08章 实物期权和资本预算

全全全全全全全全全全全全全全全全公司金融学吉林财经大学金融学院赵炳盛第八章实物期权和资本预算全全全全全全全全全全全全第一节净现值法则面临的挑战净现值法则面临的挑战（2）（1）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全1977全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全=NPV+全全全全全全全全全全全全全全全全第二节金融期权及其价值评估1.看涨期权和看跌期权（1）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全1.看涨期权和看跌期权全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全（2）全全全全2.看涨——看跌平价关系（1）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全1全全全全2全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全（2）全全全全全全全全全全全全2.看涨——看跌平价关系全全全1全全全+全全全全全全全2全全全+全全全全全全全全全全+全全全全=全全全全全全+全全全全全全全全全全全全全全全全全全全全全全3.期权价值的决定全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全（1）全全全全全全全.全全全全全全全全9全全全7全全全全全全全全全全全全全全全全80全全全全全全全全全80全/全,全全全全全全6%全全全全全全全全全全全全全全全全全全全全全全10%全全全10%全全全全全全全全全全全全全全全全全全全全全全全全全全=全全全全全全全全全全全/全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全4.布莱克―斯科尔斯模型（2）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全无风险利率上涨概率上涨概率durr)1(ru全rd全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全×全全全全全全1-全全全全全×全全全全全全全全全全/全1+全全全全全全4.布莱克―斯科尔斯模型（3）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全.全全全全全全全9全全全7全全全全全全全全全全全全全全全全全80全/全全全全全全全全6%全全3全全全全全全全全全全全全全全全全全全全全全10%全全全10%全全全全全全全全全全全100全80全60全全全全全全4.布莱克―斯科尔斯模型（4）4.布莱克―斯科尔斯模型全全全—全全全全全全)()(21dNeKdNSrt看涨期权价值)()(21dNeKdNeSrtyt看涨期权价值ttrKSd)5.0()/ln(21tdd12全全全N(d)全全全全全全全全全全全全全全全S全全全全全全全全全全全r全全全全全全全全全全全全全k全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全第三节实物期权对资本预算的影响1.实物期权的类型全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全2.实物期权的特点（1）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全（2）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全3.实物期权对资本预算的影响（1）全全全全全全全全全全全全全全全全全全全全全全全全-全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全=1/n全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全3.实物期权对资本预算的影响（2）全全全全全全全全全全全全全全全全全-全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全0全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全3.实物期权对资本预算的影响（3）全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全udeuh111收益下跌率收益上涨率全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全全.全全全全全全全全全全全全全全全全全全5全全全全全全520全全全全全500全全全全全全全20全全全全全全全全全全全全全全全全全20%全全全全全全全全全全全全全全全全全全全全全全全全全全112全全全全全全全12%全全全全全全全全全全全12%全全全全全全全全全全全全全全14%全全全全全全全全全全全全全全全全全