期权及其定价理论

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1、OptionPricingTheoryandOptionPricingTheoryandApplicationsApplicationsAswathDamodaranWhatisanoption?lAnoptionprovidestheholderwiththerighttobuyorsellaspecifiedquantityofanunderlyingassetatafixedprice(calledastrikepriceoranexerciseprice)atorbeforetheexpirationdateoftheoption.lS

2、inceitisarightandnotanobligation,theholdercanchoosenottoexercisetherightandallowtheoptiontoexpire.lTherearetwotypesofoptions-calloptions(righttobuy)andputoptions(righttosell).CallOptionslAcalloptiongivesthebuyeroftheoptiontherighttobuytheunderlyingassetatafixedprice(strikepr

3、iceorK)atanytimepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)>StrikePrice(K)lBuyermakesthedifference:S-KÐIfthevalueoftheunderlyingasset(S)

4、increasesasthevalueoftheunderlyingassetincreasesÐthevalueofacalldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatany

5、timepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,Ðthevalueofaputdecreasesasth

6、evalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,t

7、herighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomelessvaluable.ÐVarianceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethe

8、priceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput