CH18DerivativesandRiskManagement(财务管理,英文版)

18-1Copyright©2001byHarcourt,Inc.Allrightsreserved.DerivativesecuritiesFundamentalsofriskmanagementUsingderivativestoreduceinterestrateriskCHAPTER18DerivativesandRiskManagement18-2Copyright©2001byHarcourt,Inc.Allrightsreserved.Ifvolatilityisduetosystematicrisk,itcanbeeliminatedbydiversifyinginvestors’portfolios.Whymightstockholdersbeindifferenttowhetherornotafirmreducesthevolatilityofitscashflows?18-3Copyright©2001byHarcourt,Inc.Allrightsreserved.Increasetheiruseofdebt.Maintaintheiroptimalcapitalbudget.Avoidfinancialdistresscosts.Utilizetheircomparativeadvantagesinhedging,comparedtoinvestors.Reducetherisksandcostsofborrowing.ReasonsRiskManagementMightIncreasetheValueofaCorporation18-4Copyright©2001byHarcourt,Inc.Allrightsreserved.Reducethehighertaxesthatresultfromfluctuatingearnings.Initiatecompensationprogramstorewardmanagersforachievingstableearnings.18-5Copyright©2001byHarcourt,Inc.Allrightsreserved.Anoptionisacontractthatgivesitsholdertheright,butnottheobligation,tobuy(orsell)anassetatsomepredeterminedpricewithinaspecifiedperiodoftime.Whatisanoption?18-6Copyright©2001byHarcourt,Inc.Allrightsreserved.Itdoesnotobligateitsownertotakeanyaction.Itmerelygivestheownertherighttobuyorsellanasset.Whatisthesinglemostimportantcharacteristicofanoption?18-7Copyright©2001byHarcourt,Inc.Allrightsreserved.Calloption:Anoptiontobuyaspecifiednumberofsharesofasecuritywithinsomefutureperiod.Putoption:Anoptiontosellaspecifiednumberofsharesofasecuritywithinsomefutureperiod.Exercise(orstrike)price:Thepricestatedintheoptioncontractatwhichthesecuritycanbeboughtorsold.OptionTerminology18-8Copyright©2001byHarcourt,Inc.Allrightsreserved.Optionprice:Themarketpriceoftheoptioncontract.Expirationdate:Thedatetheoptionmatures.Exercisevalue:Thevalueofacalloptionifitwereexercisedtoday=Currentstockprice-Strikeprice.18-9Copyright©2001byHarcourt,Inc.Allrightsreserved.Coveredoption:Acalloptionwrittenagainststockheldinaninvestor’sportfolio.Naked(uncovered)option:Anoptionsoldwithoutthestocktobackitup.In-the-moneycall:Acalloptionwhoseexercisepriceislessthanthecurrentpriceoftheunder-lyingstock.18-10Copyright©2001byHarcourt,Inc.Allrightsreserved.Out-of-the-moneycall:Acalloptionwhoseexercisepriceexceedsthecurrentstockprice.LEAPS:Long-termEquityAnticiPationSecuritiesaresimilartoconventionaloptionsexceptthattheyarelong-termoptionswithmaturitiesofupto21/2years.18-11Copyright©2001byHarcourt,Inc.Allrightsreserved.StockPriceCallOptionPrice$25$3.00307.503512.004016.504521.005025.50Exerciseprice=$25.Considerthefollowingdata:18-12Copyright©2001byHarcourt,Inc.Allrightsreserved.Createatablewhichshows(a)stockprice,(b)strikeprice,(c)exercisevalue,(d)optionprice,and(e)premiumofoptionpriceovertheexercisevalue.PriceofStrikeExerciseValueStock(a)Price(b)ofOption(a)–(b)$25.00$25.00$0.0030.0025.005.0035.0025.0010.0040.0025.0015.0045.0025.0020.0050.0025.0025.0018-13Copyright©2001byHarcourt,Inc.Allrightsreserved.ExerciseValueMkt.PricePremiumofOption(c)ofOption(d)(d)–(c)$0.00$3.00$3.005.007.502.5010.0012.002.0015.0016.501.5020.0021.001.0025.0025.500.50Table(Continued)18-14Copyright©2001byHarcourt,Inc.Allrightsreserved.Whathappenstothepremiumoftheoptionpriceovertheexercisevalueasthestockpricerises?Thepremiumoftheoptionpriceovertheexercisevaluedeclinesasthestockpriceincreases.Thisisduetothedecliningdegreeofleverageprovidedbyoptionsastheunderlyingstockpriceincreases,andthegreaterlosspotentialofoptionsathigheroptionprices.18-15Copyright©2001byHarcourt,Inc.Allrightsreserved.CallPremiumDiagram5101520253035404550StockPriceOptionvalue30252015105MarketpriceExercisevalue18-16Copyright©2001byHarcourt,Inc.Allrightsreserved.Thestockunderlyingthecalloptionprovidesnodividendsduringthecalloption’slife.Therearenotransactionscostsforthesale/purchaseofeitherthestockortheoption.kRFisknownandconstantduringtheoption’slife.WhataretheassumptionsoftheBlack-ScholesOptionPricingModel?(More...)18-17Copyright©2001byHarcourt,Inc.Allrightsreserved.Securitybuyersmayborrowanyfractionofthepurchasepriceattheshort-term,risk-freerate.Nopenaltyforshortsellingandsellersreceiveimmediatelyfullcashproceedsattoday’sprice.Calloptioncanbeexercisedonlyonitsexpirationdate.Securitytradingtakesplaceincontinuoustime,andstockpricesmoverandomlyincontinuoustime.18-18Copyright©2001byHarcourt,Inc.Allrightsreserved.V=P[N(d1)]–Xe-kRFt[N(d2)].d1=.std2=d1–st.WhatarethethreeequationsthatmakeuptheOPM?ln(P/X)+[kRF+(s2/2)]t18-19Copyright©2001byHarcourt,Inc.Allrightsreserved.WhatisthevalueofthefollowingcalloptionaccordingtotheOPM?Assume:P=$27;X=$25;kRF=6%;t=0.5years:s2=0.11V=$27[N(d1)]–$25e-(0.06)(0.5)[N(d2)].ln($27/$25)+[(0.06+0.11/2)](0.5)(0.3317)(0.7071)=0.5736.d2=d1–(0.3317)(0.7071)=d1–0.2345=0.5736–0.2345=0.3391.d1=18-20Copyright©2001byHarcourt,Inc.Allrightsreserved.N(d1)=N(0.5736)=0.5000+0.2168=0.7168.N(d2)=N(0.3391)=0.5000+0.1327=0.6327.Note:ValuesobtainedfromTableA-5intext.V=$27(0.7168)–$25e-0.03(0.6327)=$19.3536–$25(0.97045)(0.6327)=$4.0036.18-21Copyright©2001byHarcourt,Inc.Allrightsreserved.Cur