Chapter 23 Option Contracts(投资分析与投资组合管理)解析.pptVIP

Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly Keith C. Brown Chapter 23Option Contracts Questions to be answered: How are options traded on exchanges and in OTC markets? How are options for stock, stock indexes, foreign currency, and futures contracts quoted in the financial press? How can investors use option contracts to hedge an existing risk exposure? Chapter 23Option Contracts What are the three steps in establishing the fundamental “no arbitrage” value of an option contract? What is the binomial (or two-state) option pricing model and in what ways is it an extension of the basic valuation approach? What is the Black-Scholes option pricing model and how does it extend the binomial valuation approach? Chapter 23Option Contracts What is the relationship between the Black-Scholes and the put-call parity valuation models? How does the payment of a dividend by the underlying asset impact the value of an option? How can models for valuing stock options be adapted to other underlying assets, such as stock indexes, foreign currency, or futures contracts? Chapter 23Option Contracts How do American- and European-style options differ from one another? What is implied volatility and what is its role in the contract valuation process? What are exotic options and how are they valued? Chapter 23Option Contracts How do investors use options with the underlying security or in combination with one another to create payoff structures tailored to a particular need or view of future market conditions? What differentiates a spread from a straddle, a strangle, or a range forward? Derivatives Forwards fix the price or rate of an underlying asset Options allow holders to decide at a later date whether such fixing is in their best interest Option Market Conventions Option contracts have been traded for centuries Customized options traded on OTC market In April 1973, standardized options began trading o