财务成本管理英语09.docx

财务成本管理英语09.docx

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财务成本管理英语09

BusinessandOptionValuation

　　[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]

　　mainfeaturesofoptions（期权的主要特征）

　　Anoptiongivesitsholdertheright（butnottheobligation）tobuyorsellaspecificquantityofaspecificassetatafixedpriceonorbeforeaspecifiedfutureoptionispurchasedbytheoptionholderandissoldbytheoption‘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-tradedandOTCoptions

　　OptionsmightbeboughtandsoldonanoptionsexchangesuchasLIFFE[LONDONINTERNATIONALFINANCIALFUTURESEXCHANGE:

伦敦国际金融期货交易所]，orarranged‘over-the-counter’[场外交易]withaoptionsincludeoptionsonequitysharesandoptionsonfuturescurrencyoptionsarealsoexchangetraded，forexampleonthePhiladelphiaStockExchange[费城交易所].Interestrateoptionsandmostcurrencyoptionsareover-the-counter（OTC）options.

　　Afeatureofexchange—tradedoptionsisthat，likefuturescontracts，theyarestandardizedinstruments.[标准化的工具]

　　OTCoptions，incontrast，aretailoredtothespecificrequirementsoftheoptionbuyer.

　　Callsandputs

　　Optionsareeithercalloptionsorputoptions（oracombinationofacallandaput）.

　　Acalloptiongivesitsholdertheright，butnottheobligation，tobuytheunderlyingitematthespecifiedprice.

　　Calloption:

买入选择权;买入期权;看涨期权;

　　Aputoptiongivesitsholdertheright，butnottheobligation，toselltheunderlyingitematthespecifiedprice.

　　Putoption:

卖出选择权;卖出期权;看跌期权;

　　Anoptionisacontractualtheholder（持有者）ofanoptionexercise（行使权利）theoption，thesellerorwriter（与seller）oftheoptionmustfulfillhissideofthecontract，andsell（calloption）orbuy（putoption）theunderlyingitem（期权的标的资产）attheagreedprice.

　　Expirydate：

European-styleandAmerican-styleoptions（欧式和美式）

　　Strikepriceorexerciseprice[执行价格]

　　In-the-money（赚钱）[实值状态,溢价状态]andout-of-the-moneyoptions（赔钱）[虚值状态,折价状态]

　　Atthemoney（照所付的代价）[平价期权,平价状态]

　　Anoptionwillonlyeverbeexercisedifitisin-the-money.

　　Optionpremium[期权价格/成本]

　　Anoptionispurchasedbythebuyerfromtheoptionsellerorpurchasepriceiscalledtheoptionpremium.

　　Apositioninoptionscanbeopenedbybuyingoptionstoholdalongpositionorsellingoptionstocreateashortlongorshortpositioncanbeheldineithercallsorputs.

　　Thevalueofanoption[期权价值]（itspremiumorcurrentmarketvalue）issaidtoconsistoftwoelements：

　　Intrinsicvalue[内在价值]

　　Timevalue[时间溢价]

　　Intrinsicvalueisthedifferencebetweenthestrikepricefortheoptionandthecurrentmarketpriceoftheunderlyingitem.[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.]Onlyanin-the-moneyoptionhasanintrinsicvalue，valuecannotbenegative，soanout-of-the-moneyoptionhasintrinsicvalueof0.

　　Timevalueisthevalueplacedontheoption.[期权的时间溢价是指期权价值超过内在价值的部分]

　　Timevaluedependsonfactorssuchas：

　　Theperiodoftimeremainingtotheoption'sexpirydate.[到期期限]

　　Thevolatilityofthemarketpriceoftheunderlyingitem.[股票价格的波动率]

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

　　pricing[期权定价]

　　Valueofacalloption[看涨期权]

　　Themajorfactorsindeterminingthepriceofacalloptionareasfollows：

　　Thepriceoftheunderlyinginstrumentandtheexercise，itisthedifferencebetweenthestrikepriceandtheunderlyingmarketpricethatmatters.[期权标的物的价格和执行价格]

　　Thehigherthepriceoftheunderlyinginstrument，themorevaluablethecalloption，andthelowertheexercisepricethemorevaluablethecalloption

　　Thetimetogotolongertheremainingperiodtoexpiry，thegreatertheprobabilitythattheunderlyinginstrumentwillriseinvalue.[距离到期日时间]

　　Thevolatilityoftheunderlyinggreaterthevolatilityofthepriceoftheunderlyinginstrumentthegreatertheprobabilityoftheoptionyieldingisanotheraspectofthetimevalueofanoption.[期权标的价格的变动]

　　Interestrates[利率]

　　WhetheraEuropeanoptionoranAmericanoption.[欧式还是美式]

　　TheBlack-Scholesoptionpricingmodel[布莱克——斯科尔斯期权定价模型]

　　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[盈余报酬率,市盈率priceearningratio的倒数]valuationmethod

　　Anotherincomebasedvaluationmodelistheearningsyieldmethod.

　　ThismethodiseffectivelyavariationontheP/Emethod（theEYbeingthereciprocaloftheP/Eratio）,usinganappropriateearningsyieldeffectivelyasadiscountratetovaluetheearnings:

　　Wecanincorporateearningsgrowthintothismethodinthesamewayasthegrowthmodel.

　　Thisformulaisgivenonyourformulasheetas

　　flowbasedvaluationmodels

　　Thedividendvaluationmodel-

　　Thedividendvaluationmodelisbasedonthetheorythatanequilibriumpricefor[均衡价格]anyshare（orbond）onastockmarketis:

　　Thefutureexpectedstreamofincomefromthesecurity

　　Discountedatasuitablecostofcapital

　　Equilibriummarketpriceisthusapresentvalueofafutureexpectedincomestream.Theannualincomestreamforashareistheexpecteddividendeveryyearinperpetuity.

　　Thebasicdividend-basedformulaforthemarketvalueofsharesisexpressedinthedividendvaluationmodelasfollows:

　　WhereMV=EXdividendmarketvalueoftheshares

　　D=constantannualdividend

　　Ke=shareholders’requiredrateofreturn

　　Thedividendgrowthmodel

　　Usingthedividendgrowthmodelwehave:

　　Where

　　D0=Currentyear'sdividend

　　g=Growthrateinearningsanddividends

　　D0（1+g）=Expecteddividendinoneyear'stime（D1）

　　ke=Shareholders'requiredrateofreturn

　　P0=Marketvalueexcludinganydividendcurrentlypayable

　　Discountedcashflowbasisofvaluation

　　Thismethodofsharevaluationmaybeappropriatewhenonecompanyintendstobuytheassetsofanothercompanyandtomakefurtherinvestmentsinordertoimprovecashflowsinthefuture.