taiwan财务管理_lecture24(ch24)

©TheMcGraw-HillCompanies,Inc.,200124-1Irwin/McGraw-HillIrwin/McGraw-HillChapter24FundamentalsofCorporateFinanceThirdEditionOptionsBrealeyMyersMarcusslidesbyMatthewWillIrwin/McGraw-Hill©TheMcGraw-HillCompanies,Inc.,2001©TheMcGraw-HillCompanies,Inc.,200124-2Irwin/McGraw-HillTopicsCoveredCallsandPutsWhatDeterminesOptionValuesSpottingtheOption©TheMcGraw-HillCompanies,Inc.,200124-3Irwin/McGraw-HillOptionTerminologyPutOptionRighttosellanassetataspecifiedexercisepriceonorbeforetheexercisedate.CallOptionRighttobuyanassetataspecifiedexercisepriceonorbeforetheexercisedate.©TheMcGraw-HillCompanies,Inc.,200124-4Irwin/McGraw-HillOptionObligationsBuyerSellerCalloptionRighttobuyassetObligationtosellassetPutoptionRighttosellassetObligationtobuyasset©TheMcGraw-HillCompanies,Inc.,200124-5Irwin/McGraw-HillOptionValueThevalueofanoptionatexpirationisafunctionofthestockpriceandtheexerciseprice.Example-Optionvaluesgivenaexercisepriceof$300000510ValuePut25155000ValueCall4540353025$20eStockPric©TheMcGraw-HillCompanies,Inc.,200124-6Irwin/McGraw-HillOptionValueCalloptionvalue(graphic)givena$30exerciseprice.SharePriceCalloptionvalue3040$10©TheMcGraw-HillCompanies,Inc.,200124-7Irwin/McGraw-HillOptionValuePutoptionvalue(graphic)givena$30exerciseprice.SharePricePutoptionvalue2530$5©TheMcGraw-HillCompanies,Inc.,200124-8Irwin/McGraw-HillOptionValueCalloptionpayoff(toseller)givena$30exerciseprice.SharePriceCalloption$payoff30©TheMcGraw-HillCompanies,Inc.,200124-9Irwin/McGraw-HillOptionValuePutoptionpayoff(toseller)givena$30exerciseprice.SharePricePutoption$payoff30©TheMcGraw-HillCompanies,Inc.,200124-10Irwin/McGraw-HillOptionValueProtectivePut-LongstockandlongputSharePricePositionValueLongStock©TheMcGraw-HillCompanies,Inc.,200124-11Irwin/McGraw-HillOptionValueProtectivePut-LongstockandlongputSharePricePositionValueLongPut©TheMcGraw-HillCompanies,Inc.,200124-12Irwin/McGraw-HillOptionValueProtectivePut-LongstockandlongputSharePricePositionValueProtectivePutLongPutLongStock©TheMcGraw-HillCompanies,Inc.,200124-13Irwin/McGraw-HillOptionValueProtectivePut-LongstockandlongputSharePricePositionValueProtectivePut©TheMcGraw-HillCompanies,Inc.,200124-14Irwin/McGraw-HillOptionValueStraddle-Longcallandlongput-StrategyforprofitingfromhighvolatilitySharePricePositionValueLongcall©TheMcGraw-HillCompanies,Inc.,200124-15Irwin/McGraw-HillOptionValueStraddle-Longcallandlongput-StrategyforprofitingfromhighvolatilitySharePricePositionValueLongput©TheMcGraw-HillCompanies,Inc.,200124-16Irwin/McGraw-HillOptionValueStraddle-Longcallandlongput-StrategyforprofitingfromhighvolatilitySharePricePositionValueStraddle©TheMcGraw-HillCompanies,Inc.,200124-17Irwin/McGraw-HillOptionValueStraddle-Longcallandlongput-StrategyforprofitingfromhighvolatilitySharePricePositionValueStraddle©TheMcGraw-HillCompanies,Inc.,200124-18Irwin/McGraw-HillOptionValueStockPriceUpperLimitLowerLimit(Stockprice-exerciseprice)or0whicheverishigher©TheMcGraw-HillCompanies,Inc.,200124-19Irwin/McGraw-HillOptionValueComponentsoftheOptionPrice1-Underlyingstockprice2-StrikingorExerciseprice3-Volatilityofthestockreturns(standarddeviationofannualreturns)4-Timetooptionexpiration5-Timevalueofmoney(discountrate)©TheMcGraw-HillCompanies,Inc.,200124-20Irwin/McGraw-HillOptionValueBlack-ScholesOptionPricingModelOC=Ps[N(d1)]-S[N(d2)]e-rt©TheMcGraw-HillCompanies,Inc.,200124-21Irwin/McGraw-HillOptionsonRealAssetsRealOptions-OptionsembeddedinrealassetsOptiontoExpandOptiontoAbandon©TheMcGraw-HillCompanies,Inc.,200124-22Irwin/McGraw-HillOptionsonFinancialAssetsWarrants-Righttobuysharesfromacompanyatastipulatedpricebeforeasetdate.ConvertibleBond-Bondthattheholdermayexchangeforaspecificnumberofshares.CallableBond-Bondthatmayberepurchasedbytheissuerbeforematurityatspecifiedcallprice.