옵션理論과 應用에 관한 硏究

• 영문명: A Study on the Option Theory and Application to Problems in Finance
• 발행기관: 건국대학교 경제경영연구소
• 저자명: In Kyom Kim(金仁謙)
• 간행물 정보: 『상경연구』제11권, 83~109쪽, 전체 27쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 1986.09.10

영문 초록

An option is simply a contract that given the holder the right to buy or sell the common stock of a company at some specified price. Among variety of option contracts, the most prevalent are the call option. The call option gives the holder the right to buy a share of stock at a specified price, known as the exercise price. The party who provides the option is known as the writer. In the case of call option, the writer must deliver stock to optionholder when the latter exercises the option. In the contrast to a call option, a put option given the holder the right to sell a share of stock at a specified price up to the expiration date. It is the mirror image of a call option. The closed from solution for pricing options has only recently been developed. Yet its potential for application to problems in finance is tremendous. Almost all finacial assets are really contingent claims. For example, common stock is really a option on the underlying assets of a firm. Similarly, risky debt, insurance, warrants, and convertible debt may all be thought of as options. also, pricing theory has implications for the capital structure of the firm, for mergers and acquisitions, and for dividend policy. We have established that option prices are functions of fine parametrs: the price of underlying security, its instantaneous nariance, the exercise price on the option, the time to maturity, and the risk free rate. Only one of these variables, the instantaneous nariance, is not depended on. (1) individual risk preferences or (2) the expected rate of return on the underlying asset, But results follow from the fact that option prices are determined from pure arbitrage conditions available to the investor who establishes perfectly hedged portfolios.

목차

Ⅰ. 序論

Ⅱ. 옵션의 結合

Ⅲ. 옵션價格決定要因과 範圍

Ⅳ. 옵션價格決定模型

Ⅴ. 옵션價格決定模型의 應用

Ⅵ. 結論

參考文獻

SUMMARY