第二十二章期權(quán)與公司理財(cái)：基本概念(參考版)
2025-01-04 23:26本頁面
【正文】 Options,Classic NPV calculations typically ignore the flexibility that realworld firms typically have. The next chapter will take up this point.,22.13 Summary and Conclusions,The most familiar options are puts and calls. Put options give the holder the right to sell stock at a set price for a given amount of time. Call options give the holder the right to buy stock at a set price for a given amount of time. PutCall parity,22.13 Summary and Conclusions,The value of a stock option depends on six factors: 1. Current price of underlying stock. 2. Dividend yield of the underlying stock. 3. Strike price specified in the option contract. 4. Riskfree interest rate over the life of the contract. 5. Time remaining until the option contract expires. 6. Price volatility of the underlying stock. Much of corporate financial theory can be presented in terms of options. Common stock in a levered firm can be viewed as a call option on the assets of the firm. Real projects often have hidden option that enhance value.,。 – $135.,Puts with this exercise price are outofthemoney.,22.5 Reading The Wall Street Journal,On this day, 2,365 call options with this exercise price were traded.,22.5 Reading The Wall Street Journal,The CALL 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.,22.5 Reading The Wall Street Journal,On this day, 2,431 put options with this exercise price were traded.,22.5 Reading The Wall Street Journal,The PUT option with a strike price of $135 is 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 riskreturn profile to meet your client’s needs.,Protective Put Strategy: Buy a Put and Buy the Underlying Stock: Payoffs at Expiry,Buy a put with an exercise price of $50,Buy the stock,Protective Put strategy has downside protection and upside potential,$50,$0,$50,Value at expiry,Value of stock at expiry,Protective Put Strategy Profits,Buy a put with exercise price of $50 for $10,Buy the stock at $40,$40,Protective Put strategy has downside protection and upside potential,$40,$0,$40,$50,Value at expiry,Value of stock at expiry,Covered Call Strategy,Sell a call with exercise price of $50 for $10,Buy the stock at $40,$40,Covered call,$40,$0,$40,$10,$30,$30,$50,Value of stock at expiry,Value at expiry,Long Straddle: Buy a Call and a Put,Buy a put with an exercise price of $50 for $10,$40,A Long Straddle only makes money if the stock price moves $20 away from $50.,$40,$0,$20,$50,Buy a call with an exercise price of $50 for $10,$10,$30,$60,$30,$70,Value of stock at expiry,Value at expiry,Short Straddle: Sell a Call and a Put,Sell a put with exercise price of $50 for $10,$40,A Short Straddle only loses money if the stock price moves $20 away from $50.,$40,$0,$30,$50,Sell a call with an exercise price of $50 for $10,$10,$20,$60,$30,$70,Value of stock at expiry,Value at expiry,Long Call Spread,Sell a call with exercise price of $55 for $5,$55,long call spread,$5,$0,$50,Buy a call with an exercise price of $50 for $10,$10,$5,$60,Value of stock at expiry,Value at expiry,PutCall Parity,Sell a put with an exer
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