Download - Option Valuation I
-
7/29/2019 Option Valuation I
1/52
Ge0
-
7/29/2019 Option Valuation I
2/52
H Jhkk Fptefd
H Nurfpnhd jhkk fptefd aevns t`n buynrfg t`n fptefd h rea`t tf purj`hsn t`n
udonrkyeda hssnt+ ht t`n nxnrjesnprejnfd t`n nxperhtefd ohtn$
Et es fptechk tf nxnrjesn t`n jhkk fptefd eg t`n
stfji prejn nxjnnos t`n strein prejn=
J_ 3 Chx {Z_ P+
-
7/29/2019 Option Valuation I
3/52
H \ut Fptefd
H Nurfpnhd put fptefd aevns t`n buynrfg t`n fptefd h rea`t tf snkk t`n
udonrkyeda hssnt+ ht t`n nxnrjesnprejnfd t`n nxperhtefd ohtn$
Et es fptechk tf nxnrjesn t`n put fptefd eg t`n
stfji prejn es bnkfw t`n strein prejn=
\_ 3 Chx {P # Z_ +
-
7/29/2019 Option Valuation I
4/52
_`n \ut Jhkk \hrety
Eg twf pfrtgfkefs `hvn t`n shcn phyfggs ednvnry pfssebkn sthtn hdo tecn ed t`n guturn+t`ner prejns cust bn nquhk=
(8 %_P
J Z \rg
-
7/29/2019 Option Valuation I
5/52
Hrbetrhan t`n Khw fg Fdn \rejn
Eg twf hssnts `hvn t`n shcn phyfggs ed nvnrypfssebkn sthtn ed t`n guturn hdo t`ner prejnshrn dft nquhk+ t`nrn es hd fppfrtudety tf
chin hd hrbetrhan prfget$
Qn shy t`ht t`nrn nxests hd hrbetrhanfppfrtudety eg wn eondtegy t`ht=
_`nrn es df edetehk edvnstcndt
_`nrn es df resi fg kfss
_`nrn es h pfsetevn prfbhbekety fg prfget
-
7/29/2019 Option Valuation I
6/52
Hrbetrhan h _nj`dejhk Ongedetefd
Knt JGtm bn t`n jhs` gkfw fg hd edvnstcndtstrhtnay ht tecn t hdo sthtn m$ Eg t`n gfkkfwedajfdoetefds hrn cnt t`es strhtnay andnrhtns
hd hrbetrhan prfget$(e% hkk t`n pfssebkn jhs` gkfws ed nvnrypfssebkn sthtn hdo tecn hrn pfsetevn fr znrf #
JGtm < gfr nvnry t hdo m$(ee% ht knhst fdn jhs` gkfw es strejtky pfsetevn #t`nrn nxests h pher ( t + m % gfr w`ej` JGtm 4
-
7/29/2019 Option Valuation I
7/52
Hrbetrhan hd NxhcpknEs t`nrn hd hrbetrhan fppfrtudety eg t`n
gfkkfweda hrn t`n chrint prejns fg t`n hssnts=
_`n prejn fg fdn s`hrn fg stfji es /:59
_`n prejn fg h jhkk fptefd fd t`ht stfji+w`ej` nxperns ed fdn ynhr hdo `hs hdnxnrjesn prejn fg /?9
_`n prejn fg h put fptefd fd t`ht stfji+w`ej` nxperns ed fdn ynhr hdo `hs hdnxnrjesn prejn fg /?
-
7/29/2019 Option Valuation I
8/52
Hrbetrhan hd Nxhcpkn
Ed t`es jhsn wn cust j`nji w`nt`nr t`n putjhkk phrety `fkos$ Zedjn wn jhd snn t`ht t`esphrety rnkhtefd es vefkhtno+ wn wekk s`fw t`ht
t`nrn es hd hrbetrhan fppfrtudety$
8
/? /??$507
(8 % (8 $>
_
PJ
rg
Z \
-
7/29/2019 Option Valuation I
9/52
_`n Jfdstrujtefd fghd Hrbetrhan _rhdshjtefd
Jfdstrujteda t`n hrbetrhan strhtnay=
8$ Cfvn hkk t`n tnrcs tf fdn seon fg t`n nquhtefdsf t`ner suc wekk bn pfsetevn9
2$ Gfr nhj` hssnt+ usn t`n sead hs hd edoejhtfr fgt`n hpprfprehtn edvnstcndt ed t`n hssnt$ Eg t`nsead es dnahtevn t`nd t`n jhs` gkfw ht tecn t3< es
dnahtevn (w`ej` cnhds t`ht yfu buy t`n stfji+bfdo fr fptefd%$ Eg t`n sead es pfsetevn rnvnrsnt`n pfsetefd$
-
7/29/2019 Option Valuation I
10/52
Hrbetrhan hd Nxhcpkn
Ed t`es jhsn wn cfvn hkk tnrcs tf t`n K@Z=
/?>$> /??$507 /8? ) B/8$5% hdo t`n jhkk fptefd prejn es J3/:$27>7$
-
7/29/2019 Option Valuation I
35/52
H Oeggnrndt Rnpkejhtefd
_`n prejn fg /8 ed t`nup sthtn=
_`n prejn fg /8 ed t`nofwd sthtn=
qu
/8
/ ) qo/?0$> 3 />+
-
7/29/2019 Option Valuation I
38/52
Rnpkejhteda \frtgfkefs ^seda t`nZthtn \rejns
Qn jhd rnpkejhtn t`n t38 phyfggs fg t`n stfji hdot`n bfdo useda t`n sthtn prejns=
qu/>> ) qo/?0$> 3 />
-
7/29/2019 Option Valuation I
40/52
_`n Ztfji \rejn
Z3 />>
Zo3/?0$>
Zuu3/7
Zuo3Zou3/>:$:>
Zoo3/?1$
-
7/29/2019 Option Valuation I
41/52
_`n Bfdo \rejn
r3 7. (gfr nhj` pnrefo%
/8
/8$
-
7/29/2019 Option Valuation I
42/52
_`n Jhkk Fptefd \rejn
P3 />< hdo _3 2 pnrefos
J
Ju
Jo
Juu3Chx{7#>:$:>#>
-
7/29/2019 Option Valuation I
43/52
Zthtn \rejns ed t`n _wf \nrefo _rnn
Qn jhd rnpkejhtn t`n t38 phyfggs fg t`n stfji hdo t`n bfdouseda t`n sthtn prejns=
qu/>> ) qo/?0$> 3 />< hdonxperhtefd ed twf pnrefos6
Q`ht es t`n prejn fg hd Hcnrejhd put fptefd fdt`ht stfji+ wet` hd nxnrjesn prejn fg />< hdonxperhtefd ed twf pnrefos6
-
7/29/2019 Option Valuation I
46/52
_wf \nrefo Nxhcpkn
Nurfpnhd put fptefd # usn t`n trnn fr t`nput#jhkk phrety
Q`ht es t`n prejn fg hd Hcnrejhd jhkkfptefd # eg t`nrn hrn df oeveondos
Hcnrejhd put fptefd usn t`n trnn
-
7/29/2019 Option Valuation I
47/52
_`n Nurfpnhd \ut Fptefd \rejn
qu3 :8 hdo qo3
\u 3 :8-< )
-
7/29/2019 Option Valuation I
48/52
_`n Hcnrejhd \ut Fptefd \rejn
qu3 :8 hdo qo3
-
7/29/2019 Option Valuation I
49/52
Hcnrejhd \ut Fptefd
Dftn t`ht ht tecn t38 t`n fptefd buynr wekkonjeon w`nt`nr tf nxnrjesn t`n fptefd frinnp et tekk nxperhtefd$
Eg t`n phyfgg grfc eccnoehtn nxnrjesn es`ea`nr t`hd t`n fptefd vhkun t`n fptechkstrhtnay es tf nxnrjesn=
Eg Chx{ P#Zu+< } 4 \u(Nurfpnhd% 34 Nxnrjesn
-
7/29/2019 Option Valuation I
50/52
_`n Hcnrejhd \ut Fptefd \rejn
qu3 :8 hdo qo3
\u 3 Chx{ :8-< ) } 3 / } 3 > 3 /8$>
\Hc 3 Chx{ :8-< ) < } 3 /? 4 /
-
7/29/2019 Option Valuation I
51/52
Ontnrcedhdts fg t`n Whkunsfg Jhkk hdo \ut Fptefds
Whrehbkn J Jhkk Whkun \ \ut Whkun
Zstfji prejn Edjrnhsn Onjrnhsn
Pnxnrjesn prejn Onjrnhsn Edjrnhsnstfji prejn vfkhtekety Edjrnhsn Edjrnhsn
_tecn tf nxperhtefd Edjrnhsn Edjrnhsn
rresi#grnn edtnrnst rhtn Edjrnhsn Onjrnhsn
Oevoeveondo phyfuts Onjrnhsn Edjrnhsn
-
7/29/2019 Option Valuation I
52/52
\rhjtejn \rfbkncs
BIC J`$ 28=
Ndo fg j`hptnr # 8+ 2
Nxhcpkn 28$8 hdo jfdjnpt j`nji X *?(phans 1>>#7%
\rhjtejn snt= 81#2?+ 2>#:>