投资学精要15.pptVIP

Chapter 15 Option Valuation Option Values Intrinsic value - profit that could be made if the option was immediately exercised.立即行权可获得的利润 Call: stock price - exercise price Put: exercise price - stock price Time value - the difference between the option price and the intrinsic value.期权价格和内在价值之间的差 Factors Influencing Option Values: Calls Factor（ increases ） Effect on value Stock price increases Exercise price decreases Volatility 波动 of stock price increases Time to expiration increases Interest rate increases Dividend Rate decreases Binomial Option Pricing二项式定价 Binomial Option Pricing: Text Example Binomial Option Pricing: Text Example Binomial Option Pricing: Text Example Black-Scholes Option Valuation（B-S 模型） Co = SoN(d1) - Xe-rTN(d2) d1 = [ln(So/X) + (r + ?2/2)T] / (??T1/2) d2 = d1 - (??T1/2) where Co = Current call option value. So = Current stock price N(d) = probability that a random draw from a normal dist. will be less than d.（随机偏离正态分布的概率小于d,可以查正态分布函数表得到） X = Exercise price行权价 e = 2.71828, the base of the natural log自然对数底数 r = Risk-free interest rate 无风险利率 T = time to maturity of the option in years期权离到期日的时间，以年为单位 ln = Natural log function自然对数函数 ????Standard deviation of annualized cont. compounded rate of return on the stock股票连续复利年收益率r的标准差 Call Option Example So = 100 X = 95 r = .10 T = .25 (quarter) ???= .50 d1 = [ln(100/95) + (.10+(?5 2/2)) .25 ] / (?5?.251/2) = .43 d2 = .43 - ((?5???.251/2) = .18 Co = 13.70 Put Value Using Black-Scholes P = Xe-rT [1-N(d2)] - S0 [1-N(d1)] Using the sample call data S0 = 100 r = .10 X = 95 ?? = .5 T = .25 P = 95e-10x.25(1-.5714)-100(1-.6664) = 6.35 *--11 100 200 50 Stock Price C 75 0 Call Option Value X = 125 Alternative Portfolio Buy 1 share of stock at $100 Borrow $46.30 (8% Rate) Net outlay $53.70 Payoff Value of Stock 50 200 Repay loan - 50 -50 Net Payoff 0 150 53.70 150 0 53.70 150 0 C 75 0 Payoff Structure is exactly 2 times the Call 53