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1、Understanding OptionsPrinciples of Corporate FinanceSeventh EditionRichard A.Brealey Stewart C.MyersChapter 20McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved 20-2McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Topics CoveredwC
2、alls,Puts and ShareswWhat Determines Option ValuewOption Valuation20-3McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option TerminologyPut OptionRight to sell an asset at a specified exercise price on or before the exercise date.Call OptionRight to buy an asset
3、at a specified exercise price on or before the exercise date.20-4McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option Obligations20-5McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValuewThe value of an option at expi
4、ration is a function of the stock price and the exercise price.20-6McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValuewThe value of an option at expiration is a function of the stock price and the exercise price.Example-Option values given a exercise pri
5、ce of$5520-7McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueCall option value(graphic)given a$55 exercise price.Share PriceCall option value55 75$2020-8McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValuePu
6、t option value(graphic)given a$55 exercise price.Share PricePut option value50 55$520-9McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueCall option payoff (to seller)given a$55 exercise price.Share PriceCall option$payoff55 20-10McGraw Hill/IrwinCopyri
7、ght 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValuePut option payoff(to seller)given a$55 exercise price.Share PricePut option$payoff 55 20-11McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueProtective Put-Long stock and long put
8、 Share PricePosition ValueLong Stock20-12McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueProtective Put-Long stock and long put Share PricePosition ValueLong Put20-13McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved
9、Option ValueProtective Put-Long stock and long put Share PricePosition ValueProtective PutLong PutLong Stock20-14McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueProtective Put-Long stock and long put Share PricePosition ValueProtective Put20-15McGraw
10、Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueStraddle-Long call and long put-Strategy for profiting from high volatility Share PricePosition ValueLong call20-16McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option Val
11、ueStraddle-Long call and long put-Strategy for profiting from high volatility Share PricePosition ValueLong put20-17McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueStraddle-Long call and long put-Strategy for profiting from high volatility Share Price
12、Position ValueStraddle20-18McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueStraddle-Long call and long put-Strategy for profiting from high volatility Share PricePosition ValueStraddle20-19McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueUpper LimitStock Price20-20McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved Option ValueUpper LimitStock PriceLower Limit(Stock price-exercise price)or 0which ever is higher