Lecture Investments (6/e) - Chapter 21: Option valuation

In this chapter, we turn our attention to option valuation issues. To understand most option valuation models requires considerable mathematical and statistical background. Still, many of the ideas and insights of these models can be demonstrated in simple examples, and we will concentrate on these. Option Valuation Chapter 21 Option Values Intrinsic value - profit that could be made if the option was immediately exercised. Call: stock price - exercise price Put: exercise price - stock price Tim

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Option Valuation Chapter 21 Option Values Intrinsic value - profit that could be made if the option was immediately exercised. Call: stock price - exercise price Put: exercise price - stock price Time value - the difference between the option price and the intrinsic value. 212 Time Value of Options: Call Option value Value of Call Intrinsic Value Time value X Stock Price 213 Factors Influencing Option Values: Calls Factor Effect on value Stock price increases Exercise price decreases Volatility of stock price increases Time to expiration increases Interest rate increases Dividend Rate decreases 214 Restrictions on Option Value: Call Value cannot be negative Value cannot exceed the stock value Value of the call must be greater than the value of levered equity C > S0 - ( X + D ) / ( 1 + Rf )T C > S0 - PV ( X ) - PV ( D ) 215 ... - tailieumienphi.vn

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