Chap021 Option Valuation 《投资学》博迪 第九版 英文教学课件.pptVIP

CHAPTER 21;Intrinsic value - profit that could be made if the option was immediately exercised Call: stock price - exercise price Put: exercise price - stock price Time value - the difference between the option price and the intrinsic value;Figure 21.1 Call Option Value before Expiration ;Table 21.1 Determinants of Call Option Values;Restrictions on Option Value: Call;Figure 21.2 Range of Possible Call Option Values;Figure 21.3 Call Option Value as a Function of the Current Stock Price ;Early Exercise: Calls;Early Exercise: Puts;Figure 21.4 Put Option Values as a Function of the Current Stock Price ;100;Alternative Portfolio Buy 1 share of stock at $100 Borrow $81.82 (10% Rate) Net outlay $18.18 Payoff Value of Stock 90 120 Repay loan - 90 - 90 Net Payoff 0 30;18.18;Alternative Portfolio - one share of stock and 3 calls written (X = 110) Portfolio is perfectly hedged: Stock Value 90 120 Call Obligation 0 -30 Net payoff 90 90 Hence 100 - 3C = $81.82 or C = $6.06;Hedge Ratio;Assume that we can break the year into three intervals. For each interval the stock could increase by 20% or decrease by 10%. Assume the stock is initially selling at $100. ;S;Possible Outcomes with Three Intervals;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 distribution will be less than d ;X = Exercise price e = 2.71828, the base of the natural log r = Risk-free interest rate (annualized, continuously compounded with the same maturity as the option) T = time to maturity of the option in years ln = Natural log function ????Standard deviation of the stock;Figure 21.6 A Standard Normal Curve;So = 100 X = 95 r = .10 T = .25 (quarter) ???= .50 (50% per year) Thus: ;Using a table or the NORMDIST function in Excel, we find that N (.43) = .6664 and N (.18) = .5714. Therefore: Co = SoN(d1) -