ch18derivativesandriskmanagement(財(cái)務(wù)管理,英文版)-文庫(kù)吧資料
2025-03-11 12:38本頁(yè)面
【正文】 all 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。 t = years: s2 = V = $27[N(d1)] – $25e()()[N(d2)]. ln($27/$25) + [( + )]() ()() = . d2 = d1 – ()() = d1 – = – = . d1 = 18 20 Copyright 169。 X = $25。 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. ?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. What happens to the premium of the option price over the exercise value as the stock price rises? ?The premium of the option price over the exercise value declines as the stock price increases. ?This is due to the declining degree of leverage provided by options as the underlying stock price increases, and the greater loss potential of options at higher option prices. 18 15 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Create a table which shows (a) stock price, (b) strike price, (c) exercise value, (d) option price, and (e) premium of option price over the exercise value. Price of Strike Exercise Value Stock (a) Price (b) of Option (a) – (b) $ $ $ 18 13 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?Outofthemoney call: A call option whose exercise price exceeds the current stock price. ?LEAPS: Longterm Equity AnticiPation Securities are similar to conventional options except that they are longterm options with maturities of up to 2 1/2 years. 18 11 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?Option p
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