Put Call Parity

Chng trnh Ging dy Kinh t Fulbright Phn tch Ti chnh: Bi 25
Nguyn Xun Thnh 1

Bi 25:
Hp ng quyn chn
Phn tch Ti chnh
Hc K Xun, 2012
Hp ng quyn chn
Trong hp ng quyn chn, ngi mua quyn c
quyn (nhng khng c ngha v) mua (hay bn):
Mt s lng xc nh cc n v ti sn c s (c th l hng
ha, c phiu, ch s c phiu, tri phiu, ngoi t, hp ng
tng lai)
Ti hay trc mt thi im xc nh trong tng lai
mc gi xc nh ngay ti thi im tha thun hp ng.
Quyn v ngha v trong hp ng
Ngi mua quyn c quyn: Ngi mua quyn c th thc
hin hoc khng thc hin quyn mua (hay bn) ti sn c
s.
Ngi bn quyn c ngha v: Nu ngi mua thc hin
quyn mua (hay bn), th ngi bn quyn buc phi bn
(hay mua) ti sn c s.
Quyn chn l c gi tr i vi ngi nm gi. Do vy, c
c quyn chn, ngi mua phi tr cho ngi bn mt
khon ph hay cn gi l gi ca quyn chn.
Nguyn Xun Thnh 2
Thut ng v k hiu trong hp ng quyn chn
Thi im k hp ng quyn chn: 0
Thi im o hn: T
Thi im hin ti: t
Thi gian t hin ti n khi o hn hp ng c
gi l k hn cn li ca quyn chn: T - t
Mc gi xc nh p dng trong ngy o hn gi l gi
thc hin (exercise price hay strike price): X
Gi ti sn c s: S
Gi quyn chn mua: c
Gi quyn chn bn: p

Cc loi quyn chn
Quyn chn mua trao cho ngi mua (ngi nm gi) quyn
chn c quyn (nhng khng phi ngha v) mua mt ti sn
c s vo mt thi im hay trc mt thi im trong tng lai
mt mc gi xc nh.
Quyn chn bn trao cho ngi mua (ngi nm gi) quyn
chn c quyn (nhng khng phi ngha v) bn mt ti sn
c s vo mt thi im hay trc mt thi im trong tng lai
mt mc gi xc nh.
i vi quyn chn mua, ta c ngi mua quyn chn mua v
ngi bn quyn chn mua. i vi quyn chn bn, ta cng c
ngi mua quyn chn bn v ngi bn quyn chn bn.
Quyn chn mua hay chn bn kiu chu u ch c th c
thc hin vo ngy o hn ch khng c thc hin trc
ngy .
Quyn chn mua hay chn bn kiu M c th c thc hin
vo mi lc cho n ht ngy o hn.
Nguyn Xun Thnh 3
Mua quyn chn mua
Xt trng thi li/l khi mua mt quyn chn mua kiu chu u. Gi quyn
chn, c = $5, gi thc hin, X = $100, thi hn hp ng, T = 2 thng

30
20
10
0
-5
70 80 90 100
110 120 130
Li/l ($)
Gi c phiu ($)
Gi c phiu ngy o hn
S
T
< 100 S
T
= 100 S
T
> 100
Gi tr nhn c 0 0 S
T
100
Li /l c c S
T
100 c
Bn quyn chn mua
Xt trng thi li/l khi bn mt quyn chn mua kiu chu u. Gi quyn
chn, c = $5, gi thc hin, X = $100, thi hn hp ng, T = 2 thng

-30
-20
-10
0
5
70 80 90 100
110 120 130
Li/l ($)
Gi c phiu ($)
Gi c phiu ngy o hn
S
T
< 100 S
T
= 100 S
T
> 100
Gi tr nhn c 0 0 100 S
T

Li /l + c + c 100 S
T
+ c
Nguyn Xun Thnh 4
Mua quyn chn bn
Xt trng thi li/l khi mua mt quyn chn bn kiu chu u. Gi quyn
chn p = $7, gi thc hin X = $70, thi hn hp ng T = 2 thng

30
20
10
0
-7
70 60 50 40 80 90 100
Li/L ($)
Gi c phiu ($)
Gi c phiu ngy o hn
S
T
< 70 S
T
= 70 S
T
> 70
Gi tr nhn c 70 S
T
0 0
Li /l 70 S
T
p

p p
Bn quyn chn bn
Xt trng thi li/l khi bn mt quyn chn bn kiu chu u. Gi quyn
chn p = $7, gi thc hin X = $70, thi hn hp ng T = 2 thng

-30
-20
-10
7
0
70
60 50 40
80 90 100
Li l ($)
Gi c phiu($)
Gi c phiu ngy o hn
S
T
< 70 S
T
= 70 S
T
> 70
Gi tr nhn c S
T
70 0 0
Li /l S
T
70 + p

+ p + p
Nguyn Xun Thnh 5
X S
T
Mua quyen chon mua

V
T
= max[(S
T
X);0]
X S
T
Ban quyen chon mua

V
T
= min[(X - S
T
);0]
X
S
T
Mua quyen chon ban

V
T
= max[(X - S
T
);0]
X S
T
Ban quyen chon ban

V
T
= min[(S
T
- X);0]
Gi tr nhn c ca quyn chn vo lc o hn
X
S
T
C(1+r)
T
Mua quyen chon mua

X S
T
Ban quyen chon mua

X S
T
Ban quyen chon ban

X
S
T
Mua quyen chon ban

Li nhun ca quyn chn vo lc o hn
Nguyn Xun Thnh 6
Thut ng v k hiu trong hp ng quyn chn
Thi im k hp ng quyn chn: 0
Thi im o hn: T
Thi im hin ti: t
Thi gian t hin ti n khi o hn hp ng c
gi l k hn cn li ca quyn chn: T - t
Mc gi xc nh p dng trong ngy o hn gi l gi
thc hin (exercise price hay strike price): X
Gi ti sn c s: S
Gi quyn chn mua: c
Gi quyn chn bn: p
Trong cc hnh chiu sau, ta u xem xt trng hp
quyn chn c phiu m khng tr c tc trong k hn
ca hp ng.
Ti thi im t, ba tnh hung c th xy ra i vi quyn chn:
S
t
> X. Nu thc hin quyn ti t th:
Ngi gi quyn chn mua s thu v gi tr dng
Ngi gi quyn chn bn s thu v gi tr m
S
t
= X. Nu thc hin quyn ti t th:
Ngi gi quyn chn mua s thu v gi tr bng 0
Ngi gi quyn chn bn s thu v gi tr bng 0
S
t
< X. Nu thc hin quyn ti t th:
Ngi gi quyn chn mua s thu v gi tr m
Ngi gi quyn chn bn s thu v gi tr dng
Thut ng:
C li (in-the-money): Gi tr nhn c s dng nu thc hin
Ha vn (at-the-money): Gi tr nhn c bng 0 nu thc hin
Khng c li (out-of-the-money): Gi tr nhn c s m nu thc
hin

Khi nim c li v khng c li
Nguyn Xun Thnh 7
Cn bng chn mua chn bn (Put-Call Parity)
Chin lc u t 1: Mua quyn chn mua c phiu gi thc hin
X, k hn T v gi tit kim gi tr X/(1 + r
f
)
T
cng vi k hn T:
S tin b ra by gi: V
0
1
= c + X/(1 + r
f
)
T

S tin thu v ti T: V
T
1
= max[S
T
X, 0] + X
Nu S
T
> X, quyn c thc hin v V
T
1
= (S
T
X) + X = S
T

Nu S
T
< X, quyn khng c thc hin v V
T
1
= 0 + X = X
Chin lc u t 2: Mua c phiu vi gi S
0
v mua quyn chn
bn gi thc hin X, k hn T :
S tin b ra by gi: V
0
2
= S
0
+ p
S tin thu v ti T: V
T
2
= S
T
+ max[X S
T
, 0]
Nu S
T
> X, quyn khng c thc hin v V
T
2
= S
T
+ 0 = S
T

Nu S
T
< X, quyn c thc hin v V
T
2
= S
T
+ (X S
T
) = X
Vi mi tnh hung xy ra ti T, hai chin lc u t u cho
cng mt gi tr. khng c c hi kinh doanh chnh lch gi,
s tin b ra ban u ca hai chin lc phi bng nhau.
( )
0
1
T
r
X
c S p
r
+ = +
+
Gii hn gi tr ca quyn chn mua
Gii hn di: c > S
0
X/(1 + r)
T

Chin lc 1: mua quyn chn mua
Gi tr b ra by gi: V
0
1
= c
Gi tr nhn c ti T: V
T
1
= max[S
T
X, 0]
Nu S
T
> X, V
T
1
= (S
T
X)
Nu S
T
< X, V
T
1
= 0
Chin lc 2: vay X /(1 + r)
T
v mua c phiu
Gi tr b ra by gi: V
0
2
= S
0
X/(1 + r)
T

Gi tr nhn c ti T: V
T
2
= S
T
X
Nu S
T
> X, V
T
2
= (S
T
X) = V
T
1
> 0
Nu S
T
< X, V
T
2
= (S
T
X) < 0 = V
T
1

Vi mi tnh hung xy ra ti T, chin lc 1 u cho gi tr
ln hn hoc bng so vi chin lc 2. Vy, s tin b ra
ca chin lc 1 phi ln hn so vi chin lc 2.
Gii hn trn: c s S
0

Khng ai chu tr nhiu hn S
0
cho mt quyn chn mua
mt c phiu ang c gi S
0

Nguyn Xun Thnh 8
Gi tr quyn chn mua trc khi o hn
Nu c thc hin
by gi, th gi tr
nhn c ca
quyn chn mua l:
S
0
X. y c
gi l gi tr nn
tng (intrinsic) ca
quyn chn mua.
Gi tr quyn chn
lun ln hn gi tr
nn tng. Cch bit
gia gi tr quyn
chn v gi tr nn
tng ca n c
gi l gi tr thi
gian ca quyn
chn (time value)
X PV(X) S
0

Gi tr
Gi tr quyn
chn mua
Gi tr nn tng ca
quyn chn mua
C li Khng c li
Gi tr
thi gian
PV(X) = X/(1 + r
f
)
T

Quyn chn mua kiu M
Quyn chn mua c phiu k ti thi im 0, k hn T v gi thc
hin X. Ti thi im t trong k hn ca hp ng, quyn chn
ang c li (S
t
cao hn X). Ngi gi quyn c 2 la chn:
Thc hin quyn v c gi tr nhn c ti t bng:
V
1
= S
t
X
Khng thc hin quyn, bn khng 1 c phiu thu v S
t
gi tit
kim vi li sut r
f
cho n thi im T
Rt tin tit kim c S
t
(1 + r
f
)
T-t
,
Mua c phiu bng cch thc hin quyn chn mua gi thc hin
X v dng c phiu tr n cho vic bn khng
Gi tr nhn c ti T: S
t
(1 + r
f
)
T-t
X
Chit khu v thi im t: V
2
= [S
t
(1 + r
f
)
T-t
X]/(1 + r
f
)
T-t

V
2
= S
t
X/(1 + r
f
)
T-t

Ta thy V
1
< V
2
.
Ngi gi quyn chn mua kiu M s khng bao gi thc hin
quyn trc khi o hn.
Gi quyn chn mua kiu M v kiu u l bng nhau.
Nguyn Xun Thnh 9
Gi tr quyn chn bn trc khi o hn

Quyn chn bn kiu u:
P s X/(1 + r
f
)
T

Quyn chn bn kiu M:
P s X

Gi c phiu ch c th
gim thp nht l xung
0. Do vy, khi gi c
phiu xung thp gn
bng 0 th ngi gi
quyn bn s mun thc
hin ngy v gi c phiu
khng cn gim thm
na.
Quyn chn bn kiu M
c gi tr cao hn quyn
chn bn kiu u.
X PV(X) S
0

Gi tr
Gi tr quyn chn
bn kiu u
X
S
0

Gi tr quyn chn
bn kiu M
Cc yu t tc ng n gi quyn chn
Yu t Quyn chn mua Quyn chn bn

Gi ca ti sn c s (S) +

Gi thc hin (X) +

K hn (T) + +

bin thin ca + +
gi ti sn c s (o)

Li sut phi ri ro (rf) +

C tc +
Nguyn Xun Thnh 10
Cng thc nh gi quyn chn Black-Scholes
Quyn chn mua:

Quyn chn bn kiu u:

Trong :

0 1 2
( ) ( )
f
r T
c S N d Xe N d
=
| | | |
2 0 1
1 ( ) 1 (
f
r T
p Xe N d S N d
=
2
0
1
ln( / ) ( / 2)
f
S X r T
d
T
o
o
+ +
=
2 1
d d T o =
N(d) = Xc sut ly c mt gi tr ngu nhin t
mt phn phi chun tiu chun nh hn d.
d
N(d)
ngha ca cng thc Black-Scholes
Xe
-rT
l gi tr hin ti ca X vi sut chit khu c
tnh li kp lin tc vi r l li sut/nm.
Li tnh kp 1 k trong nm: PV(X) = X/(1 + r)
T

Li tnh kp n k trong nm: PV(X) = X/(1+r/n)
nT

Li tnh kp lin tc: PV(X) = lim
n
X/(1+r/n)
nT
= X/e
rT

N(d) c hiu l xc sut hiu chnh theo ri ro ca
vic quyn chn mua s c li khi o hn.
Khi N(d) = 1, quyn chn mua chc chn s c thc
hin, th c = S
0
PV(X).
Khi N(d) = 0, quyn chn mua chc chn s khng c
thc hin, th c = 0.
Vi 0 s N(d) s 1, ta din gii cng thc Black-Scholes
nh sau:
Gi quyn chn bng gi tr hin ti ca gi tr tim nng
m quyn chn mang li sau khi hiu chnh cho xc sut
m quyn chn c li khi o hn.
Nguyn Xun Thnh 11
nh gi quyn chn mua c phiu Vinamilk
Thng tin u vo:
Gi c phiu Vinamilk hin hnh: S
0
= 92.500 VND
Gi thc hin: X = 100.000 VND
K hn (1 thng): T = 1/12 nm
lch chun: o = 52,3%
Trong 1 thng na, Vinamilk khng tr c tc
Kt qu tnh ton:

Gi tr quyn chn
2
2
0
1
ln( / ) ( / 2)
ln(92.500/ 100.000) (0,12 0,523 / 2)(1/ 12)
0,3743
0,523 1/ 12
f
S X r T
d
T
o
o
+ +
+ +
= = =
2 1
0,3743 0,523 1/ 12 0,5254 d d T o = = =
1
( ) ( 0,3743) 0,3541 N d N = =
2
( ) ( 0,5254) 0,2997 N d N = =
0,12*(1/12)
0 1 2
( ) ( ) 92.500*0,3541 100.000 *0,2997 3.085
f
r T
c S N d Xe N d e

= = =
Cng thc nh gi quyn chn Black-Scholes
khi c c tc
Quyn chn mua:

Quyn chn bn kiu u:

Trong :

0 1 2
( ) ( )
f
r T
dT
c S e N d Xe N d
=
| | | |
2 0 1
1 ( ) 1 ( )
f
r T
dT
p Xe N d S e N d

=
2
0
1
ln( / ) ( / 2)
f
S X r d T
d
T
o
o
+ +
=
2 1
d d T o =
N(d) = Xc sut ly c mt gi tr ngu nhin t
mt phn phi chun tiu chun nh hn d.
d
N(d)
Nguyn Xun Thnh 12
nh gi quyn chn theo cng thc Black-Scholes
trn Excel
1 2
( ) ( )
f
r T
dT
c Se N d Xe N d
=
| | | |
2 1
1 ( ) 1 ( )
f
r T
dT
p Xe N d Se N d

=
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
A B C
Thng tin u vo K hiu v cng thc Gi tr
Gi c phiu hin hnh S 92,500
Gi thc hin X 100,000
Li sut phi ri ro (nm) r
f
12.0%
K hn (nm) T 0.250
lch chun (nm) o 52.3%
T l c tc d 2.2%
Kt qu tnh ton
d
1
(ln(S/X) + (r
f
-d +0.5s
2
)T)/(sT
0.5
) -0.0731
d
2
d
1
oT
0.5
-0.3348
Phn phi xc sut ly tch chun, N(d
1
) NormSDist(d
1
) 0.4709
2
) NormSDist(d
2
) 0.3689
Ph quyn chn mua 7,520
Ph quyn chn bn 12,563
Tri phiu chuyn i
Tri phiu chuyn i cho php tri ch c quyn
chuyn i tri phiu thnh mt s lng xc nh c
phiu ca cng t chc pht hnh ti mt thi im
xc nh trong tng lai.
Tri phiu chuyn i c th c hiu l bao gm 2
chng khon:
Tri phiu thng (tri phiu tng ng nhng khng
c quyn)
Quyn chuyn i tng ng vi quyn chn mua c
phiu
Gi tr tri phiu chuyn i =
Gi tr tri phiu thng + Gi tr quyn chn mua c
phiu
Nguyn Xun Thnh 13
V d nh gi tri phiu chuyn i
Ngy 6/5/2010, mt cng ty pht hnh tri phiu chuyn i mnh gi
100.000 VND, k hn 2 nm, li sut nh k 8%/nm, tr li 1
ln/nm; n khi o hn ngi nm gi c quyn chuyn i tri phiu
thnh c phiu doanh nghip theo t l 1 c phiu/2 tri phiu.
Thng tin th trng
Gi c phiu hin hnh ca cng ty: S
0
= 87.500 VND
lch chun sut sinh li ca c phiu: o = 75,5%
C phiu tr c tc D = 4000 VND/nm hay d = 4,6%
Li sut phi ri ro: r
f
= 12%
Li sut n khi o hn ca tri phiu thng k hn 2 nm ca mt
doanh nghip tng t: k = 13,5%
nh gi tri phiu thng
2
8.000 108.000
90.885
1 13.5% (1 13.5%)
S
P = + =
+ +
C = 8
C+F = 108
P
S
1 2
0
nh gi quyn chuyn i
Khi o hn, ngi nm gi 1 tri phiu c la chn:
Khng thc hin quyn v nhn li mnh gi 100.000 VND
Thc hin quyn v chuyn sang nm gi c phiu.
nh i 100.000 VND cho c phiu
Quyn chuyn i tng ng vi quyn chn mua c phiu
k hn T = 2 nm vi gi thc hin X = 200.000 VND.

c = 17.639 VND

Gi tri phiu C:
P = P
S
+ c
= 90.885+17.639
= 108.524 VND

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
A B C
Thng tin u vo K hiu v cng thc Gi tr
Gi c phiu hin hnh S 87,500
Gi thc hin X 200,000
Li sut phi ri ro (nm) r
f 12.0%
K hn (nm) T 2.000
lch chun (nm) o 75.5%
T l c tc d 4.6%
Kt qu tnh ton
d
1
(ln(S/X) + (r
f
-d +0.5s
2
)T)/(sT
0.5
) -0.1012
d
2
d
1
oT
0.5
-1.1690
1
) NormSDist(d
1
) 0.4597
2
) NormSDist(d
2
) 0.1212
Ph quyn chn mua 17,639
Lu : Nu quyn chuyn i c thc hin, lng c phiu s tng ln, dn ti pha long.
Vic nh gi tri phiu chuyn i s chnh xc hn khi tnh ti tc ng pha long ny.

Put Call Parity

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Chng trnh Ging dy Kinh t Fulbright Phn tch Ti chnh: Bi 25

Nguyn Xun Thnh 1

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