公司理财chap022.pptVIP

Options and Corporate Finance 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 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 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 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 Expiry (Expiration Date) The maturity date of the option Options European versus American options European options can be exercised only at expiry. American options can be exercised at any time up to expiry. In-the-Money Exercising the option would result in a positive payoff. At-the-Money Exercising the option would result in a zero payoff (i.e., exercise price equal to spot price). Out-of-the-Money Exercising the option would result in a negative payoff. 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. 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: C = Max[ST – E, 0] Where ST is the value of t