ch18derivativesandriskmanagement(財務管理-英文版)(編輯修改稿)
2024-10-20 23:39 本頁面
【文章內(nèi)容簡介】 rlying 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.),第十六頁，共三十五頁。,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.,第十七頁，共三十五頁。,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,第十八頁，共三十五頁。,What is the value of the following call option according to the OPM? Assume: P = $27。 X = $25。 kRF = 6%。 t = 0.5 years: s2 = 0.11,V = $27[N(d1)] – $25e(0.06)(0.5)[N(d2)]. ln($27/$25) + [(0.06 + 0.11/2)](0.5) (0.3317)(0.7071) = 0.5736. d2 = d1 – (0.3317)(0.7071) = d1 – 0.2345 = 0.5736 – 0.2345 = 0.3391.,d1 =,第十九頁，共三十五頁。,N(d1) = N(0.5736) = 0.5000 + 0.2168 = 0.7168. N(d2) = N(0.3391) = 0.5000 + 0.1327 = 0.6327. Note: Values obtained from Table A5 in text. V = $27(0.7168) – $25e0.03(0.6327) = $19.3536 – $25(0.97045)(0.6327) = $4.0036.,第二十頁，共三十五頁。,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?,第二十一頁，共三十五頁。,Option period: As the expiration date is lengthened, a call option’s value increases (more chance of becoming in the money.) Riskfree rate: Call option’s value tends to increase as kRF increases (red
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