期权期货及其衍生品第34弹.ppt

Chapter34RealOptions Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 1 AnAlternativetotheNPVRuleforCapitalInvestments Definestochasticprocessesforthekeyunderlyingvariablesanduserisk neutralvaluationThisapproach knownastherealoptionsapproach islikelytodoabetterjobatvaluinggrowthoptions abandonmentoptions etcthanNPV Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 2 TheProblemwithusingNPVtoValueOptions ConsidertheexamplefromChapter12 risk freerate 12 strikeprice 21Supposethattheexpectedreturnrequiredbyinvestorsintherealworldonthestockis16 Whatdiscountrateshouldweusetovalueanoptionwithstrikeprice 21 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 3 CorrectDiscountRatesareCounter Intuitive Correctdiscountrateforacalloptionis42 6 Correctdiscountrateforaputoptionis 52 5 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 4 GeneralApproachtoValuation WecanvalueanyassetdependentonavariableqbyReducingtheexpectedgrowthrateofqbylswherelisthemarketpriceofq riskandsisthevolatilityofqAssumingthatallinvestorsarerisk neutral Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 5 ExtensiontoManyUnderlyingVariables Whenthereareseveralunderlyingvariablesqiwereducethegrowthrateofeachonebyitsmarketpriceofrisktimesitsvolatilityandthenbehaveasthoughtheworldisrisk neutralNotethatthevariablesdonothavetobepricesoftradedsecurities Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 6 EstimatingtheMarketPriceofRiskUsingCAPM equation34 2 page740 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 7 TypesofOptions AbandonmentExpansionContractionOptiontodeferOptiontoextendlife Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 8 ExampleofApplicationofRealOptionsApproachtoValuingAatendof1999 BusinessSnapshot34 1 SchwartzandMoon Estimatestochasticprocessesforthecompany ssalesrevenueanditsaveragegrowthrate Estimatedthemarketpriceofriskandotherkeyparameters costofgoodssoldasapercentofsales variableexpensesasapercentofsales fixedexpenses etc UseMonteCarlosimulationtogeneratedifferentscenariosinarisk neutralworld Thestockpriceistheaverageofthepresentvaluesofthenetcashflowsdiscountedattherisk freerate Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 9 Example page746 Acompanyhastodecidewhethertoinvest 15milliontoobtain6millionunitsofacommodityattherateof2millionunitsperyearforthreeyears Thefixedoperatingcostsare 6millionperyearandthevariablecostsare 17perunit Thespotpriceofthecommodityis 20perunitand1 2 and3 yearfuturespricesare 22 23 and 24 respectively Therisk freerateis10 perannumforallmaturities Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 10 TheProcessfortheCommodityPrice Weassumethatthisisdln S q t aln S dt sdzwherea 0 1ands 0 2WebuildatreeasinChapter33 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 11 TheTreeofCommodityPrices Figure34 1 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 12 ValuationofBaseProject Fig34 2 Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 13 ValuationofOptiontoAbandon Fig34 3 NoSalvageValue NoFurtherPayments Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 14 ValueofExpansionOption Fig34 4 CompanyCanIncreaseScaleofProjectby20 for 2million Options Futures andOtherDerivatives 8thEdition Copyright JohnC Hull2012 15