博迪投资学第九版课件Chap020.ppt

20-* Table 20.3 Value of a Straddle Position at Option Expiration 20-* Figure 20.9 Value of a Straddle at Expiration 20-* Spreads A spread is a combination of two or more calls (or two or more puts) on the same stock with differing exercise prices or times to maturity. Some options are bought, whereas others are sold, or written. A bullish spread is a way to profit from stock price increases. 20-* Table 20.4 Value of a Bullish Spread Position at Expiration 20-* Figure 20.10 Value of a Bullish Spread Position at Expiration 20-* Collars A collar is an options strategy that brackets the value of a portfolio between two bounds. Limit downside risk by selling upside potential. Buy a protective put to limit downside risk of a position. Fund put purchase by writing a covered call. Net outlay for options is approximately zero. 20-* The call-plus-bond portfolio (on left) must cost the same as the stock-plus-put portfolio (on right): Put-Call Parity 20-* Stock Price = 110 Call Price = 17 Put Price = 5 Risk Free = 5% Maturity = 1 yr X = 105 117 115 Since the leveraged equity is less expensive, acquire the low cost alternative and sell the high cost alternative Put Call Parity - Disequilibrium Example 20-* Table 20.5 Arbitrage Strategy 20-* Option-like Securities Callable Bonds Convertible Securities Warrants Collateralized Loans INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 20 Options Markets: Introduction 20-* Derivatives are securities that get their value from the price of other securities. Derivatives are contingent claims because their payoffs depend on the value of other securities. Options are traded both on organized exchanges and OTC. Options 20-* The Option Contract: Calls A call option gives its holder the right to buy an asset: At the exercise or strike price On or before the expiration date Exercise the