第二十二章期权与公司理财：基本概念

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-0ChapterOutline22.1Options22.2CallOptions22.3PutOptions22.4SellingOptions22.5ReadingTheWallStreetJournal22.6CombinationsofOptions22.7ValuingOptions22.8AnOption-PricingFormula22.9StocksandBondsasOptions22.10Capital-StructurePolicyandOptions22.11MergersandOptions22.12InvestmentinRealProjectsandOptions22.13SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-122.1Options•Manycorporatesecuritiesaresimilartothestockoptionsthataretradedonorganizedexchanges.•Almosteveryissueofcorporatestocksandbondshasoptionfeatures.•Inaddition,capitalstructureandcapitalbudgetingdecisionscanbeviewedintermsofoptions.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-222.1OptionsContracts:Preliminaries•Anoptiongivestheholdertheright,butnottheobligation,tobuyorsellagivenquantityofanasseton(orperhapsbefore)agivendate,atpricesagreedupontoday.•CallsversusPuts–Calloptionsgivestheholdertheright,butnottheobligation,tobuyagivenquantityofsomeassetatsometimeinthefuture,atpricesagreedupontoday.Whenexercisingacalloption,you“callin”theasset.–Putoptionsgivestheholdertheright,butnottheobligation,tosellagivenquantityofanassetatsometimeinthefuture,atpricesagreedupontoday.Whenexercisingaput,you“put”theassettosomeone.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-322.1OptionsContracts:Preliminaries•ExercisingtheOption–Theactofbuyingorsellingtheunderlyingassetthroughtheoptioncontract.•StrikePriceorExercisePrice–Referstothefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingasset.•Expiry–Thematuritydateoftheoptionisreferredtoastheexpirationdate,ortheexpiry.•EuropeanversusAmericanoptions–Europeanoptionscanbeexercisedonlyatexpiry.–Americanoptionscanbeexercisedatanytimeuptoexpiry.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-4OptionsContracts:Preliminaries•In-the-Money–Theexercisepriceislessthanthespotpriceoftheunderlyingasset.•At-the-Money–Theexercisepriceisequaltothespotpriceoftheunderlyingasset.•Out-of-the-Money–Theexercisepriceismorethanthespotpriceoftheunderlyingasset.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-5OptionsContracts:Preliminaries•IntrinsicValue–Thedifferencebetweentheexercisepriceoftheoptionandthespotpriceoftheunderlyingasset.•SpeculativeValue–Thedifferencebetweentheoptionpremiumandtheintrinsicvalueoftheoption.OptionPremium=IntrinsicValueSpeculativeValue+McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-622.2CallOptions•Calloptionsgivestheholdertheright,butnottheobligation,tobuyagivenquantityofsomeassetonorbeforesometimeinthefuture,atpricesagreedupontoday.•Whenexercisingacalloption,you“callin”theasset.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-7BasicCallOptionPricingRelationshipsatExpiry•Atexpiry,anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics.•Ifthecallisin-the-money,itisworthST-E.•Ifthecallisout-of-the-money,itisworthless.CaT=CeT=Max[ST-E,0]•WhereSTisthevalueofthestockatexpiry(timeT)Eistheexerciseprice.CaTisthevalueofanAmericancallatexpiryCeTisthevalueofaEuropeancallatexpiryMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-8CallOptionPayoffs-201009080706001020304050-40200-604060Stockprice($)Optionpayoffs($)BuyacallExerciseprice=$50McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-9CallOptionPayoffs-201009080706001020304050-40200-604060Stockprice($)Optionpayoffs($)WriteacallExerciseprice=$50McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-10CallOptionProfits-201009080706001020304050-40200-604060Stockprice($)Optionprofits($)WriteacallBuyacallExerciseprice=$50;optionpremium=$10McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-1122.3PutOptions•Putoptionsgivestheholdertheright,butnottheobligation,tosellagivenquantityofanassetonorbeforesometimeinthefuture,atpricesagreedupontoday.•Whenexercisingaput,you“put”theassettosomeone.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-12BasicPutOptionPricingRelationshipsatExpiry•Atexpiry,anAmericanputoptionisworththesameasaEuropeanoptionwiththesamecharacteristics.•Iftheputisin-the-money,itisworthE-ST.•Iftheputisout-of-the-money,itisworthless.PaT=PeT=Max[E-ST,0]McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-13PutOptionPayoffs-201009080706001020304050-40200-604060Stockprice($)Optionpayoffs($)BuyaputExerciseprice=$50McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-14PutOptionPayoffs-201009080706001020304050-40200-604060Optionpayoffs($)writeaputExerciseprice=$50Stockprice($)McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.22-15PutOptionProfits-201009080706001020304050-40