公司理财精要版原书第12版英文版课件Ross-12e--Ch23.pptx
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1、CHAPTER 23OPTIONS AND CORPORATE FINANCECopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-2 Lay out the basics of call and put options and explain how to calculate their payoffs and profits List the f
2、actors that affect option values and show how to price call and put options using no arbitrage conditions Explain the basics of employee stock options and their benefits and disadvantages Value a firms equity as a call option on the firms assets Value options in capital budgeting projects,including
3、timing options,the option to expand,the option to abandon,and the option to contract Define the basics of convertible bonds and warrants and how to value themCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Educ
4、ation.KEY CONCEPTS AND SKILLS23-3 Options:The Basics Fundamentals of Option Valuation Valuing a Call Option Employee Stock Options Equity as a Call Option on the Firms Assets Options and Capital Budgeting Options and Corporate SecuritiesCHAPTER OUTLINECopyright 2019 McGraw-Hill Education.All rights
5、reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-4 Call Put Strike or Exercise price Expiration date Option premium Option writer American Option European OptionOPTION TERMINOLOGYCopyright 2019 McGraw-Hill Education.All rights reserved.No reprodu
6、ction or distribution without the prior written consent of McGraw-Hill Education.23-5 Look at Table 23.1 in the book.Price and volume information for calls and puts with the same strike and expiration is provided on the same line.Things to notice Prices are higher for options with the same strike pr
7、ice but longer expirations.Call options with strikes less than the current price are worth more than the corresponding puts.Call options with strikes greater than the current price are worth less than the corresponding puts.STOCK OPTION QUOTATIONSCopyright 2019 McGraw-Hill Education.All rights reser
8、ved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-6 The value of the call at expiration is the intrinsic value.Max(0,S-E)S is the underlying asset price E is the exercise price If SE,then the payoff is S E Assume that the exercise price is$30.051015202
9、50102030405060Call ValueStock PriceCall Option Payoff DiagramOPTION PAYOFFS CALLSCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-7 The value of a put at expiration is the intrinsic value.Max(0,E-S)
10、If SE,then the payoff is 0 Assume that the exercise price is$30.051015202530350102030405060Option ValueStock PricePayoff Diagram for Put OptionsOPTION PAYOFFS PUTSCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill
11、 Education.23-8 Where can we find option prices?On the Internet,of course.One site that provides option prices is Yahoo!Finance.Go to Yahoo!Finance.Enter a ticker symbol,then click on the options tab to get a basic quote.WORK THE WEB EXAMPLECopyright 2019 McGraw-Hill Education.All rights reserved.No
12、 reproduction or distribution without the prior written consent of McGraw-Hill Education.23-9 Upper bound Call price must be less than or equal to the stock price.Lower bound Call price must be greater than or equal to the stock price minus the exercise price or zero,whichever is greater(i.e.,the op
13、tions intrinsic value).If either of these bounds are violated,there is an arbitrage opportunity.CALL OPTION BOUNDSCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-10 FIGURE 23.2Copyright 2019 McGraw
14、-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-11 An option is“in-the-money”if the payoff is greater than zero.If a call option is sure to finish in-the-money,the option value would be:C0=S0 PV(E)If the call is worth
15、something other than this,then there is an arbitrage opportunity.A SIMPLE MODELCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-12 Stock price As the stock price increases,the call price increases a
16、nd the put price decreases.Exercise price As the exercise price increases,the call price decreases and the put price increases.Time to expiration Generally,as the time to expiration increases,both the call and the put prices increase.Risk-free rate As the risk-free rate increases,the call price incr
17、eases and the put price decreases.WHAT DETERMINES OPTION VALUES?Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-13 When an option may finish out-of-the-money(expire without being exercised),there i
18、s another factor that helps determine price.The variance in underlying asset returns is a less obvious,but important,determinant of option values.The greater the variance,the more the call and the put are worth.If an option finishes out-of-the-money,the most you can lose is your premium,no matter ho
19、w far out it is.The more an option is in-the-money,the greater the gain.The owner of the option gains from volatility on the upside,but dont lose any more from volatility on the downside.WHAT ABOUT VARIANCE?Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution with
20、out the prior written consent of McGraw-Hill Education.23-14 TABLE 23.2Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.23-15 Call options that are given to employees as part of their benefits packages
21、 Often used as a bonus or incentive Designed to align employee interests with stockholder interests and reduce agency problems Empirical evidence suggests that they dont work as well as anticipated due to the lack of diversification introduced into the employees portfolios.The stock isnt worth as mu
22、ch to the employee as it is to an outside investor because of the lack of diversification this suggests that options may work in limited amounts,but not as a large part of the compensation package.EMPLOYEE STOCK OPTIONSCopyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distr
23、ibution without the prior written consent of McGraw-Hill Education.23-16 Equity can be viewed as a call option on the companys assets when the firm is leveraged.The exercise price is the face value of the debt.If the assets are worth more than the debt when it comes due,the option will be exercised
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