第二十二章期權(quán)與公司理財(cái)：基本概念-閱讀頁(yè)
2025-01-04 23:26本頁(yè)面
【正文】 asset.,Options Contracts: Preliminaries,Intrinsic Value The difference between the exercise price of the option and the spot price of the underlying asset. Speculative Value The difference between the option premium and the intrinsic value of the option.,Option Premium,=,Intrinsic Value,Speculative Value,+,22.2 Call Options,Call options gives 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.,Basic Call Option Pricing Relationships at Expiry,At expiry, an American call option is worth the same as a European option with the same characteristics. If the call is inthemoney, it is worth ST E. If the call is outofthemoney, it is worthless. CaT = CeT = Max[ST E, 0] Where ST is the value of the stock at expiry (time T) E is the exercise price. CaT is the value of an American call at expiry CeT is the value of a European call at expiry,Call Option Payoffs,20,100,90,80,70,60,0,10,20,30,40,50,40,20,0,60,40,60,Stock price ($),Option payoffs ($),,Buy a call,Exercise price = $50,Call Option Payoffs,Write a call,Exercise price = $50,Call Option Profits,Write a call,Buy a call,Exercise price = $50。 option premium = $10,22.3 Put Options,Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.,Basic Put Option Pricing Relationships at Expiry,At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is inthemoney, it is worth E ST. If the put is outofthemoney, it is worthless. PaT = PeT = Max[E ST, 0],Put Option Payoffs,20,100,90,80,70,60,0,10,20,30,40,50,40,20,0,60,40,60,Stock price ($),Option payoffs ($),Buy a put,Exercise price = $50,Put Option Payoffs,20,100,90,80,70,60,0,10,20,30,40,50,40,20,0,60,40,60,Option payoffs ($),write a put,Exercise price = $50,Stock price ($),Put Option Profits,20,100,90,80,70,60,0,10,20,30,40,50,40,20,0,60,40,60,Stock price ($),Option profits ($),,Buy a put,Write a put,Exercise price = $50。,a recent price for the stock is $138.25,July is the expiration month,22.5 Reading The Wall Street Journal,This makes a call option with this exercise price inthemoney by $3.25 = $138188。 the shareholders get nothing.,Selfish Strategy 1: Take Large Risks (Think of a Call Option),The Gamble Probability Payoff Win Big 10% $1,000 Lose Big 90% $0 Cost of investment is $200 (all the firm’s cash) Required return is 50% Expected CF from the Gamble = $1000 0.10 + $0 = $100,Selfish Stockholders Accept Negative NPV Project with Large Risks,Expected cash flow from the Gamble To Bondholders = $300 0.10 + $0 = $30 To Stockholders = ($1000 $300) 0.10 + $0 = $70 PV of Bonds Without the Gamble = $200 PV of Stocks Without the Gamble = $0 PV of Bonds With the Gamble = $30 / 1.5 = $20 PV of Stocks With the Gamble = $70 / 1.5 = $47,The stocks are worth more with the high risk project because the call option that the shareholders of the levered firm hold is worth more when the volatility is increased.,22.11 Mergers and Options,This is an area rich with optionality, both in the structuring of the deals and in their execution.,22.12 Investment in Real Projects am
公司管理相關(guān)推薦
鄂ICP備17016276號(hào)-1