财务成本管理英语

1、Business and Option Valuation 对应中文教材 2021 年财务本钱管理第十章 : 企业价值评估、第十一章 : 期权估价 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 quantityof a specific asset at a fixed price on or before a specified future option is purchased by the opti

2、on 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。Exchange-traded and OTC optionsOptions might be bought and sold on an options exchange such as LIFFELONDONINTERNATIONALFINANCIAL FUTUREEXCHANG伦敦国际金融期货交易所,or arranged over -the- counter '场外交易wit

3、h a optionsinclude options on equity shares and options on futures currency options are also exchange traded，for example on the Philadelphia Stock Exchange费城交易所 .Interest rate options and most currencyoptions are over-the-counter OTC options.A feature of exchange traded options is that ， like future

4、s 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.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 ob

5、ligation ， to buy the underlying item atthe 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 atthe specified price.Put option:卖出选择权 ; 卖出期权 ; 看跌期权 ;An option is a contractual the holder持有者 of an option exerc

6、ise 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.Expiry date ： European-style and American-style options欧式和美式Strike price or exercise price执行价格 In-the-money

7、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.Option premium 期权价格 / 本钱 An option is purchased by the buyer from the option seller or purchase price is called the option premium.A position in opti

8、ons can be opened by buying options to hold a long position or selling options to create a short 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 Intrins

9、ic value is the difference between the strike price for the option and the current marketprice 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上下 .Onlyan in-the-money option has an intrinsic value ， has intrinsic value of 0.Time value is the value placed on the option. Time value depends on

10、factors such as：value cannot be negative ， so an out-of-the-money期权的时间溢价是指期权价值超过内在价值的局部optionThe period of time remaining to the option's expirydate. 到期期限 The volatility of the market price of the underlyingitem. 股票价格的波动率 For an out-of-the-money option ， the extent to which the underlying market

11、 price must move before the option becomes in-the-money.pricing 期权定价 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 theexercise ，it is the difference between the strike price and the underlying market p

12、rice that matters. 期 权标的物的价格和执行价格 The higher the price of the underlying instrument ， themore valuable the call option， and the lower the exercise price the more valuable the call optionThe time to go to longer the remaining period to距离到期日expiry ， the greater the probability that the underlying inst

13、rument will rise in value. 时间The volatility of the underlying greater thevolatility of the price of the underlying instrument the greater the probability of the option 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.yielding

14、欧式还是美式 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, current share price if pricing an equity call optionN(di )=the probability that a normal distribution is less than di standard deviations above themeanX=the exercise pricer=the risk free inte

15、rest 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 and for a three-month option(T =the standard deviation of the underlying instrument' s returnsThen the basic form of the Black-Scholes model gives the

16、 value of a European call option as；ExampleSolutionFirst we calcutate d 1 and d 2,We are given the variance of returns on the share, so take the square root to get the standard deviation.Round this to ( two decimal places ) Having calculated values for d1 and d2,we can now go on to calculate the opt

17、ion price,xOptioion price= ()x x N ()( using a calculator ) .To establish the value of N( d1) when ,refer to the normal distribution tables.This shows a value of Since d1 is greater than 0,and to get ,In the calculation below, this is rounded down to .Similarly, to calculate a value for N( d2) ,when

18、 ,we look up the value of in the normal distribution gives us . This is rounded down to in the following price calculation.You might like to see the normal distribution calculation shown graphically.So N() =+=Asset valuation basesa lowerThe net assets valuation method can be used as one of many valu

19、ation methods, or to provide limit for the value of a company. By itself it is unlikely to produce the most realistic value.Choice of valuation basesPossibilities include:Historic basisReplacement basisRealizable basisbased valuation basesP/E ratios are used when a large block of shares, or a whole

20、business, is being valued. This method can be problematic when quoted companies ' P/E ratios are used to value unquoted companies.The P/E ratio( earnings ) method of valuationThis is a commonmethod of valuing a controlling interest in a company, where the owner can decide on dividend and retenti

21、ons policy. The P/E ratio relates earnings per share to a share's value.Since P/E ratio = Market value/EPSthen market value per share = EPS x P/E ratioEarnings per share( EPS)= profit/loss attributable to ordinary shareholders/ weighted average number of ordinary sharesThe earnings yield 盈余报酬率 ,

22、 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/Emethod ( the EY being the reciprocal of the P/Eratio ) , using an appropriate earnings yield effectively as a discount rate to value the ear

23、nings:We can incorporate earnings growth into this method in the same way as the growth model.This formula is given on your formula sheet asflow based valuation models均衡价格 anyThe dividend valuation model-The dividend valuation model is based on the theory that an equilibrium price for 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 dividen