,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Click to edit Master title style,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,23-,第,23,章,期权与公司理财,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,第 23 章期权与公司理财Copyright 2019,列出看涨期权和看跌期权的基本原理，并解释如何计算它们的收益和利润,列出影响期权价值的因素，并说明如何使用无套利条件为看涨期权和看跌期权定价,解释员工股票期权的基本知识及其利弊,对公司的股权进行期权估值,评估资本预算项目的期权价值，包括时机期权、扩展期权、放弃期权和延迟期权,了解可转换债券和认股权证的基本知识，以及如何对其估值,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,学习目标,列出看涨期权和看跌期权的基本原理，并解释如何计算它们的收益和,期权：,基本原理,期权估值基础,看涨期权,的价值,员工股票期权,公司资产的看涨期权：股票,期权与资本预算,期权与公司证券,章节纲要,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,期权：基本原理章节纲要Copyright 2019 Mc,看涨期权,看跌期权,敲定价格或执行价格,到期日,期权溢价,期权卖方,美式期权,欧式期权,期权相关术语,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,看涨期权期权相关术语Copyright 2019 McG,参见书中的表,23.1,每一行显示执行价格和到期日相同的看涨期权和看跌期权的价格和成交量信息。,注意事项,执行价格相同但到期日较长的期权价格较高。,执行价格低于当前价格的看涨期权价值高于相应的看跌期权。,执行价格高于当前价格的看涨期权价值低于相应的看跌期权。,股票期权报价,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,参见书中的表23.1股票期权报价Copyright 20,到期日看涨期权的价值是期权内在价值。,Max(0,S-E),S,是标的资产价格,E,是期权执行价格,如果,SE,，则期权收益为,S E,假设期权执行价格是,$30,。,期权收益,看涨期权,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,到期日看涨期权的价值是期权内在价值。期权收益 看涨期权Co,到期日看跌期权的价值是期权内在价值。,Max(0,E-S),如果,SE,则期权收益为,0,假设期权执行价格是,$30,。,期权收益,看跌期权,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,到期日看跌期权的价值是期权内在价值。期权收益 看跌期权Co,在哪里可以找到期权价格,？,当然是在互联网上。一个提供期权价格的网站是雅虎金融（,Yahoo!Finance,）,。,登陆,Yahoo!Finance,。,输入股票代码，然后单击,options,选项卡获得基本报价,。,Web,示例,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,在哪里可以找到期权价格？Web 示例Copyright,上限,看涨期权价格小于或等于,股票,价格,.,下限,看涨期权价格大于或等于股票价格减去期权执行价格，或等于零，两者取大,(,即，期权的内在价值,),。,如果超出了其中任何一个界限，就存在套利机会,。,看涨期权的上下限,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,上限看涨期权的上下限Copyright 2019 McG,图,23-2,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,如图所示，期权的上限是股票价值。下限是,S,0,-E,或,0,，两者取大。特殊标出的曲线代表不同股票价格的看涨期权在到期日前的价值。,图 23-2Copyright 2019 McGraw-,如果收益大于零，期权就是“价内期权”,。,如果看涨期权是价内期权，那么期权的价值就是：,C,0,=S,0,PV(E),如果看涨期权的价值不是这个，那么就存在套利机会,。,一个简单的模型,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,如果收益大于零，期权就是“价内期权”。一个简单的模型Copy,股票价格,当股票价格上升时，看涨期权价值上升，看跌期权价值下降。,执行价格,当执行价格上升时，看涨期权价值下降，看跌期权价值上升。,距到期日的时间,一般来说，随着距到期日的时间延长，看涨期权和看跌期权的价值都会上升。,无风险利率,当无风险利率上升时，看涨期权价值上升，看跌期权价值下降。,哪些因素决定期权价值,？,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,股票价格哪些因素决定期权价值？Copyright 201,当一个期权是价外期权,(,到期不执行,),时，期权价值还有另一个决定因素,。,标的资产的收益波动性是决定期权价值的一个不那么明显但却很重要的因素,。,波动性越大，看涨期权和看跌期权的价值就越大,。,如果期权是价外期权，无论股票价格与执行价格的差异有多少，你最多损失你的购买费用。,如果期权是价内期权，股票价格与执行价格的差异越大，收益越大。,期权持有者从上涨的波动中获利，但不会因为下跌的波动而损失更多。,波动性是什么？,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,当一个期权是价外期权(到期不执行)时，期权价值还有另一个决定,表,23-2,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,标的资产的当前价值,期权的执行价格,距到期日,的时间,无风险利率,标的资产的收益波动,表 23-2Copyright 2019 McGraw-,作为员工福利的一部分给予员工的看涨期权,通常用作奖金或激励,旨在使员工利益与股东利益一致，减少代理问题,经验证据表明，由于员工投资组合缺乏多样化，他们的工作效果不如预期。,因为缺乏多样化，股票对员工的价值不如对外部投资者的价值高。这意味着期权的作用可能有限，不会在薪酬方案中占据很大一部分。,员工股票期权,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,作为员工福利的一部分给予员工的看涨期权员工股票期权Copyr,当公司存在负债时，股权可以被看作是公司资产的看涨期权。,执行价格是债务的面值。,如果资产在到期时的价值超过债务，期权将被行使，股东保留所有权。,如果资产的价值低于债务，股东不行使期权，资产将属于债券持有人。,股权是看涨期权,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distribution without the prior written consent of McGraw-Hill Education.,当公司存在负债时，股权可以被看作是公司资产的看涨期权。股权是,几乎所有的资本预算方案都包含隐含期权。,实物期权是一种涉及实物资产的期权，与股票等金融资产相对。,因为期权是有价值的，它们使得资本预算项目比它看起来更有价值。,没有考虑到这些期权会导致公司拒绝好的项目,。,期权和资本预算,Copyright 2019 McGraw-Hill Education.All rights reserved.No reproduction or distri