罗斯《公司理财》英文习题答案chap022

公司理财习题答案第二十二章AnswerstoEnd-of-ChapterProblemsB-193Chapter22:OptionsandCorporateFinance22.1a.Anoptionisacontractwhichgivesitsownertherighttobuyorsellanunderlyingassetatafixedpriceonorbeforeagivendate.b.Exerciseistheactofbuyingorsellingtheunderlyingassetunderthetermsoftheoptioncontract.c.Thestrikepriceisthefixedpriceatwhichtheoptionholdercanbuyorselltheunderlyingasset.Thestrikepriceisalsocalledtheexerciseprice.d.Theexpirationdateisthematuritydateoftheoption.ItisthelastdateonwhichanAmericanoptioncanbeexercised.ItistheonlydateonwhichaEuropeanoptioncanbeexercised.e.Acallisanoptioncontract,whichgivesitsownertherighttobuyanunderlyingassetatafixedpriceonorbeforeagivendate.f.Aputisanoptioncontract,whichgivesitsownertherighttosellanunderlyingassetatafixedpriceonorbeforeagivendate.22.2Americanoptionscanbeexercisedonanydateuptoandincludingtheexercisedate.AEuropeanoptioncanbeexercisedonlyontheexpirationdate.22.3ThelowerboundofthevalueoftheputisMax{E-S,0}=$40-$35=$5.Sincetheoptionissellingfor$4.5,thebeststrategyis(1)buymoreputoptionsat$4.5and(2)exercisethemtogetarbitrage.22.4a.Itcanbeexercisedonanydateuptoandincludingtheexpirationdate.b.ItcanbeexercisedonlyonFebruary18ofnextyear.c.Theoptionisnotworthless.22.5PayoffS$80S=$80S$80Short10puts-10($80-S)$00Long5calls$0$05(S-$80)Totalpayoff-10($80-S)$05(S-$80)S805(S-$80)-10($80-S)-$800-$4000AnswerstoEnd-of-ChapterProblemsB-19422.6a.Payoff=$55-$50=$5b.Payoff=max{$45-$50,$0}=$0c.22.7a.Payoff=$0b.Payoff=$50-$45=$5c22.8a.S=$65S=$72S=$80Long2calls$0200($72-$70)=$400200($80-$70)=$2,000Long1put100($75-$65)=$1,000100($75-$72)=$300$0Totalpayoff$1,000$700$2,000b.$50ValueofstockatexpirationPayoff$0Valueofstockatexpiration$50$50$0公司理财习题答案第二十二章AnswerstoEnd-of-ChapterProblemsB-195S$70$70S$75S$75Long2calls$0200(S-$70)200(S-$70)Long1put100($75-S)100($75-S)$0Totalpayoff100($75-S)100(S-$65)200(S-$70)22.9a.Youwouldexercisethecalloptioncontractbypayingthestrikepriceof$100/shareandreceivingstockworth$130/share.Thetotalprofitfromthecontractis($130-100)x100=$3,000.b.Ifthestockpriceislowerthanthestrikeprice,theoptionwillbeexpiredunexercised.22.10Assumetheoptionswillexpireinoneyear,applytheput-callparityformula.S+P-C=PV(E)S=-$2+$8+$40/1.1=$42.3622.11a.Toeliminatetheriskoftheput,sellacallandbuystock.Buyingstockmakesstockavailabletoyouintheeventthatitspricefalls.Ifthepricefallsbelowtheexerciseprice,theputwillbeexercisedagainstyou.Thecallprovidesadditionalincomeifthepriceofthestockrisesabovetheexerciseprice.Thecombination,buystock,buyaputandsellacall,ensuresthatthenetpayoffisthesamewhetherthestockpricerisesto$172orfallsto$138.$500$1,000$70$75$0SPayoff$7,500AnswerstoEnd-of-ChapterProblemsB-196b.PayoffsatexpirationS=$172S=$138Buystock$172$138Buyputexpiresgiveupstockworth$138,receive$160Sellcallgiveupstockworth$172,receive$160Netpayoff$160$16022.12a.Youshouldbuythecallandexerciseitimmediately.b.Profit=($60-$50)-$8=$2c.ThelowerboundonthepriceofAmericancallsis[Stockprice-Exerciseprice].d.Upperbound=stockpricebecausenoonewouldbewillingtopaymorethanthestockpricefortherighttoreceivethestock.21.13FactorsdeterminingthevalueofanAmericancall:1.Strikeprice:ThevalueofanAmericancallmustbeatleastthedifferencebetweenthestockpriceandtheexerciseprice[S-E].Foragivenstockprice,ahigherexercisepricewillreducethevalueofthecall.2.Expirationdate:Thetimetoexpirationofacallaffectsthepriceoftheoption.Comparetwocalls,whichareidenticalexceptforthetimetoexpiration.Thelonger-termoptionhasalltherightsandbenefitsoftheshorter-termoption,plusmore.Ithasallofthosebenefitsandrightsforalongerperiodoftime.Thus,asthetimetoexpirationincreases,thevalueofthecallincreases.3.Stockprice:ThevalueofanAmericancallmustbeatleastthedifferencebetweenthestockpriceandtheexerciseprice[S-E].Foragivenexerciseprice,ahigherstockpricewillincreasethevalueofthecall.4.Variabilityofthepriceoftheunderlyingasset:Thehigherthevariabilityofthepriceoftheunderlyingassetis,thehigheristheprobabilitythatthecallwillbeinthemoneyattheexpirationdate.Thus,highervariabilityoftheasset’spricewillenhancetheoption’svalue.5.Interestrate:Ifyoubuyacall,youdonothavetopaythestrikepriceuntiltheexpirationdate.Thedelayinthepaymenthasvalue.Asinterestratesrise,thedelayedpaymenthasmorevalue.Toconvinceyourself,considerwhatelseyoucandowiththestrikepriceuntiltheexpirationdate(youropportunitycost).Youcanputthatmoneyinanaccountandearninterestontheamountuntiltheexpirationdate.Iftheinterestrateincreases,youwillearnmoreinterest.21.14FactorsdeterminingthevalueofanAmericanput:1.Strikeprice:ThevalueofanAmericanputmustbeatleastthedifferencebetweentheexercisepriceandthestockprice[E-S].Foragivenstockprice,ahigherexercisepricewillincreasethevalueoftheput.公司理财习题答案第二十二章AnswerstoEnd-of-ChapterProblemsB-1972.Expirationdate:Thetimetoexpirationofaputaffectsthepriceoftheoption.Comparetwoputswhichareidenticalexceptforthetimetoexpiration.Thelonger-termoptionhasalltherightsandbenefitsoftheshorter-termoption,plusmore.Ithasallofthosebenefitsandrightsforalongerperiodoftime.Thus,asthetimetoexpirationincreases,thevalueoftheput