sellers receive immediately full cash proceeds at today’s price. ?Call option can be exercised only on its expiration date. ? Security trading takes place in continuous time, and stock prices move randomly in continuous time. 18 18 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. V = P[N(d1)] – Xe kRFt[N(d2)]. d1 = . s t d2 = d1 – s t. What are the three equations that make up the OPM? ln(P/X) + [kRF + (s2/2)]t 18 19 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. What is the value of the following call option according to the OPM? Assume: P = $27。 X = $25。 kRF = 6%。 t = years: s2 = V = $27[N(d1)] – $25e()()[N(d2)]. ln($27/$25) + [( + )]() ()() = . d2 = d1 – ()() = d1 – = – = . d1 = 18 20 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. N(d1) = N() = + = . N(d2) = N() = + = . Note: Values obtained from Table A5 in text. V = $27() – $() = $ – $25()() = $. 18 21 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?Current stock price: Call option value increases as the current stock price increases. ?Exercise price: As the exercise price increases, a call option’s value decreases. What impact do the following para meters have on a call option’s value? 18 22 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?Option period: As the expiration date is lengthened, a call option’s value increases (more chance of being in
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