选择是类型衍生物

Derivatives&OptionsHistoricalTopics(InternaltotheCorp)1-CapitalBudgeting(Investment)2-CapitalStructure(Financing)Today•WeareleavingInternalCorporateFinance•WearegoingtoWallSt&“CapitalMarkets”•Options-financialandcorporate•OptionsareatypeofderivativeOptionsTerminologyDerivatives-Anyfinancialinstrumentthatisderivedfromanother.(e.g..options,warrants,futures,swaps,etc.)Option-Givestheholdertherighttobuyorsellasecurityataspecifiedpriceduringaspecifiedperiodoftime.CallOption-Therighttobuyasecurityataspecifiedpricewithinaspecifiedtime.PutOption-Therighttosellasecurityataspecifiedpricewithinaspecifiedtime.OptionPremium-Thepricepaidfortheoption,abovethepriceoftheunderlyingsecurity.IntrinsicValue-DiffbetweenthestrikepriceandthestockpriceTimePremium-ValueofoptionabovetheintrinsicvalueOptionsTerminologyExercisePrice-(StrikingPrice)Thepriceatwhichyoubuyorsellthesecurity.ExpirationDate-Thelastdateonwhichtheoptioncanbeexercised.AmericanOption-Canbeexercisedatanytimepriortoandincludingtheexpirationdate.EuropeanOption-Canbeexercisedonlyontheexpirationdate.Alloptions“usually”actlikeEuropeanoptionsbecauseyoumakemoremoneyifyouselltheoptionbeforeexpiration(vs.exercisingit).3vs.70-68=2OptionObligationsBuyerSellerCalloptionRighttobuyassetObligationtosellassetPutoptionRighttosellassetObligationtobuyassetOptionValueThevalueofanoptionatexpirationisafunctionofthestockpriceandtheexerciseprice.OptionValueThevalueofanoptionatexpirationisafunctionofthestockpriceandtheexerciseprice.Example-Optionvaluesgivenaexercisepriceof$8500051525ValuePut25155000ValueCall110100908070$60eStockPricOptionsCBOESuccess1-Creationofacentraloptionsmarketplace.2-CreationofClearingCorp-theguarantorofalltrades.3-Standardizedexpirationdates-3rdFriday4-CreatedasecondarymarketOptionsComponentsoftheOptionPrice1-Underlyingstockprice2-StrikingorExerciseprice3-Volatilityofthestockreturns(standarddeviationofannualreturns)4-Timetooptionexpiration5-Timevalueofmoney(discountrate)Black-ScholesOptionPricingModelOC=Ps[N(d1)]-S[N(d2)]e-rtBlack-ScholesOptionPricingModelOC=Ps[N(d1)]-S[N(d2)]e-rtOC-CallOptionPricePs-StockPriceN(d1)-Cumulativenormaldensityfunctionof(d1)S-StrikeorExercisepriceN(d2)-Cumulativenormaldensityfunctionof(d2)r-discountrate(90daycommpaperrateorriskfreerate)t-timetomaturityofoption(as%ofyear)v-volatility-annualizedstandarddeviationofdailyreturns(d1)=ln+(r+)tPsSv22vt3234363840CumulativeNormalDensityFunctionN(d1)=CumulativeNormalDensityFunction(d1)=ln+(r+)tPsSv22vtCumulativeNormalDensityFunction(d2)=d1-vtCallOptionExampleWhatisthepriceofacalloptiongiventhefollowing?.P=36r=10%v=.40S=40t=90days/365CallOptionExampleWhatisthepriceofacalloptiongiventhefollowing?.P=36r=10%v=.40S=40t=90days/365(d1)=ln+(r+)tPsSv22vt(d1)=-.3070N(d1)=1-.6206=.3794CallOption.3070=.3=.00=.007CallOptionExampleWhatisthepriceofacalloptiongiventhefollowing?.P=36r=10%v=.40S=40t=90days/365(d2)=-.5056N(d2)=1-.6935=.3065(d2)=d1-vtCallOptionExampleWhatisthepriceofacalloptiongiventhefollowing?.P=36r=10%v=.40S=40t=90days/365OC=Ps[N(d1)]-S[N(d2)]e-rtOC=36[.3794]-40[.3065]e-(.10)(.2466)OC=$1.70Put-CallParityPutPrice=Oc+S-P-CarryingCost+Div.Carryingcost=rxSxtExampleIBMissellingat$41ashare.AsixmonthMay40Callissellingfor$4.00.IfaMay$.50dividendisexpectedandr=10%,whatistheputprice?Put-CallParityExampleIBMissellingat$41ashare.AsixmonthMay40Callissellingfor$4.00.IfaMay$.50dividendisexpectedandr=10%,whatistheputprice?Put-CallParityOp=Oc+S-P-CarryingCost+Div.Op=4+40-41-(.10x40x.50)+.50Op=3-2+.5Op=$1.50Warrants&ConvertiblesReviewCh22(notgoingoverinclass)Warrant-acalloptionwithalongertimetoexpiration.Valueawarrantasanoption,plusfactorindividendsanddilution.Convertible-Bondwiththeoptiontoexchangeitforstock.Valueasaregularbond+acalloption.Won’trequiredetailedvaluation-generalconceptonvaluation+newoptioncalcandoldbondcalc.OptionStrategiesOptionStrategiesareviewedviacharts.Howdoyouchartanoption?StockPriceProfitLossOptionStrategies•LongStockBoughtstock@Ps=100P/LPs10011090+10-10OptionStrategiesLongCallBoughtCall@Oc=3S=27Ps=30P/LPs303627+6-3OptionStrategiesShortCallSoldCall@Oc=3S=27Ps=30P/LPs303627-6+3OptionStrategiesLongPut=BuyPut@Op=2S=15Ps=13P/LPs131510-2+3OptionStrategiesShortPut=SellPut@Op=2S=15Ps=13P/LPs131510-3+2OptionStrategies•SyntheticStock=ShortPut&LongCall@•Oc=1.50Op=1.50S=27Ps=27P/LPs273024-1.50+1.50OptionStrategiesP/LPs273024-1.50+1.50•SyntheticStock=ShortPut&LongCall@•Oc=1.50Op=1.50S=27Ps=27OptionStrategiesP/LPs273024-1.50+1.50•SyntheticStock=ShortPut&LongCall@•Oc=1.50Op=1.50S=27Ps=27OptionStrategiesWhy?1-Reducerisk-butterflyspread2-Gamble-reversestraddle3-Arbitrage-asinsyntheticsArbitrage-Ifthepriceofasyntheticstockisdifferentthanthepriceoftheactualstock,anopportunityforprofitexists.CorporateOptionsCh213typesof“RealOptions”1-Theopportunitytomakefollow-upinvestments.2-Theopportunitytoabandonaproject3-Theopportunityto“wait”andinvestlater.Value“RealOption”=NPVwithoption-NPVw/ooptionExample-AbandonMrs.Mullagivesyouanon-retractableoffertobuyyourcompanyfor$150milatanytimewithinthenextyear.Giventhefollowingde