公司理财英文版课件 (23)
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60 Option payoffs ($) 40
20
20 –20
40
50
60
80
100
120 Stock price ($)
–40
Exercise price = $50
22-7
Call Option Profits
60 Option profits ($) 40
Buy a call
20 10
20
22-4
Out-of-the-Money
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.
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.
22-10
Put Option Payoffs
60 Option payoffs ($) 50 40
20
0
0
20
40
50Leabharlann Baidu
60
80
100
Buy a put
Stock price ($)
–20
–40
Exercise price = $50
22-11
Put Option Profits
60 Option profits ($) 40
–10
Buy a call
–40
Exercise price = $50; option premium = $10
Sell a call
22-17
22.5 Option Quotes
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug --Call---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
Chapter 22
Options and Corporate Finance
McGraw-Hill/Irwin
Copyright © 2010 by the McGraw-Hill Companies, Inc. All rights reserved.
Key Concepts and Skills
22.4 Selling Options
The seller (or writer) of an option has an obligation. The seller receives the option premium in exchange.
22-14
Call Option Payoffs
Speculative
Value
The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic Value
+ Speculative Value
22-13
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---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
22-19
a recent price for the stock is $138.25; July is the expiration month.
–10 –20
40 50 60
80
100
120 Stock price ($)
–40
Exercise price = $50; option premium = $10
22-8
22.3 Put Options
Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.
22-9
Put Option Pricing at Expiry
At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is worth E – ST. If the put is out-of-the-money, it is worthless. P = Max[E – ST, 0]
60 Option payoffs ($) 40
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 ($)
Option Quotes
This makes a call option with this exercise price in-themoney by $3.25 = $138¼ – $135.
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug
The act of buying or selling the underlying asset
Strike Price or Exercise Price
Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset The maturity date of the option
--Call---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
22-20
Puts with this exercise price are out-of-the-money.
22-5
Call Option Pricing at Expiry
At expiry, an American call option is worth the same as a European option with the same characteristics.
If the call is in-the-money, it is worth ST – E. If the call is out-of-the-money, it is worthless:
22-1
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Option Quotes 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Options and Corporate Decisions: Some Applications 22.11 Investment in Real Projects and Options
20 10 20 40 50 60 80 100
Stock price ($)
–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]
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.
–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
22-18
Option Quotes
This option has a strike price of $135;
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug
Option Quotes
Understand option terminology Be able to determine option payoffs and profits Understand the major determinants of option prices Understand and apply put-call parity Be able to determine option prices using the binomial and Black-Scholes models
22-2
22.1 Options
An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or before) a given date, at prices agreed upon today. Exercising the Option
20
20 –20
40
50
60
80
100
120 Stock price ($)
–40
Exercise price = $50
22-7
Call Option Profits
60 Option profits ($) 40
Buy a call
20 10
20
22-4
Out-of-the-Money
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.
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.
22-10
Put Option Payoffs
60 Option payoffs ($) 50 40
20
0
0
20
40
50Leabharlann Baidu
60
80
100
Buy a put
Stock price ($)
–20
–40
Exercise price = $50
22-11
Put Option Profits
60 Option profits ($) 40
–10
Buy a call
–40
Exercise price = $50; option premium = $10
Sell a call
22-17
22.5 Option Quotes
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug --Call---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
Chapter 22
Options and Corporate Finance
McGraw-Hill/Irwin
Copyright © 2010 by the McGraw-Hill Companies, Inc. All rights reserved.
Key Concepts and Skills
22.4 Selling Options
The seller (or writer) of an option has an obligation. The seller receives the option premium in exchange.
22-14
Call Option Payoffs
Speculative
Value
The difference between the option premium and the intrinsic value of the option.
Option Premium
=
Intrinsic Value
+ Speculative Value
22-13
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---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
22-19
a recent price for the stock is $138.25; July is the expiration month.
–10 –20
40 50 60
80
100
120 Stock price ($)
–40
Exercise price = $50; option premium = $10
22-8
22.3 Put Options
Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.
22-9
Put Option Pricing at Expiry
At expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is worth E – ST. If the put is out-of-the-money, it is worthless. P = Max[E – ST, 0]
60 Option payoffs ($) 40
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 ($)
Option Quotes
This makes a call option with this exercise price in-themoney by $3.25 = $138¼ – $135.
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug
The act of buying or selling the underlying asset
Strike Price or Exercise Price
Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset The maturity date of the option
--Call---Put-Vol. Last Vol. Last 364 15¼ 107 5¼ 112 19½ 420 9¼ 2365 4¾ 2431 13/16 1231 9¼ 94 5½ 1826 1¾ 427 2¾ 2193 6½ 58 7½
22-20
Puts with this exercise price are out-of-the-money.
22-5
Call Option Pricing at Expiry
At expiry, an American call option is worth the same as a European option with the same characteristics.
If the call is in-the-money, it is worth ST – E. If the call is out-of-the-money, it is worthless:
22-1
Chapter Outline
22.1 Options 22.2 Call Options 22.3 Put Options 22.4 Selling Options 22.5 Option Quotes 22.6 Combinations of Options 22.7 Valuing Options 22.8 An Option Pricing Formula 22.9 Stocks and Bonds as Options 22.10 Options and Corporate Decisions: Some Applications 22.11 Investment in Real Projects and Options
20 10 20 40 50 60 80 100
Stock price ($)
–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]
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.
–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
22-18
Option Quotes
This option has a strike price of $135;
Option/Strike Exp. IBM 130 Oct 138¼ 130 Jan 138¼ 135 Jul 138¼ 135 Aug 138¼ 140 Jul 138¼ 140 Aug
Option Quotes
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
22-2
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