《投资学第七章》课件.ppt

弹性期权 汽车制造商在数个国家都有生产设备 双燃料锅炉，可以选择烧油还是烧煤 比较一家大型电厂与两家或更多的小型电厂 后续期权 初始投资产生了后续项目的投资机会 例子：RD,在新兴市场特别是发展中国家的投资 决策法则: NPV + 后续期权的价值 0 后续期权 时间 0 1 2 3 4 现金流量 -200 62 62 62 62 净现值 -11.7 55.4 49.4 44.1 39.4 A项目初始投资200万,期限4年,折现率12% 如果第4年在A的基础上有初始额为550万元投资 时间 4 5 6 7 8 9 现金流量 -550 112 140 160 160 160 净现值 -32 100 111 114 102 91 后续期权 B项目初始投资额现值 550/（1.12）^4=349.8 收益现值518/（1.12）^4=329.4 标的资产价值为329.4，执行价格为550的看涨期权 假设项目B的年波动率为50%，Rf=0.05,S=329.4,K=550,T=4,singma=50%,Rf=0.05 C=95.4 总NPV=NPVA+C=-11.7+95.4=83.7 实物期权与金融期权之间的对应 实物期权 ? 金融期权 ? ? ? 期望现金流的现值 ? 股票价格 获得项目资产所需的投资 ? 执行价格 决策可以延迟的时间长度 ? 距到期日的时间长度 货币的时间价值 ? 无风险利率 现金流的不确定性 ? 收益率的波动率 Example You are holding call options on a stock. The stock’s beta is .75, and you are concerned that the stock market is about to fall. The stock is currently selling for $5 and you hold 1 million options on the stock (i.e., you hold 10,000 contracts for 100 shares each). The option delta is .8. How much of the market index portfolio must you buy or sell to hedge your market exposure? EXample Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $100 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 5% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested). a. How much should be placed in bills? How much in equity? b. What should the manager do if the stock portfolio falls by 3% on the first day of trading? 作业 Suppose that call options on ExxonMobil stock with time to expiration 3 months and strike price $60 are selling at an implied volatility of 30%. ExxonMobil stock currently is $60 per share, and the risk-free rate is 4%. If you believe the true volatility of the stock is 32%, how can you trade on your belief without taking on exposure to the performance of ExxonMobil? How many shares of stock will you