期权期货及其衍生品第34弹.ppt

Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 34Real Options Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * An Alternative to the NPV Rule for Capital Investments Define stochastic processes for the key underlying variables and use risk-neutral valuation This approach (known as the real options approach) is likely to do a better job at valuing growth options, abandonment options, etc than NPV Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Problem with using NPV to Value Options Consider the example from Chapter 12: risk-free rate =12%; strike price = $21 Suppose that the expected return required by investors in the real world on the stock is 16%. What discount rate should we use to value an option with strike price $21? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Stock Price = $22 Stock price = $20 Stock Price=$18 Correct Discount Rates are Counter-Intuitive Correct discount rate for a call option is 42.6% Correct discount rate for a put option is –52.5% Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * General Approach to Valuation We can value any asset dependent on a variable q by Reducing the expected growth rate of q by ls where l is the market price of q-risk and s is the volatility of q Assuming that all investors are risk-neutral Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Extension to Many Underlying Variables When there are several underlying variables qi we reduce the growth rate of each one by its market price of risk times its volatility and the