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2025-01-16 07:54本頁(yè)面
【正文】 the offer (. the put option) and what is the most Mrs. Mulla could charge for the option? Use a discount rate of 10% Corporate Options Example Abandon Mrs. Mulla gives you a nonretractable offer to buy your pany for $150 mil at anytime within the next year. Given the following decision tree of possible outes, what is the value of the offer (. the put option) and what is the most Mrs. Mulla could charge for the option? Corporate Options Year 0 Year 1 Year 2 120 (.6) 100 (.6) 90 (.4) NPV = 145 70 (.6) 50 (.4) 40 (.4) Example Abandon Mrs. Mulla gives you a nonretractable offer to buy your pany for $150 mil at anytime within the next year. Given the following decision tree of possible outes, what is the value of the offer (. the put option) and what is the most Mrs. Mulla could charge for the option? Corporate Options Year 0 Year 1 Year 2 120 (.6) 100 (.6) 90 (.4) NPV = 162 150 (.4) Option Value = 162 145 = $17 mil Reality ? Decision trees for valuing “real options” in a corporate setting can not be practically done by hand. ? We must introduce binomial theory BS models Corporate Options Expanding the binomial model to allow more possible price changes 1 step 2 steps 4 steps (2 outes) (3 outes) (5 outes) etc. etc. Binomial vs. Black Scholes How estimated call price changes as number of binomial steps increases No. of steps Estimated value 1 2 3 5 10 50 100 BlackScholes Binomial vs. Black Scholes 演講完畢，謝謝觀看！ 。
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