财务成本管理英语09

编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第9页 共9页Business and Option Valuation对应中文教材2008年财务成本管理第十章:企业价值评估、第十一章:期权估价1.The main features of options（期权的主要特征）An option gives its holder the right（but not the obligation）to buy or sell a specific quantity of a specific asset at a fixed price on or before a specified future date.An option is purchased by the option holder and is sold by the option writer.期权是指一种合约，该合约赋予持有人在某一特定日期或该日之前的任何时间以固定价格购进或售出一种资产的权利。1.1 Exchange-traded and OTC optionsOptions might be bought and sold on an options exchange such as LIFFELONDON INTERNATIONAL FINANCIAL FUTURES EXCHANGE:伦敦国际金融期货交易所，or arranged over-the-counter场外交易 with a bank.Exchange-traded options include options on equity shares and options on futures contracts.Some currency options are also exchange traded，for example on the Philadelphia Stock Exchange费城交易所.Interest rate options and most currency options are over-the-counter（OTC）options.A feature of exchangetraded options is that，like futures contracts，they are standardized instruments.标准化的工具 OTC options，in contrast，are tailored to the specific requirements of the option buyer.1.2 Calls and putsOptions are either call options or put options（or a combination of a call and a put）.A call option gives its holder the right，but not the obligation，to buy the underlying item at the specified price.Call option: 买入选择权;买入期权;看涨期权;A put option gives its holder the right，but not the obligation，to sell the underlying item at the specified price.Put option: 卖出选择权;卖出期权;看跌期权;An option is a contractual agreement.When the holder（持有者） of an option exercise（行使权利） the option，the seller or writer（与seller） of the option must fulfill his side of the contract，and sell（call option）or buy（put option）the underlying item（期权的标的资产） at the agreed price.1.3 Expiry date：European-style and American-style options （欧式和美式）1.4 Strike price or exercise price执行价格1.5 In-the-money（赚钱）实值状态,溢价状态 and out-of-the-money options（赔钱）虚值状态,折价状态At the money（照所付的代价）平价期权,平价状态An option will only ever be exercised if it is in-the-money.1.6 Option premium期权价格/成本An option is purchased by the buyer from the option seller or writer.The purchase price is called the option premium.A position in options can be opened by buying options to hold a long position or selling options to create a short position.A long or short position can be held in either calls or puts.The value of an option期权价值（its premium or current market value）is said to consist of two elements：Intrinsic value内在价值Time value时间溢价Intrinsic value is the difference between the strike price for the option and the current market price of the underlying item.内在价值的大小,取决于期权标的资产的现行市价与期权执行价格的高低.Only an in-the-money option has an intrinsic value，however.Intrinsic value cannot be negative，so an out-of-the-money option has intrinsic value of 0.Time value is the value placed on the option. 期权的时间溢价是指期权价值超过内在价值的部分Time value depends on factors such as：The period of time remaining to the options expiry date.到期期限The volatility of the market price of the underlying item.股票价格的波动率For an out-of-the-money option，the extent to which the underlying market price must move before the option becomes in-the-money.2.Option pricing期权定价2.1 Value of a call option看涨期权The major factors in determining the price of a call option are as follows：The price of the underlying instrument and the exercise price.Essentially，it is the difference between the strike price and the underlying market price that matters.期权标的物的价格和执行价格The higher the price of the underlying instrument，the more valuable the call option，and the lower the exercise price the more valuable the call optionThe time to go to expiry.The longer the remaining period to expiry，the greater the probability that the underlying instrument will rise in value.距离到期日时间The volatility of the underlying instrument.The greater the volatility of the price of the underlying instrument the greater the probability of the option yielding profits.This is another aspect of the time value of an option.期权标的价格的变动Interest rates利率Whether a European option or an American option.欧式还是美式2.2 The Black-Scholes option pricing model布莱克斯科尔斯期权定价模型Lct Ps=the price of the underlying instrument,c,g.the current share price if pricing an equity call optionN（di）=the probability that a normal distribution is less than di standard deviations above the meanX=the exercise price r=the risk free interest rate.（NB Quote this as an annual rate as a decimal number）T=the time to expiry（again quoted in years）,so that for a six-month option T 0.5 and for a three-month option T-0.25=the standard deviation of the underlying instruments returnsThen the basic form of the Black-Scholes model gives the value of a European call option as；ExampleThe current share price of Moss plc is2.90.Estimate the value of a European call option on the shares of the company，with an exercise price of2.60，and has 6 months to run before it expires.The risk free rate of interest is 6%and the variance of the rate of return on the share has been l 5%.答疑编号811080201Solution First we calcutate d1 and d2,We are given the variance of returns on the share, so take the square root to get the standard deviation.Using a calculator, we can calculate the value of the natural logarithm of 1.1154.This is 0.1092.0.3713 Round this to 0.37（two decimal places）Having calculated values for d1 and d2,we can now go on to calculate the option price,Optioion price=2.90N（0.65）-2.60e-0.060.5N（0.37）e-0.03is 0.97（using a calculator）.To establish the value of N（d1）when d1-0.65,refer to the normal distribution tables.This shows a value of 0.2422 Since d1 is greater than 0,and 0.5000 to get 0.7422,In the calculation below, this is rounded down to 0.74.Similarly, to calculate a value for N（d2）,when d2-0.37,we look up the value of 0.37 in the normal distribution tables.This gives us 0.1443. This is rounded down to 0.64 in the following price calculation.You might like to see the normal distribution calculation shown graphically.So N（0.65）=0.5+0.24=0.742.31 Asset valuation basesThe net assets valuation method can be used as one of many valuation methods, or to provide a lower limit for the value of a company. By itself it is unlikely to produce the most realistic value.2.3.2 Choice of valuation basesPossibilities include:Historic basisReplacement basisRealizable basis3.Income based valuation basesP/E ratios are used when a large block of shares, or a whole business, is being valued. This method can be problematic when quoted companies P/E ratios are used to value unquoted companies.3.1 The P/E ratio （earnings） method of valuationThis is a common method of valuing a controlling interest in a company, where the owner can decide on dividend and retentions policy. The P/E ratio relates earnings per share to a shares value.Since P/E ratio = Market value/EPSthen market value per share = EPS P/E ratioEarnings per share （EPS）= profit/loss attributable to ordinary shareholders / weighted average number of ordinary shares3.2 The earnings yield盈余报酬率,市盈率price earning ratio的倒数 valuation methodAnother income based valuation model is the earnings yield method.This method is effectively a variation on the P/E method （the EY being the reciprocal of the P/E ratio）, using an appropriate earnings yield effectively as a discount rate to value the earnings:We can incorporate earnings growth into this method in the same way as the growth model.This formula is given on your formula sheet as4.Cash flow based valuation models4.1 The dividend valuation model-The dividend valuation model is based on the theory that an equilibrium price for均衡价格 any share （or bond） on a stock market is:The future expected stream of income from the securityDiscounted at a suitable cost of capitalEquilibrium market price is thus a present value of a future expected income stream. The annual income stream for a share is the expected dividend every year in perpetuity.The basic dividend-based formula for the market value of shares is expressed in the dividend valuation model as follows:Where MV=EX dividend market value of the sharesD=constant annual dividendKe=shareholders required rate of return4.2 The dividend growth modelUsing the dividend growth model we have:WhereD0 = Current years dividendg = Growth rate in earnings and dividendsD0（1 + g） = Expected dividend in one years time （D1）ke = Shareholders required rate of returnP0 = Market value excluding any dividend currently payable4.4 Discounted cash flow basis of valuationThis method of share valuation may be appropriate when one company intends to buy the assets of another company and to make further investments in order to improve cash flows in the future.第 9 页 共 9 页