Chapter7PropertiesofStockOptionPrices(期权期
Ch07_Properties of Stock Option Prices(金融工程学,华东师大).
7.11
Puts: An Arbitrage Possibility?
• Suppose that p= 3 S0= 48 T= 0.25 r= 5% X= 50 D= 0 • Is there an arbitrage possibility?
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University
• C : American Call option
• • • price P : American Put option price ST :Stock price at time T D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp
7.6
(NO Dividends)
• A is worth more than B, so it must cost more to set it up initially. So c + Xe-rT > S0
c > max[S0 -Xe-rT, 0]
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University
7.13
Call Early Exercise on Non-Dividend Paying Stock
国际会计第七版英文版课后答案（第七章）
国际会计第七版英文版课后答案（第七章）预览说明:预览图片所展示的格式为文档的源格式展示,下载源文件没有水印,内容可编辑和复制Chapter 7Financial Reporting and Changing PricesDiscussion Questions Solutions1.Historical-based financial statements may be misleading during periods of significant inflation.Many resources may have been acquired in periods when the purchasing power of the monetary unit was much higher. These expenses then typically are deducted from revenues that reflect current purchasing power. The resulting income number is unintelligible. Another problem for statement readers is that the value of assets recorded at their historical acquisition cost is typically understated as a result of inflation. Understated asset values produce understated expenses and overstated earnings.Financial trends are also difficult to interpret, as trend statistics generally include monetary units of different purchasing power. A positive trend in sales may be due to price changes, not real increases in sales.2. A price index is a cost ratio, that is, the ratio of a representative “basket” of goods and servicesconsumed by an average family, compared to the price of that same basket in a benchmark (“base”) year. The price index is invaluable in enabling a statement reader to translate sums of money paid in the past to their current purchasing power equivalents.3.This statement is partly true and shows the confusion thatsurrounds inflation accounting. Inaccounting for changing prices, users must distinguish between general price changes and specific price changes. General prices refer to the prices of all goods and services in the economy. The object of accounting for general price level changes is to preserve the general purchasing power of a company’s money capital. Specific price changes refer to changes in the prices of specific commodities. The object of accounting for specific price changes is to preserve a company’s productive capacity or operating capability.4.The congressman is wrong. The object of inflation accounting is to clarify the distinction betweencapital and income, not to minimize corporate taxes. Inflation accounting shows how much money the company can pay in expenses, taxes, and dividends, while keeping enough resources to maintain its capital.5.Although it is generally conceded in principle that price level-adjusted financial statements are moreuseful than conventional accounting statements during periods of significant inflation, it is a judgment call to identify exactly when price level-adjusted statements become more meaningful. Asa rule of thumb, executives in Brazil use an inflation rate greater than 10 % per month. Investors inGermany or Switzerland may believe that 5 % inflation per year is alarming. Unfortunately, no one has yet developed a formal, rigorous, easy-to-apply definition of meaningfulness.How does one determine whether the benefits of price level-adjusted accounting information exceed the costs? While the costs to generate such information can be measured, it is muchharder to quantify the benefits. Financial accounting deals with information produced by business enterprises for use by external decision makers. Consequently, measurement of the benefits of price level-adjusted information must cover all user groups in an economy. Multiple user groups, uneven distributions of benefits (both within and between groups), and favorable economy-wide spillover effects of price level information complicate the task. Adding international dimensions makes the problem even worse.6.The U.S. approach resembles the price-level adjusted current cost model, whereas the U.K.approach embraces the current cost model. While both require disclosure of the impact ofchanging prices on monetary items, the U.S. approach basically uses the general price level index to compute monetary gains and losses, whereas the U.K. employs specific prices changes by way of its gearing adjustment.1.The International Accounting Standards Board sanctions use of the general price level model orthe current cost framework. Whichever method is employed, these inflation adjustments must be expressed in terms of constant purchasing power as of the balance sheet date. Purchasing powergains or losses are to be included in current income. Firms adjusting their accounts for changingprices must disclose, at a minimum: a) the fact that end-of-period purchasing power adjustmentshave been made, b) the asset valuation framework employed in the primary financial statements,c) the type of inflation index or indexes employed and theirlevel at the end of the period as wellas their movements during the period, and d) the net purchasing power gain or loss on netmonetary items held during the period. Given the options that are available, analysts mustunderstand the differences between the approved inflation accounting methods to be able tocompare companies choosing one option over the other and to assure proper interpretation ofinflation adjusted amounts.2.The historical cost-constant dollar model measures the impact of general price level changes on afirm's reported performance and financial position. The current cost model examines the impact of specific price changes on enterprise income and wealth.The two measurement frameworks are similar in that both attempt to clarify the distinction between capital and income. They differ in reporting objectives. Whereas the historical cost/constant dollar model attempts to preserve the general purchasing power of a firm's original money capital, the current cost model attempts to preserve an entity's physical capital or productive capacity.3.Your authors think that restating foreign and domestic accounts to their current cost equivalentsproduces information that is far more helpful to investor decisions than historical cost methods, whether or not adjusted for changes in general price levels. Such information provides a performance measure that signals the maximum amount of resources that enterprises can distribute without reducing their productive capacity. It also facilitates comparisons ofconsolidated data.10. The gearing adjustment is an inflation adjustment that partially offsets the additional charges toincome associated with assets whose values are restated for inflation (e.g., higher depreciation and cost of sales). This adjustment recognizes that borrowers generally gain from inflation because they can repay their debts with currency of reduced purchasing power. Hence, it is unnecessary to recognize the higher replacement cost of inventory and plant and equipment in the income statement so far as they are financed by debt.11. Accounting for foreign inflation differs from accounting for domestic inflation in two major ways.First, foreign rates of inflation often are higher than domestic rates, which increases potential distortions in an entity's reported results from changing prices. Second, as foreign exchange rates and differential national rates of inflation are seldom perfectly negatively correlated, care must be taken to avoid double-dipping when consolidating the results of foreign operations.12.Double-dipping refers to methods that count the effects of foreign inflation twice in reportedearnings. Earnings are reduced once when cost of sales is adjusted upwards for inflation, andagain when inventories are translated to domestic currency using a current exchange rate, whichyields a translation loss. Since the change in the exchange rate itself was caused by inflation, the result is a double charge for inflation.Exercise Solutions1.This exercise is a good way to test students’ understanding of the various approaches toaccounting for changin g prices. Vestel’s earnings numbers are based on the general price levelmodel whereas Infosys is measuring its performance based on a current cost framework. Modello goes a step further and adjusts its current cost statements for changes in the general price level.Some may feel that current cost data, which is based on the notion of replacement costs, is toosubjective a notion to be reliable. Since general price level data are based on general price level indices, the numbers appearing in Vestel’s income statement are much more objective andfacilitates comparisons among companies using a similar methodology. Moreover, Vestel’sstatements do not violate the historical cost doctrine. Others will argue that the value of stockinvestments are based on discounted future cash flows. Accordingly, the current cost framework provided by Infosys is more germane to investor decisions as it measures the amount of earnings that could be distributed as dividends without reducing the firm’s future dividend gen eratingpotential. Moreover, current cost earnings, including the gearing adjustment , reflects how thefirm is impacted by prices that are more germane to the firm, as opposed to the general public.Some will argue that Modello’s income statement combin es the best of both worlds. However,there is merit to the argument that the income statementshould measure the performance of thefirm and that this is best accomplished with the current cost framework. Since individualinvestors are affected by the g eneral price level, they should adjust their share of a firm’s current cost earnings distributions for general inflation.2. a.Income Statement Historical Price Level Historical Cost-Cost Adjustment Constant Dollar Revenue MXP 144,000,000 420/340 MXP 177,882,353 Operating expenses (86,400,000) 420/340 (106,729,412) Depreciation (36,000,000) 420/263 (57,490,494)Operating income MXP 21,600,000 MXP 13,662,447a Monetary gains(losses) - (73,248,759)Net income MXP 53,280,000 MXP(59,586,312)Balance SheetCash MX(P 157,600,000 420/420 MXP 157,600,000Land 180,000,000 420/263 287,452,471Building 720,000,000 420/263 1,149,809,885Acc. Depreciation (36,000,000) 420/263 (57,490,494)Total MXP 1,021,600,000 MXP 1,537,371,862Owners' equity(beg.) MXP1,000,000,000 rolled forward b MXP 1,596,958,174Net income (loss) 21,600,000 (59,586,312)Owner's equity MXP 1,021,600,000 MXP 1,537,371,862(end)a Monetary loss:CashBeginning balance 1,000,000,000 420/263 1,596,958,174 Purchase ofreal estate ( 900,000,000) 420/263 (1,437,262,356)Rental revenues 144,000,000 420/340 177,882,353Operating expenses (86,400,000) 420/340 106,729,412)157,600,000 230,848,759-157,600,000 Monetary loss (73,248,759)b Beginning equity x price level adjustment = adjusted amount= P 1,000,000,000 x 420/263 = P 1,596,958,1742.b.Cost HC/Constant DollarReturn on Assets 21,600,000 (59,586,312)1,021,600,000 1,537,371,862= 2.1% = -3.9%Cost-based profitability ratios tend to provide a distorted (overstated) picture of a company's operating performance during a period of inflation.3.20X7 20X8Cash MJR 2,500 MJR 5,100Current liabilities (1,000) (1,200)LT-Debt (3,000) (4,000)Net monetary liabilities MJR (1,500) MJR (100)Zonolia Enterprise’s net monetary liability position changed by MJR1,400 during the year (MJR100) –(MJR1,500).4.Nominal Restate for ConstantMJR’s Majikstan GPL MJR’sNet monetary liab.'s MJR 1,500 x 32,900/30,000 = MJR1,645 12/31/X7Decrease during year (1,400) = (1,400)Net monetary liab.'s MJR 100 x 32,900/36,000 = MJR 9112/31/X8Monetary (general purchasing power) gain MJR 1545. Historical Current Cost Current Income Statement Cost Adjustment Cost Revenues MXP 144,000,000 - MXP 144,000,000 Operating expenses 86,400,000 - 86,400,000 Depreciation (36,000.000) 1.8 64,800,000 Net Income (loss) MXP 21,600,000 MXP (7,200,000)Balance SheetCash MXP 157,600,000 - P 157,600,000 Land 180,000,000 1.9 342,000,000 Building 720,000,000 1.8 1,296,000,000 Acc. Depreciation (36,000,000) 1.8 (64,800,000) Total MXP1,021,600,000 MXP 1,730,800,000 Owners' Equity Beg. Balance MXP1,000,000,000 MXP 1,000,000,000 OE revaluation a - 738,000,000Net income (loss) 21,600,000 (7,200,000) Total MXP1,021,600,000 MXP 1,730,800,000a Revaluation of land MXP 162,000,000Revaluation of building 576,000,000MXP 738,000,0006. Solution in 000,000's:MJR8,000 X 137.5/100.0 = MJR11,00020X7 20X8Current cost MJR8,000 MJR11,000Acc. depreciation (1,600) (3,300)aNet current cost MJR6,400 MJR7,700a Current cost depreciation = MJR800 X 137.5/100.0 = 1,100per year for 3 years.7. As no new assets were acquired during the year, we must determine to what extent the MJR3,000 increase in the current cost of Zonolia's equipment exceeded the change in the general price level during the year. The appropriate calculation follows: MJR11,000 - [MJR8,000 X 36,000/30,000]= MJR11,000 - MJR9,600= MJR1,400Alternatively, if we follow the FASB’s sug gested methodology, where calculations are expressed in average (20X8) dollars, current cost depreciation would be computed by reference to the average current cost of the related assets. Thus, Current cost, 12/31/X7 MJR8,000,000Current cost, 12/31/X8 11,000,000MJR19,000,000Average current cost MJR19,000,000/2 = MJR9,500,000Current cost depreciation at 10% = MJR950,000Increase in current cost of equipment, net of inflation (000's): Current Restate for Current cost/Cost Inflation Constant Zonos Current cost, net12/31/X7 MJR6,400 X 32,900/30,000 MJR7,019Depreciation (950) (950)Current cost, net12/31/X8 7,700 X 32,900/36,000 7,037MJR 2,250 MJR968The increase in the current cost of equipment, net of inflation is MJR968. The difference between the nominal renge amount (MJR2,250) and constant renges (MJR968) is the inflation component of the equipment's current cost increase.8. Restate-translate method:Constant Translate $ Equivalentsrenges of constantrengesIncrease in currentcost of equip., netof inflation MJR968,000 X 1/4,800 = $202Translate-restate method:CC (MJR) Translate CC ($) Restate CC/ Constant $U.S. GPLCC, net MJR 6,400,000 x 1/4,800 = $1,333 x 292.5/281.5 = $1,38512/31/X7Dep. (950,000) x 1/4,800 = (198) = (198)CC, net 7,700,000 x 1/4,800 = 1,604 x 292.5/303.5 = 1,54612/31/X8MJR 2,250,000 $ 469 $ 3599.20X7 20X8￡m ￡mTrade receivables 242 270-Trade payables (170) (160)Net monetary working capital 72 110Change in monetary working capital = ￡38 (￡110 - ￡72) Nominal Restate for Constant￡British PPI ￡Net monetary W/C 72 X 110/100 = 79.212/31/20X7Increase during year 38 = 38.0Net monetary W/C 110 X 110/120 = 100.812/31/20X8Monetary working capital adjustment = (16.4)aa This amount is added to the current cost adjustments for depreciation and cost of sales because trade receivables exceeded trade payables, thus tying up working capital in an asset that lost purchasing power.Gearing adjustment:[(TL – CA)/(FA + I + MWC)] [CC Dep. Adj. + CC Sales Adj. + MWCA]where TL = total liabilities other than trade payablesCA = current assets other than trade receivables and inventoryFA = fixed assets including investmentsI = inventoryMWC = monetary working capitalCC Dep. Adj. = current cost depreciation adjustmentCC Sales adj. = current cost of sales adjustmentMWCA = monetary working capital adjustment= [(128 – 75)/(479 + 220 + 110] [￡m 216]= [.066 ] [216]= ￡14.3The only number I could readily identify in problem 9 is inventory of 220. The next number I could come close on is fixed assets. Looks like the solution above says 479, the text for 08 indicates 473. I could not see where the 110 (MWC) came from. Neither is it clear where the other 3 items in brackets came from. The solution needs to be clearer before I can check the numbers.This gearing adjustment of ￡14.3 million is subtracted from the current cost of sales and depreciation adjustments. It represents the purchasing power gain from using debt to finance part of the firm's operating assets.a.Nominal Thai Historical Translation U.S.baht inflation c ost/constant rate dollaradjustment baht equivalentInven-tory BHT500,000 x 100/200 = BHT250,000 x .02 = $5,000b.Nominal Translation U.S. U.S. Historicalbaht rate dollar inflation c ost/constantequivalent adjustment dollarsInven-tory BHT500,000 x .02 = 10,000 x 180/198 = $9,090Sorry this seems confusing compared to number 2 where the year end index was in the numerator and either the beginning or average index was in the denominator (e.g. 420/340 or 420/263). It is not clear why we do the opposite here where the Thai price level doubles and we put the 200 in the denominator and 100 in the numerator.c. Most students will prefer the restate-translate method. This approach has merit if general and specific pricelevels move in tandem. If not, neither approach is satisfactory as both are based on a historical cost valuation framework that is generally irrelevant for investment decisions.d. For reasons enumerated in this chapter, we favor restating local currency assets for specific price changesand then translating these current cost equivalents to dollars using the current exchange rate.11. We assume that Doosan Enterprises translates its inventory at the current rate and adjusts its cost ofsales for inflation by simulating what it would have been ona LIFO basis. Two adjustments are necessarybecause local inflation impacts exchange rates used to translate foreign currency inventory balances to dollars.With FIFO inventories, a translation loss is recorded in "as reported" earnings when it is originally translatedto U.S. dollars by a current exchange rate that changed (devalued) during the period. This translation loss isan indirect charge for local inflation. The inflation adjustment (simulated LIFO charge) to increase "as reported" cost of sales to a current cost basis is an additional charge for inflation. Absent some offsettingentry, consolidated results would be charged twice for inflation. To avoid this double charge, the translation loss embodied in reported earnings is deducted from the simulated LIFO charge to arrive at a net U.S. dollarcurrent cost of sales adjustment. Steps in the adjustment process are as follows:1. FIFO inventory subject to simulated LIFO charge KRW10,920,0002. Restate line 1 to January 1 currency units(KRW10,920,000 x 100/120). The result is anapproximation of December 31 LIFO inventory KRW9,100,0003. Difference between FIFO and LIFO inventorybalances (line 1 minus line 2) is the additionallira LIFO expense (current cost adjustment)for the current year. KRW1,820,0004. Translate line 3 to dollars at the January 1exchange rate (KRW1,820,000 ÷ 900). The resultis the additional dollar LIFO expense for thecurrent year $ 2,0225. Calculate the translation loss on FIFO inventory(line 1) that has already been reflected in "asreported" results:a. Translate line 1 at Januaryexchange rate (KRW10,920,000 ÷ KRW900) $ 12,133b. Translate line 1 at December 31exchange rate (L 10,920,000 ÷ KRW1,170) $ 9,333c. The difference is the translationloss in “as reported” results $ (2,800)6. The difference between lines 4 and 5c isthe cost of sales adjustment in dollars:a. Additional dollar LIFO expense fromline 4. $ 2,022b. Less: Inventory translation loss alreadyreflected in "as reported” results (fromline 5c) $ (2,800)c. The difference is the net dollar currentcost of sales adjustment $ (778)Here, the current cost of sales adjustment is negative (i.e., reduces the dollar cost of sales adjustment). This is because the won devalued by more than the differential inflation rate (assuming a U.S. inflation rate close to zero). If the lira devalued by less than the differential inflation rate, the cost of sales adjustment would have been positive.12.1. Cost of fixed assets at 12/31 EUR20,0002. FIFO inventory at 12/31 EUR 8,0003. Total EUR28,0004. Less: Owners' equity at 12/31 EUR 2,0005. Liabilities used to financefixed assets and inventory EUR26,0006. Restate liabilities to beginningof period markka (EUR26,000 X300/390) EUR20,0007. Purchasing power gain EUR 6,0008. Purchasing power gain inpounds (EUR 6,000/EUR 1.5) ￡4,0009. Translation gain on appliedliabilities(EUR 26,000/EUR 1.5 -EUR26,000/EUR1.95) ￡4,00010. Net purchasing power gain ￡ -0-In this case the translation gain on liabilities used to finance nonmonetary assets equals the purchasing power gain because the currency devaluation matched the differential inflation of 30%. Hence, no purchasing power gains would be recognized.Case 7-1 SolutionCase 7.1 Kashmir Enterprises1.a–cHistorical Price Level HistoricalCost Adjustment Cost ConstantIncome Statement RupeesRevenues INR6,000,000 160/144 I NR6,666,667Cost of Sales 2,560,000 160/128 3,200,000Selling & Admin. 1,200,000 160/144 1,333,333Depreciation 160,000 160/128 200,000Interest 240,000 160/160 240,000Monetary gains (losses)a - 741,666Net Income INR1,840,000 INR2,435,000Balance SheetCash INR2,480,000 160/160 I NR2,480,000 Inventory 480,000 160/128 600,000Building 3,200,000 160/128 4,000,000Accu. depreciation (160,000) 160/128 (200,000) Total INR6,000,000 INR6,880,000Accounts payable INR 620,000 160/160 I NR 620,000 Notes payable 2,400,000 160/160 2,400,000 Owners' equity 2,980,000 3,860,000INR 6,000,000 INR6,880,000a Monetary gains/(losses):CashBeg. balance INR 720,000 160/128 INR1,150,000 Down payment (800,000) 160/128 (1,000,000) Sales 6,000,000 160/144 6,666,667Selling & Adm. exp. (1,200,000) 160/144 (1,333,333) Payment on account (2,200,000) 160/144 (2,444,444) Interest (240,000) 160/160 (240,000)INR 2,480,000 INR2,798,890-2,480,000Monetary loss INR (318,890)a Monetary gains and losses:Accounts PayableBeg. balance INR 420,000 160/128 INR525,000 Purchases 2,400,000 160/128 3,000,000Payments on account (2,200,000) 160/144 (2,444,444) INR 620,000 INR1,080,556- 620,000Monetary gain INR 460,556a Monetary gains/(losses):Notes PayablePurchase warehouse INR 2,400,000 160/128 INR 3,000,000 - 2,400,000Monetary gain INR 600,000Net monetary loss: INR(318,890) + INR460,556 + INR600,000 = INR741,666.Current Cost Financial StatementsHistorical Adjustment Current Cost Income Statement Cost F actor EquivalentsRevenues INR6,000,000 - INR 6,000,000Cost of Sales 2,560,000 1.3 3,328,000Selling and adm. 1,200,000 - 1,200,000Depreciation 160,000 1.4 224,000Interest 240,000 - 240,000Net Income INR 1,840,000 INR1,008,000Balance SheetCash INR 2,480,000 - INR 2,480,000Inventory 480,000 1.3 624,000Building 3,200,000 1.4 4,480,000Acc. depreciation 160,000 1.4 224,000Total INR 6,000,000 INR 7,360,000Accounts payable INR 620,000 - INR 620,000Notes payable 2,400,000 - 2,400,000Owners' equity 2,980,000 4,340,000INR 6,000,000 INR 7,360,0002. Your authors favor current cost over historical or historical cost/constant dollar financial statements. Finance theory states that investors are interested in a firm's dividend-generating potential, as the value of their investment depends on future cash flows. A firm's dividend-generating potential, in turn, is directly related to its productive capacity. Unless a firm preserves itsproductive capacity or physical capital(e.g.,plant, equipment, inventories), dividends can’t be sustained over time. Under these circumstances, current cost financial statements give investors information important to their decisions. They show the maximum resources that a firm can distribute to investors without impairing its operating capability.3.Translate-Restate MethodBalance Sheet, Jan. 1Local Currency Trans. Dollar Inflation Historical costRate Equivalents Adjustment Constant $Cash INR 920,000 .025 $23,000 - $23,000Inventory 640,000 .025 16,000 - 16,000 Total INR1,560,000 $39,000 $39,000A/P INR 420,000 .025 $10,500 - $10,500 Owners' equity 1,140,000 .025 28,500 - 28,500 Total INR 1,560,000 $39,000 $ 39,000Income StatementDec. 31Revenues INR 6,000,000 .022 $ 132,000 108/104 $ 137,077 Cost of sales 2,560,000 .022 56,320 108/100 60,825Selling & Adm. 1,200,000 .022 26,400 108/104 27,415 Depreciation 160,000 .022 3,520 108/100 3,802 Interest 240,000 .022 5,280 108/108 5,280Net Income INR 1,840,000 $ 40,480 $ 39,755 Monetary gains (losses)a - - 4,468$44,223a Monetary gains/(losses):CashBeg. Bal INR 920,000 .02 $ 18,400 108/100 $ 19,872Downpayment (800,000) .02 (16,000) 108/100 (17,280) Sales 6,000,000 .02 120,000 108/104 124,615Selling & Adm. (1,200,000) .02 (24,000) 108/104 (24,923)Payments on Acc. (2,200,000) .02 (44,000) 108/104 (45,692) Interest (240,000) .02 (4,800) 108/108 (4,800)INR 2,480,000 $ 49,600 51,792-49,600Monetary loss $ (2,192) Accounts PayableBeg. Bal. INR 420,000 .02 $ 8,400 108/100 $ 9,072Purchases 2,400,000 .02 48,000 108/100 51,840Pmt. on acc. (2,200,000) .02 (44,000) 108/104 45,692INR 620,000 $ 12,400 $ 15,592- 12,400Monetary gain $ 2,820Notes payablePur. W/house Rpe 2,400,000 .02 $ 48,000 108/100 $ 51,840 48,000Monetary gain $ 3,840Netmonetary gain: $(2,192) + $2,820 + $3,840 = $4,468.Balance Sheet Local Trans. Dollar Inflation Historical cost- Dec. 31 Currency Rate Equiv. Adjustment Constant $Cash INR 2,480,000 .02 48,600 108/108 $ 48,600 Inventory 480,000 .02 9,600 108/100 10,368 Building 3,200,000 .02 64,000 108/100 69,120Acc. Dep. 160,000 .02 3,200 108/100 3,456Total INR 6,000,000 $120,000 $ 124,632Acc. payable 620,000 .02 12,400 108/108 $ 12,400Notes payable 2,400,000 .02 48,000 108/108 48,000Trans. adj.b - (9,380) (9,978)Owners' equity c 2,980,000 68,980 74,210Total INR 6,000,000 $120,000 $124,632________________________________________________________________ __b Translation adjustment:Beginning net assets Rpe 1,140,000 (.02 - .025) = $ (5,700) X 108/100 = $(6,156)Increase in net assets Rpe 1,840,000 (.02 - .022) = (3,680) X 108/104 = $(3,822)$(9,380) $(9,978) c Balancing residualRestate - Translate MethodBalance Sheet Local Inflation Historical Cost- Trans. D ollar Jan 1. Currency Adjustment Constant rupee Rate equivalents Cash INR 920,000 128/128 INR 920,000 .025 $ 23,000 Inventory d 640,000 128/128 640,000 .025 16,000Total INR1,560,000 INR1,560,000 $ 39,000Acct. payable INR 420,000 128/128 INR 420,000 .025 $ 10,500Owner's equity 1,140,000 1,140,000 28,500Total INR 1,560,000 INR 1,560,000 $ 39,000d Assumes inventory acquired near year-end.Income StatementYear ended Dec. 31Revenues INR 6,000,000 160/144 INR 6,666,666 .022 $ 146,667Cost of Sales 2,560,000 160/128 3,200,000 .022 70,400 Selling & Adm. 1,200,000 160/144 1,333,333 .022 29,333 Depreciation 160,000 160/128 200,000 .022 4,400Interest 240,000 160/160 240,000 .022 5,280Net Income INR1,840,000 INR1,693,334 $ 37,254 Monetary gains(losses)a- 741,666 .022 16,317INR2,435,000 $ 53,571Balance SheetDec. 31Cash INR 2,480,000 160/160 INR 2,480,000 .02 $ 49,600Inventory 480,000 160/128 600,000 .02 12,000Building 3,200,000 160/128 4,000,000 .02 80,000Acc. deprec. 160,000 160/128 200,000 .02 4,000Total INR 6,000,000 INR 6,880,000 $137,600Acc. payable INR620,000 160/160 INR 620,000 .02 $ 12,400 Notes payable 2,400,000 160/160 2,400,000 .02 48,000Owner's equity 2,980,000 3,860,000 87,770 Translation adj.b - (10,570)Total INR 6,000,000 INR 6,880,000 $137,600________________________________________b Beginning net assets INR1,140,000 (.02 - .025) = $ (5,700)Change in net assets 2,435,000 ).02 - .022) = $(4,870)$(10,570)Both methods are inadequate for American investors because they are based on the historical cost valuation framework. A better reporting procedure is to restate local accounts to their current cost equivalents, then translate these amounts to the reporting currency using the year-end (current) foreign exchange rate. This is illustrated here.Restate (current cost)/Translate (current rate)Cash INR 920,000 - INR 920,000 .025 $ 23,000Inventory 640,000 - 640,000 .025 16,000Total INR 1,560,000 INR1,560,000 $ 39,000Acc. payable INR 420,000 - INR 420,000 .025 $ 10,500Owner's equity 1,140,000 - 1,140,000 28,500。
高级职员优资料新先认股权物产定价(英文)
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Options, Futures, and Other Derivatives, 4th edition © 1999 by John C. Hull
7.4
American vs European Options
An American option is worth at least as much as the corresponding European option
7.11
Early Exercise
• Usually there is some chance that an American option will be exercised early
• An exception is an American call on a non-dividend paying stock
• Consider the following 2 portfolios: – Portfolio A: European call on a stock + PV of the strike price in cash – Portfolio B: European put on the stock + the stock
insurance against stock price falling below strike price
资产定价 chapter7
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Firm-specific risk
◦ The risk that can be eliminated by diversification. ◦ Also called unique risk, nonsystematic risk, or diversifiable risk.
9
}
Efficient diversification
◦ Since the portfolio’s expected return is the weighted average of its component expected returns, and is unaffected by correlation between them. ◦ But the portfolio’s SD is less than the weighted average of the component SD.
2
}
Asset allocation and security selection are technically identical; both aim at identifying that optimal risky portfolio, namely, the combination of risky assets that provides the best risk-return trade-off.
Alice Ouyang
1
}
The investment decision can be viewed as a top-down process:
1. Capital allocation between the risky portfolio and risk-free assets. 2. Asset allocation across broad asset classes (ex: US stocks, international stocks, and long-term bonds). 3. Security selection of individual assets within each asset class.
债券及股票的定价策略(英文版)
债券及股票的定价策略(英文版)In finance, pricing strategies for bonds and stocks are crucial for investors and financial institutions to determine the fair value of these financial securities. This helps in making informed investment decisions and managing investment portfolios effectively. Let's explore the pricing strategies for bonds and stocks.Bond Pricing Strategy:1. Discounted Cash Flow (DCF) Analysis: This strategy involves calculating the present value of future cash flows generated by the bond. The cash flows include periodic interest payments and the bond's face value at maturity. The present value is determined by discounting these cash flows using an appropriate discount rate, usually the bond's yield to maturity (YTM).2. Comparable Bond Analysis: This strategy relies on comparing the bond in question with similar bonds in the market. By analyzing similar bonds' yields and prices, investors can assess whether the bond is overvalued or undervalued. Factors considered in this analysis include credit rating, coupon rate, maturity, and market conditions.3. Yield Spread Analysis: This strategy involves analyzing the yield spread between a particular bond and a benchmark bond with similar characteristics but different credit ratings. If the yield spread is wider than historical levels, indicating higher risk, the bond may be priced at a discount. Conversely, a narrower yield spread implies a premium.Stock Pricing Strategy:1. Dividend Discount Model (DDM): This strategy focuses on estimating the intrinsic value of a stock based on its future dividends. The DDM involves discounting expected future dividends to the present value using an appropriate discount rate, such as the stock's required rate of return or the dividend growth rate.2. Price-to-Earnings (P/E) Ratio Analysis: This strategy evaluates a stock's value by comparing its market price to its earnings per share (EPS). A low P/E ratio may suggest an undervalued stock, while a high P/E ratio could indicate an overvalued stock. This analysis considers industry P/E ratios, earnings growth prospects, and other relevant factors.3. Comparable Company Analysis: This strategy involves comparing the valuation metrics of a company with its industry peers or similar companies. Parameters such as price-to-sales ratio, price-to-book ratio, or enterprise value-to-EBITDA ratio are compared to identify relative valuation. If a company's valuation is significantly lower than its peers with similar fundamentals, it may be considered undervalued.Both bond and stock pricing strategies require careful analysis of various quantitative and qualitative factors. It is crucial for investors to consider the fundamental characteristics of the security, market conditions, economic indicators, interest rates, and other relevant factors. Additionally, incorporating risk assessment and future market expectations into these pricing strategies enhances their accuracy.Bond Pricing Strategy (Continued):4. Term Structure of Interest Rates Analysis: This strategy takes into account the term structure of interest rates, which shows the relationship between the yields and maturity dates of bonds. By comparing the yields of bonds with different maturities, investors can assess the expectations of future interest rate movements. If the current bond's yield is higher than the expected future rates, it may be undervalued, and vice versa.5. Credit Rating Analysis: Credit ratings assigned by rating agencies provide an indication of a bond's creditworthiness. Higher-rated bonds typically have lower yields due to lower perceived risk. Investors can analyze the bond's credit rating and compare it to similar rated bonds to determine whether the bond is priced appropriately.Stock Pricing Strategy (Continued):4. Discounted Free Cash Flow (DCF) Analysis: This strategy estimates the intrinsic value of a stock by forecasting its future cash flows. The future cash flows are projected based on expected revenue, expenses, and capital expenditures. These cash flows are discounted to their present value using an appropriate discount rate, such as the company's cost of capital. The resulting value represents the fair value of the stock.5. Price-to-Book (P/B) Ratio Analysis: This strategy compares a company's market price per share to its book value per share. The book value represents the net assets of the company, calculated by subtracting liabilities from assets. A low P/B ratio may indicate anundervalued stock, suggesting that the market is not fully recognizing the company's tangible assets.6. Earnings Growth Analysis: This strategy looks at the growth potential of a company's earnings. Investors analyze historical earnings growth rates and projected future growth rates to assess the stock's value. A higher expected earnings growth rate may justify a higher valuation for the stock.7. Technical Analysis: This pricing strategy focuses on analyzing historical price and volume patterns of a stock to predict future price movements. Technical analysts use various tools and techniques such as charts, moving averages, and oscillators to identify trends, support and resistance levels, and other patterns that can guide investment decisions.It is important to note that these pricing strategies serve as a guide and should not be considered definitive methods of valuation. Market conditions, investor sentiment, and unforeseen events can impact the fair value of bonds and stocks. It is recommended to use a combination of these strategies and exercise caution while interpreting the results. Regular monitoring and reassessment of pricing strategies are necessary to adapt to changing market dynamics. Ultimately, investors should conduct thorough research and seek professional advice before making investment decisions.。
期货期权及其衍生品配套(全34章)Ch(22)
16
整理ppt
2
Effect of Variables on Option Pricing (Table
9.1, page 202)
Variable c
p
CP
S0 K
–+
– +
–+
– +
T
? ? ++
r D
–++
–+ +
–++
–+ +
整理ppt
3
American vs European Options
Suppose that
c =3 T = 0.25
S0 = 31 r = 10%
K = 30
D= 0
What are the arbitrage possibilities when p = 2.25 ?
p= 1 ?
整理ppt
10
Early Exercise
Usually there is some chance that an American option will be exercised early An exception is an American call on a nondividend paying stock This should never be exercised early
Both are worth max(ST , K ) at the maturity of the options They must therefore be worth the same today. This means that
c + Ke -rT = p + S0
国际财务管理课后习题答案chapter 7
CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF—CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1。
Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date。
Futures contracts are marked-to—market daily to reflect changes in the settlement price。
Delivery is seldom made in a futures market。
Rather a reversing trade is made to close out a long or short position。
Properties of Stock Options
The Impact of Dividends on Lower Bounds to Option Prices
c S 0 D Ke
rT
p D Ke
rT
S0
18
Early Exercise
Usually there is some chance that an American option will be exercised early An exception is an American call on a nondividend paying stock This should never be exercised early
Equation 10.10 p. 244
American options; D > 0 S0 - D - K < C - P < S0 - Ke -rT
Equation 10.11 p. 244 26
Summary
Options
An American option is worth at least as much as the corresponding European option Cc&Pp
Call option can never be worth more than the stock price today S Put option can never be worth more than the present value of strike price K
Properties of Stock Options
Notation
C : American Call option c : European call option price
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无风险利率与期权价格(二)
其次我们可从动态的角度考察，即考察一个均衡被打 破到另一个均衡的过程。在标的资产价格与利率呈负 相关时（如股票、债券等），当无风险利率提高时， 原有均衡被打破，为了使标的资产预期收益率提高， 均衡过程通常是通过同时降低标的资产的期初价格和 预期未来价格，只是前者的降幅更大来实现的。同时 贴现率也随之上升。对于看涨期权来说，两种效应都 将使期权价格下降，而对于看跌期权来说，前者效应 为正，后者为负，由于前者效应通常大于后者，因此 其净效应是看跌期权价格上升。
Effect of Variables on Option Pricing (Table 7.1, page 141)
Variable c
p
CP
S0 X
–+
– +
–+
– +
T(无红利)+ + + +
s
r(静态)
D
–++
–+ +
–++
–++
边际时间价值
在一般情况下（即剔除标的资产支付大量收益 这一特殊情况），由于有效期越长，标的资产 的风险就越大，空头亏损的风险也越大，因此 即使是欧式期权，有效期越长，其期权价格也 越高，即期权的边际时间价值（Marginal Time Value）为正值。
此外，期权的时间价值还受期权内在价值的影 响。以无收益资产看涨期权为例，当S=X e-rT时， 期权的时间价值最大。当S-X e-rT的绝对值增大 时，期权的时间价值是递减的，如下图所示。
时间价值
Xe-rT
S0
Question
假设A股票（无红利）的市价为9.05元，A股票 有两种看涨期权，其协议价格分别为X1=10元， X2=8元，它们的有效期都是1年，1年期无风险 利率为10%（连续复利）。这两种期权的内在 价值分别为0和1.81元。那么这两种期权的时间 价值谁高呢？
Chapter 7
Properties of Stock Option Prices
Notation
c : European call option price p : European put option price C : American Call option price P : American Put option price S0 :Stock price today ST :Stock price at time T X : Strike price T : Life of option s: Volatility of stock price D : Present value of dividends during option’s
情也况亏3二.8：1eS0.T1=-21=02元.2。1元则。期期权权1亏1亏2e损0.1等=2于.21期元权，2期。权2 情亏况3.8三1 ：e0.1S=T4=.82元1元。。则期期权权11亏亏损2e少0.1于=2期.2权1元2。，而期权2 由此可见，无论未来A股票价格是涨是跌还是平，
期权1均优于或等于期权2。显然，期权1的时间价 值应高于期权2。
有收益资产欧式看涨期权的内在价值等于S0-DXe-rT。
当标的资产市价低于协议价格时，期权多方是 不会行使期权的，因此期权的内在价值应大于 等于0。
期权的时间价值
期权的时间价值（Time Value）是指在期权有效 期内标的资产价格波动为期权持有者带来收益 的可能性所隐含的价值。显然，标的资产价格 的波动率越高，期权的时间价值就越大。
另一种情形
我 X期3们权=11再2的元来内。比在其较价它如值条下为件两0与种，上期期例权权相。3的同X内。1=在显10价然元值，， 虽然也等于0，但S-X e-rT却等于-1.81元。 通过同样的分析，我们也可以得出期权1 的时间价值应高于期权3的结论。综合这 三种期权，我们就可以得出无收益资产 看涨期权的时间价值在S=X e-rT点最大的 结论。
首先我们可以从比较静态的角度考察，即比较 不同利率水平下的两种均衡状态。如果状态1 的无风险利率较高，则标的资产的预期收益率 也应较高，这意味着对应于标的资产现在特定 的时市 由价 于（ 贴S现o）率，较未高来，预未期来价同格样[预E(期ST盈)]较利高的。现同值 就较低。这两种效应都将减少看跌期权的价值。 但对于看涨期权来说，前者将使期权价格上升， 而后者将使 期权价格下降。由于前者的效应大 于后者，因此对应于较高的无风险利率，看涨 期权的价格也较高。
假设这两种期权的时间价值相等，都等于2元， 则第一种期权的价格为2元，第二种期权的价 格为3.81元。那么让读者从中挑一种期权，你 们愿意挑哪一种呢？
分析
为了比较这两种期权，我们T0.=1）14=元1.。79则元期，权可持从有期者权可2中从获期利权（1中14获-8利3.81e0.1）=1.79元。期权1获利金额等于期权2。
大家应注意到，从两个角度得到的结论刚好相反。因 此我们在具体运用时要注意区别分析的角度。
American vs European Options
An American option is worth at least as much as the corresponding European option C c P p
但随着时间的延长，期权时间价值的增幅是递 减的,这边际时间价值递减规律。换个角度说， 对于到期日确定的期权来说，在其它条件不变 时，随着时间的流逝，其时间价值的减小是递 增的。这意味着，当时间流逝同样长度，期限 长的期权的时间价值减小幅度将小于期限短的 期权时间价值的减小幅度。
无风险利率与期权价格(一)
life r : Risk-free rate for maturity T with cont comp
期权价格的特性
期权价格(或者说价值)等于期权的内在价 值加上时间价值。
期权的内在价值
期权的内在价值（Intrinsic Value）是指多方行 使期权时可以获得的收益的现值。
无收益资产欧式看涨期权的内在价值等于S0Xe-rT.