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ID:37670736
大小:213.86 KB
页数:63页
时间:2019-05-28
《期权及其定价理论》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、OptionPricingTheoryandOptionPricingTheoryandApplicationsApplicationsAswathDamodaranWhatisanoption?lAnoptionprovidestheholderwiththerighttobuyorsellaspecifiedquantityofanunderlyingassetatafixedprice(calledastrikepriceoranexerciseprice)atorbeforetheexpirationdateoftheoption.lSinceitisarightand
2、notanobligation,theholdercanchoosenottoexercisetherightandallowtheoptiontoexpire.lTherearetwotypesofoptions-calloptions(righttobuy)andputoptions(righttosell).CallOptionslAcalloptiongivesthebuyeroftheoptiontherighttobuytheunderlyingassetatafixedprice(strikepriceorK)atanytimepriortotheexpirati
3、ondateoftheoption.Thebuyerpaysapriceforthisright.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)>StrikePrice(K)lBuyermakesthedifference:S-KÐIfthevalueoftheunderlyingasset(S)4、evalueofacalldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatanytimepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisrig5、ht.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,ÐthevalueofaputdecreasesasthevalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyinga6、ssetdecreasesPayoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,therighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomele7、ssvaluable.ÐVarianceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethepriceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput
4、evalueofacalldecreasesasthevalueoftheunderlyingassetdecreasesPayoffDiagramonaCallNetPayoffonCallStrikePricePriceofunderlyingassetPutOptionslAputoptiongivesthebuyeroftheoptiontherighttoselltheunderlyingassetatafixedpriceatanytimepriortotheexpirationdateoftheoption.Thebuyerpaysapriceforthisrig
5、ht.lAtexpiration,ÐIfthevalueoftheunderlyingasset(S)StrikePrice(K)lBuyerdoesnotexerciselMoregenerally,ÐthevalueofaputdecreasesasthevalueoftheunderlyingassetincreasesÐthevalueofaputincreasesasthevalueoftheunderlyinga
6、ssetdecreasesPayoffDiagramonPutOptionNetPayoffonPutStrikePricePriceofunderlyingassetDeterminantsofoptionvaluelVariablesRelatingtoUnderlyingAssetÐValueofUnderlyingAsset;asthisvalueincreases,therighttobuyatafixedprice(calls)willbecomemorevaluableandtherighttosellatafixedprice(puts)willbecomele
7、ssvaluable.ÐVarianceinthatvalue;asthevarianceincreases,bothcallsandputswillbecomemorevaluablebecausealloptionshavelimiteddownside.ÐExpecteddividendsontheasset,whichreducethepriceappreciationoftheasset,reducethevalueofcallsandincreasingthevalueofput
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