公司理财第二十二章
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Chapter 22
Options and Corporate Finance
Copyright © 2015 by the McGraw-Hill Education (Asia). All rights reserved.
Key Concepts and Skills
Understand option terminology Be able to determine option payoffs and profits Understand the major determinants of option prices Understand and apply put-call parity Be able to determine option prices using the binomial and Black-Scholes models
22-4
Out-of-the-Money
22.2 Call Options
A call option 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, i.e. before the expiration date at a price (the exercise or strike price) agreed upon today. When exercising a call option, you ―call in‖ the asset.
Exercising the call option involves giving the call option plus the exercise price and receiving the quantity of asset
22-5
Call Option Pricing at Expiry
20
20 –20
40
50
60
80
100
120 Stock price ($)
–40
Exercise price = $50
22-15
Put Option Payoffs
40 Option payoffs ($)
20
0
Sell a put
0 20 40 50 60 80 100 Stock price ($)
C = Max[ST – E, 0]
Where ST is the value of the stock at expiry (time T) E is the exercise price. C is the value of the call option at expiry
22-6
Call Option Payoffs
CALL Option/Strike Pepsi 85.7 82.5 85.0 87.5 87.5 Exp. Jan Jun Jun Jul Vol. 3 14 Last 4.80 5.50 82.5 Oct PUT Vol. 4 65 Last 2.1 3.15
85.7
85.7 85.7 85.7
22-3
Expiry (Expiration Date)
Options
European versus American options
European options can be exercised only at expiry. American options can be exercised at any time up to expiry. Exercising the option would result in a positive payoff.
PUT
Vol. 4 65 63 Last 2.1 3.15 0.05
85.7
85.7 85.7
85.0 Jun
87.5 Jun 87.5 Jul
51
487 369
1.60
0.53 0.99
303
1,012 28
1.28
2.86 3.15
22-18
22.5 Option Quotes
This option has a strike price of $85
In-the-Money
At-the-Money
Exercising the option would result in a zero payoff (i.e., exercise price equal to spot price). Exercising the option would result in a negative payoff.
–20
–40
–50
Exercise price = $50
22-16
Option Diagrams Revisited
Option profits ($) 40 Buy a call
10
Sell a call
Sell a put 40 50 60 100 Stock price ($) Buy a put
–10
Buy a call
–40
Exercise price = $50; option premium = $10
Sell a call
22-17
22.5 Option Quotes
CALL
Option/Strike Pepsi 85.7 85.7 82.5 Exp. Jan Vol. 3 14 371 Last 4.80 5.50 0.83 82.5 Oct 85.0 May
Time
Value
The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic Value
+
Time Value
22-13
22.4 Selling Options
At expiry, an American call option is worth the same as a European option with the same characteristics.
If the call is in-the-money, it is worth ST – E. If the call is out-of-the-money, it is worthless:
The seller (or writer) of an option has an obligation. The seller receives the option premium in exchange.
22-14
Call Option Payoffs
60 Option payoffs ($) 40
The act of buying or selling the underlying asset
Strike Price or Exercise Price
Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset The maturity date of the option
85.0 May
371
51 487 369
0.83
1.60 0.53 0.99
63
303 1,012 28
0.05
1.28 2.86 3.15
Last traded price for the stock is $85.70 May is the expiration month.
22-19
22.5 Option Quotes
20 10 20 40 50 60 80 100
Stock price ($)
–10 –20
Buy a put
–40
Exercise price = $50; option premium = $10
22-12
Option Value
Intrinsic
Value
Call: Max[ST – E, 0] Put: Max[E – ST , 0]
40
60
70 80
100
120 Stock price ($)
–40
Exercise price = $60; option premium = $10
22-8
22.3 Put Options
A put option gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you ―put‖ the asset to someone.
22-1
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Option Quotes 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Options and Corporate Decisions: Some Applications 22.11 Investment in Real Projects and Options
At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is worth E – ST. If the put is out-of-the-money, it is worthless. P = Max[E – ST, 0]
22-10
Put Option Payoffs
60 Option payoffs ($) 50 40
20
0
0
20
40
50
60
ቤተ መጻሕፍቲ ባይዱ
80
100
Buy a put
Stock price ($)
–20
–40
Exercise price = $50
22-11
Put Option Profits
60 Option profits ($) 40
60 Option payoffs ($) 40
20
20 –20
40
60
80
100
120 Stock price ($)
–40
Exercise price = $60
22-7
Call Option Profits
60 Option profits ($) 40
Buy a call
20 10
20
–10 –20
Exercising the put involves giving the put option plus the given quantity of asset to the seller, and receiving the exercise price in return.
22-9
Put Option Pricing at Expiry
CALL Option/Strike Pepsi 85.7 82.5 85.0 87.5 87.5 Exp. Jan Jun Jun Jul Vol. 3 14 Last 4.80 5.50 82.5 Oct PUT Vol. 4 65 Last 2.1 3.15
22-2
22.1 Options
An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or before) a given date, at prices agreed upon today. Exercising the Option
Options and Corporate Finance
Copyright © 2015 by the McGraw-Hill Education (Asia). All rights reserved.
Key Concepts and Skills
Understand option terminology Be able to determine option payoffs and profits Understand the major determinants of option prices Understand and apply put-call parity Be able to determine option prices using the binomial and Black-Scholes models
22-4
Out-of-the-Money
22.2 Call Options
A call option 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, i.e. before the expiration date at a price (the exercise or strike price) agreed upon today. When exercising a call option, you ―call in‖ the asset.
Exercising the call option involves giving the call option plus the exercise price and receiving the quantity of asset
22-5
Call Option Pricing at Expiry
20
20 –20
40
50
60
80
100
120 Stock price ($)
–40
Exercise price = $50
22-15
Put Option Payoffs
40 Option payoffs ($)
20
0
Sell a put
0 20 40 50 60 80 100 Stock price ($)
C = Max[ST – E, 0]
Where ST is the value of the stock at expiry (time T) E is the exercise price. C is the value of the call option at expiry
22-6
Call Option Payoffs
CALL Option/Strike Pepsi 85.7 82.5 85.0 87.5 87.5 Exp. Jan Jun Jun Jul Vol. 3 14 Last 4.80 5.50 82.5 Oct PUT Vol. 4 65 Last 2.1 3.15
85.7
85.7 85.7 85.7
22-3
Expiry (Expiration Date)
Options
European versus American options
European options can be exercised only at expiry. American options can be exercised at any time up to expiry. Exercising the option would result in a positive payoff.
PUT
Vol. 4 65 63 Last 2.1 3.15 0.05
85.7
85.7 85.7
85.0 Jun
87.5 Jun 87.5 Jul
51
487 369
1.60
0.53 0.99
303
1,012 28
1.28
2.86 3.15
22-18
22.5 Option Quotes
This option has a strike price of $85
In-the-Money
At-the-Money
Exercising the option would result in a zero payoff (i.e., exercise price equal to spot price). Exercising the option would result in a negative payoff.
–20
–40
–50
Exercise price = $50
22-16
Option Diagrams Revisited
Option profits ($) 40 Buy a call
10
Sell a call
Sell a put 40 50 60 100 Stock price ($) Buy a put
–10
Buy a call
–40
Exercise price = $50; option premium = $10
Sell a call
22-17
22.5 Option Quotes
CALL
Option/Strike Pepsi 85.7 85.7 82.5 Exp. Jan Vol. 3 14 371 Last 4.80 5.50 0.83 82.5 Oct 85.0 May
Time
Value
The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic Value
+
Time Value
22-13
22.4 Selling Options
At expiry, an American call option is worth the same as a European option with the same characteristics.
If the call is in-the-money, it is worth ST – E. If the call is out-of-the-money, it is worthless:
The seller (or writer) of an option has an obligation. The seller receives the option premium in exchange.
22-14
Call Option Payoffs
60 Option payoffs ($) 40
The act of buying or selling the underlying asset
Strike Price or Exercise Price
Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset The maturity date of the option
85.0 May
371
51 487 369
0.83
1.60 0.53 0.99
63
303 1,012 28
0.05
1.28 2.86 3.15
Last traded price for the stock is $85.70 May is the expiration month.
22-19
22.5 Option Quotes
20 10 20 40 50 60 80 100
Stock price ($)
–10 –20
Buy a put
–40
Exercise price = $50; option premium = $10
22-12
Option Value
Intrinsic
Value
Call: Max[ST – E, 0] Put: Max[E – ST , 0]
40
60
70 80
100
120 Stock price ($)
–40
Exercise price = $60; option premium = $10
22-8
22.3 Put Options
A put option gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you ―put‖ the asset to someone.
22-1
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Option Quotes 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Options and Corporate Decisions: Some Applications 22.11 Investment in Real Projects and Options
At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is worth E – ST. If the put is out-of-the-money, it is worthless. P = Max[E – ST, 0]
22-10
Put Option Payoffs
60 Option payoffs ($) 50 40
20
0
0
20
40
50
60
ቤተ መጻሕፍቲ ባይዱ
80
100
Buy a put
Stock price ($)
–20
–40
Exercise price = $50
22-11
Put Option Profits
60 Option profits ($) 40
60 Option payoffs ($) 40
20
20 –20
40
60
80
100
120 Stock price ($)
–40
Exercise price = $60
22-7
Call Option Profits
60 Option profits ($) 40
Buy a call
20 10
20
–10 –20
Exercising the put involves giving the put option plus the given quantity of asset to the seller, and receiving the exercise price in return.
22-9
Put Option Pricing at Expiry
CALL Option/Strike Pepsi 85.7 82.5 85.0 87.5 87.5 Exp. Jan Jun Jun Jul Vol. 3 14 Last 4.80 5.50 82.5 Oct PUT Vol. 4 65 Last 2.1 3.15
22-2
22.1 Options
An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or before) a given date, at prices agreed upon today. Exercising the Option