財(cái)務(wù)成本管理英語

BusinessandOptionValuation[對(duì)應(yīng)中文教材2008年財(cái)務(wù)成本管理第十章:企業(yè)價(jià)值評(píng)估、第十一章:期權(quán)估價(jià)]

mainfeaturesofoptions（期權(quán)的主要特征）

Anoptiongivesitsholdertheright（butnottheobligation）tobuyorsellaspecificquantityofaspecificassetatafixedpriceonorbeforeaspecifiedfutureoptionispurchasedbytheoptionholderandissoldbytheoption‘writer’.

期權(quán)是指一種合約，該合約賦予持有人在某一特定日期或該日之前的任何時(shí)間以固定價(jià)格購進(jìn)或售出一種資產(chǎn)的權(quán)利。Exchange-tradedandOTCoptions

OptionsmightbeboughtandsoldonanoptionsexchangesuchasLIFFE[LONDONINTERNATIONALFINANCIALFUTURESEXCHANGE:倫敦國際金融期貨交易所]，orarranged‘over-the-counter’[場(chǎng)外交易]withaoptionsincludeoptionsonequitysharesandoptionsonfuturescurrencyoptionsarealsoexchangetraded，forexampleonthePhiladelphiaStockExchange[費(fèi)城交易所].Interestrateoptionsandmostcurrencyoptionsareover-the-counter（OTC）options.

Afeatureofexchange—tradedoptionsisthat，likefuturescontracts，theyarestandardizedinstruments.[標(biāo)準(zhǔn)化的工具]

OTCoptions，incontrast，aretailoredtothespecificrequirementsoftheoptionbuyer.

Callsandputs

Optionsareeithercalloptionsorputoptions（oracombinationofacallandaput）.

Acalloptiongivesitsholdertheright，butnottheobligation，tobuytheunderlyingitematthespecifiedprice.

Calloption:買入選擇權(quán);買入期權(quán);看漲期權(quán);

Aputoptiongivesitsholdertheright，butnottheobligation，toselltheunderlyingitematthespecifiedprice.

Putoption:賣出選擇權(quán);賣出期權(quán);看跌期權(quán);

Anoptionisacontractualtheholder（持有者）ofanoptionexercise（行使權(quán)利）theoption，thesellerorwriter（與seller）oftheoptionmustfulfillhissideofthecontract，andsell（calloption）orbuy（putoption）theunderlyingitem（期權(quán)的標(biāo)的資產(chǎn)）attheagreedprice.Expirydate：European-styleandAmerican-styleoptions（歐式和美式）

Strikepriceorexerciseprice[執(zhí)行價(jià)格]

In-the-money（賺錢）[實(shí)值狀態(tài),溢價(jià)狀態(tài)]andout-of-the-moneyoptions（賠錢）[虛值狀態(tài),折價(jià)狀態(tài)]

Atthemoney（照所付的代價(jià)）[平價(jià)期權(quán),平價(jià)狀態(tài)]

Anoptionwillonlyeverbeexercisedifitisin-the-money.

Optionpremium[期權(quán)價(jià)格/成本]

Anoptionispurchasedbythebuyerfromtheoptionsellerorpurchasepriceiscalledtheoptionpremium.

Apositioninoptionscanbeopenedbybuyingoptionstoholdalongpositionorsellingoptionstocreateashortlongorshortpositioncanbeheldineithercallsorputs.Thevalueofanoption[期權(quán)價(jià)值]（itspremiumorcurrentmarketvalue）issaidtoconsistoftwoelements：

Intrinsicvalue[內(nèi)在價(jià)值]

Timevalue[時(shí)間溢價(jià)]

Intrinsicvalueisthedifferencebetweenthestrikepricefortheoptionandthecurrentmarketpriceoftheunderlyingitem.[內(nèi)在價(jià)值的大小,取決于期權(quán)標(biāo)的資產(chǎn)的現(xiàn)行市價(jià)與期權(quán)執(zhí)行價(jià)格的高低.]Onlyanin-the-moneyoptionhasanintrinsicvalue，valuecannotbenegative，soanout-of-the-moneyoptionhasintrinsicvalueof0.

Timevalueisthevalueplacedontheoption.[期權(quán)的時(shí)間溢價(jià)是指期權(quán)價(jià)值超過內(nèi)在價(jià)值的部分]

Timevaluedependsonfactorssuchas：

Theperiodoftimeremainingtotheoption'sexpirydate.[到期期限]

Thevolatilityofthemarketpriceoftheunderlyingitem.[股票價(jià)格的波動(dòng)率]

Foranout-of-the-moneyoption，theextenttowhichtheunderlyingmarketpricemustmovebeforetheoptionbecomesin-the-money.

pricing[期權(quán)定價(jià)]

Valueofacalloption[看漲期權(quán)]

Themajorfactorsindeterminingthepriceofacalloptionareasfollows：

Thepriceoftheunderlyinginstrumentandtheexercise，itisthedifferencebetweenthestrikepriceandtheunderlyingmarketpricethatmatters.[期權(quán)標(biāo)的物的價(jià)格和執(zhí)行價(jià)格]Thehigherthepriceoftheunderlyinginstrument，themorevaluablethecalloption，andthelowertheexercisepricethemorevaluablethecalloptionThetimetogotolongertheremainingperiodtoexpiry，thegreatertheprobabilitythattheunderlyinginstrumentwillriseinvalue.[距離到期日時(shí)間]

Thevolatilityoftheunderlyinggreaterthevolatilityofthepriceoftheunderlyinginstrumentthegreatertheprobabilityoftheoptionyieldingisanotheraspectofthetimevalueofanoption.[期權(quán)標(biāo)的價(jià)格的變動(dòng)]

Interestrates[利率]

WhetheraEuropeanoptionoranAmericanoption.[歐式還是美式]

TheBlack-Scholesoptionpricingmodel[布萊克——斯科爾斯期權(quán)定價(jià)模型]

LctPs=thepriceoftheunderlyinginstrument,c,currentsharepriceifpricinganequitycalloption

N（di）=theprobabilitythatanormaldistributionislessthandistandarddeviationsabovethemean

X=theexerciseprice

r=theriskfreeinterestrate.（NBQuotethisasanannualrateasadecimalnumber）

T=thetimetoexpiry（againquotedinyears）,sothatforasix-monthoptionTandforathree-monthoption

σ=thestandarddeviationoftheunderlyinginstrument’sreturns

ThenthebasicformoftheBlack-ScholesmodelgivesthevalueofaEuropeancalloptionas；

Example

Solution

Firstwecalcutated1andd2,

Wearegiventhevarianceofreturnsontheshare,sotakethesquareroottogetthestandarddeviation.

Roundthisto（twodecimalplaces）

Havingcalculatedvaluesford1andd2,wecannowgoontocalculatetheoptionprice,

Optioionprice=（）×××N（）

（usingacalculator）.

ToestablishthevalueofN（d1）when,refertothenormaldistributiontables.

ThisshowsavalueofSinced1isgreaterthan0,andtoget,Inthecalculationbelow,thisisroundeddownto.

Similarly,tocalculateavalueforN（d2）,when,welookupthevalueofinthenormaldistributiongivesus.Thisisroundeddowntointhefollowingpricecalculation.

Youmightliketoseethenormaldistributioncalculationshowngraphically.

SoN（）=+=

Assetvaluationbases

Thenetassetsvaluationmethodcanbeusedasoneofmanyvaluationmethods,ortoprovidealowerlimitforthevalueofacompany.Byitselfitisunlikelytoproducethemostrealisticvalue.Choiceofvaluationbases

Possibilitiesinclude:

Historicbasis

Replacementbasis

Realizablebasis

basedvaluationbases

P/Eratiosareusedwhenalargeblockofshares,orawholebusiness,isbeingvalued.Thismethodcanbeproblematicwhenquotedcompanies’P/Eratiosareusedtovalueunquotedcompanies.TheP/Eratio（earnings）methodofvaluation

Thisisacommonmethodofvaluingacontrollinginterestinacompany,wheretheownercandecideondividendandretentionspolicy.TheP/Eratiorelatesearningspersharetoashare'svalue.

SinceP/Eratio=Marketvalue/EPS

thenmarketvaluepershare=EPS×P/Eratio

Earningspershare（EPS）

=profit/lossattributabletoordinaryshareholders/weightedaveragenumberofordinaryshares

Theearningsyield[盈余報(bào)酬率,市盈率priceearningratio的倒數(shù)]valuationmethod

Anotherincomebasedvaluationmodelistheearningsyieldmethod.

ThismethodiseffectivelyavariationontheP/Emethod（theEYbeingthereciprocaloftheP/Eratio）,usinganappropriateearningsyieldeffectivelyasadiscountratetovaluetheearnings:

Wecanincorporateearningsgrowthintothismethodinthesamewayasthegrowthmodel.

Thisformulaisgivenonyourformulasheetas

flowbasedvaluationmodels

Thedividendvaluationmodel-

Thedividendvaluationmodelisbasedonthetheorythatanequilibriumpricefor[均衡價(jià)格]anyshare（orbond）onastockmarketis:

Thefutureexpectedstreamofincomefromthesecurity

Discountedatasuitablecostofcapital

Equilibriummarketpriceisthusapresentvalueofafutureexpectedincomestream.Theannualincomestreamforashareistheexpecteddividendev