期权及公司理财：基本概念
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• When exercising a put, you “put” the asset to someone.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-12
CaT is the value of an American call at expiry CeT is the value of a European call at expiry
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
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.
• When exercising a call option, you “call in” the asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-7
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-9
Call Option Payoffs
60 40
Option payoffs ($)
20
0 0 10 20 30
-20
Stock price ($)
• Expiry
– The maturity date of the option is referred to as the expiration date, or the expiry.
• European versus American options
– European options can be exercised only at expiry.
– Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset at some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-1
22.1 Options
• Many corporate securities are similar to the stock options that are traded on organized exchanges.
• Calls versus Puts
– Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. When exercising a call option, you “call in” the asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-2
22.1 Options Contracts: Preliminaries
• An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or perhaps before) a given date, at prices agreed upon today.
• Almost every issue of corporate stocks and bonds has option features.
• In addition, capital structure and capital budgeting decisions can be viewed in terms of options.
22-8
Call Option Payoffs
60
wk.baidu.com40
Buy a call
Option payoffs ($)
20
0 0 10 20 30 40 50 60 70 80 90 100
-20
Stock price ($)
-40
-60
McGraw-Hill/Irwin
Exercise price = $50
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.
• Speculative Value
– The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic + Speculative
Value
Value
McGraw-Hill/Irwin
– The act of buying or selling the underlying asset through the option contract.
• 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.
• Out-of-the-Money
– The exercise price is more than the spot price of the underlying asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-6
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.
22-5
Options Contracts: Preliminaries
• Intrinsic Value
– The difference between the exercise price of the option and the spot price of the underlying asset.
22-0
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Reading The Wall Street Journal 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option-Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Capital-Structure Policy and Options 22.11 Mergers and Options 22.12 Investment in Real Projects and Options 22.13 Summary and Conclusions
-40
40 50 60 70 80 90 100 Write a call
-60
Exercise price = $50
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-10
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-3
22.1 Options Contracts: Preliminaries
• Exercising the Option
• If the call is in-the-money, it is worth ST - E. • If the call is out-of-the-money, it is worthless.
• Where
CaT = CeT = Max[ST - E, 0]
ST is the value of the stock at expiry (time T) E is the exercise price.
Call Option Profits
60
40 Buy a call
20
Option profits ($)
0 0 10 20 30
-20
Stock price ($)
-40
40 50 60 70 80 90 100 Write a call
-60
Exercise price = $50; option premium = $10
22-4
Options Contracts: Preliminaries
• In-the-Money
– The exercise price is less than the spot price of the underlying asset.
• At-the-Money
– The exercise price is equal to the spot price of the underlying asset.
– American options can be exercised at any time up to expiry.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-11
22.3 Put Options
• Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-12
CaT is the value of an American call at expiry CeT is the value of a European call at expiry
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
Basic Call Option Pricing Relationships at Expiry
• At expiry, an American call option is worth the same as a European option with the same characteristics.
• When exercising a call option, you “call in” the asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-7
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-9
Call Option Payoffs
60 40
Option payoffs ($)
20
0 0 10 20 30
-20
Stock price ($)
• Expiry
– The maturity date of the option is referred to as the expiration date, or the expiry.
• European versus American options
– European options can be exercised only at expiry.
– Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset at some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-1
22.1 Options
• Many corporate securities are similar to the stock options that are traded on organized exchanges.
• Calls versus Puts
– Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. When exercising a call option, you “call in” the asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-2
22.1 Options Contracts: Preliminaries
• An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or perhaps before) a given date, at prices agreed upon today.
• Almost every issue of corporate stocks and bonds has option features.
• In addition, capital structure and capital budgeting decisions can be viewed in terms of options.
22-8
Call Option Payoffs
60
wk.baidu.com40
Buy a call
Option payoffs ($)
20
0 0 10 20 30 40 50 60 70 80 90 100
-20
Stock price ($)
-40
-60
McGraw-Hill/Irwin
Exercise price = $50
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.
• Speculative Value
– The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic + Speculative
Value
Value
McGraw-Hill/Irwin
– The act of buying or selling the underlying asset through the option contract.
• 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.
• Out-of-the-Money
– The exercise price is more than the spot price of the underlying asset.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-6
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.
22-5
Options Contracts: Preliminaries
• Intrinsic Value
– The difference between the exercise price of the option and the spot price of the underlying asset.
22-0
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Reading The Wall Street Journal 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option-Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Capital-Structure Policy and Options 22.11 Mergers and Options 22.12 Investment in Real Projects and Options 22.13 Summary and Conclusions
-40
40 50 60 70 80 90 100 Write a call
-60
Exercise price = $50
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-10
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-3
22.1 Options Contracts: Preliminaries
• Exercising the Option
• If the call is in-the-money, it is worth ST - E. • If the call is out-of-the-money, it is worthless.
• Where
CaT = CeT = Max[ST - E, 0]
ST is the value of the stock at expiry (time T) E is the exercise price.
Call Option Profits
60
40 Buy a call
20
Option profits ($)
0 0 10 20 30
-20
Stock price ($)
-40
40 50 60 70 80 90 100 Write a call
-60
Exercise price = $50; option premium = $10
22-4
Options Contracts: Preliminaries
• In-the-Money
– The exercise price is less than the spot price of the underlying asset.
• At-the-Money
– The exercise price is equal to the spot price of the underlying asset.
– American options can be exercised at any time up to expiry.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
22-11
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.