第二十二章期权与公司理财：基本概念(共67页).ppt

McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-1Chapter Outline22.1 Options22.2 Call Options22.3 Put Options22.4 Selling Options22.5 Reading The Wall Street Journal22.6 Combinations of Options22.7 Valuing Options22.8 An OptionPricing Formula22.9 Stocks and Bonds as Options22.10 Capital-Structure Policy and Options22.11 Mergers and Options22.12 Investment in Real Projects and Options22.13 Summary and ConclusionsMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-222.1 Options Many corporate securities are similar to the stock options that are traded on organized exchanges. Almost every issue of corporate stocks and bonds has option features. In addition, capital structure and capital budgeting decisions can be viewed in terms of options.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-322.1 Options Contracts: Preliminaries An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or perhaps before) a given date, at prices agreed upon today. Calls versus Puts Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. When exercising a call option, you “call in” the asset. Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset at some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-422.1 Options Contracts: Preliminaries Exercising the Option The act of buying or selling the underlying asset through the option contract. 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 The maturity date of the option is referred to as the expiration date, or the expiry. European versus American options European options can be exercised only at expiry. American options can be exercised at any time up to expiry.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-5Options Contracts: Preliminaries In-the-Money The exercise price is less than the spot price of the underlying asset. At-the-Money The exercise price is equal to the spot price of the underlying asset. Out-of-the-Money The exercise price is more than the spot price of the underlying asset.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-6Options Contracts: Preliminaries Intrinsic Value The difference between the exercise price of the option and the spot price of the underlying asset. Speculative Value The difference between the option premium and the intrinsic value of the option.Option Premium=Intrinsic ValueSpeculative Value+McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-722.2 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.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-8Basic Call Option Pricing Relationships 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.CaT = CeT = MaxST - E, 0 WhereST is the value of the stock at expiry (time T)E is the exercise price.CaT is the value of an American call at expiryCeT is the value of a European call at expiryMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-9Call Option Payoffs-201009080706001020304050-40200-604060Stock price ($)Option payoffs ($)Buy a callExercise price = $50McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-10Call Option Payoffs-201009080706001020304050-40200-604060Stock price ($)Option payoffs ($)Write a callExercise price = $50McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-11Call Option Profits-201009080706001020304050-40200-604060Stock price ($)Option profits ($)Write a callBuy a callExercise price = $50; option premium = $10McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-1222.3 Put Options Put options gives the holder the right, but not the obligation, to sell a given quantity of an asset on or before some time in the future, at prices agreed upon today. When exercising a put, you “put” the asset to someone.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.22-13Basic Put Option Pricing Relationships at Expiry At expiry, an American put option is worth 。