Quyền Chọn Va Quyền Chọn Thực Ứng Dụng Tren Thị Trường Tai Chinh Việt Nam

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QUYN CHN V QUYN CHN THC

NG DNG TRN TH TRNG TI CHNH VIT NAM
Sn phm nghin cu
Cng ty TNHH Dan Houtte, Vng v i tc
DHVP Empirics.net
Dan Houtte, Vuong & Partners - Empirics.net
Mc lc
I
Quyn chn
Tng quan v quyn chn

1
Tng quan . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.1
Qu trnh hnh thnh th trng quyn chn . . . .
1.2
Mc pht trin hin nay . . . . . . . . . . . . . .
1.3
Mt s khi nim . . . . . . . . . . . . . . . . . . .
2
Cc c trng ca quyn chn trn c phiu . . . . . . . . .
2.1
Cc yu t nh hng n gi quyn chn c phiu
2.2
Cc gi nh v k hiu . . . . . . . . . . . . . . . .
3
Giao dch quyn chn . . . . . . . . . . . . . . . . . . . . .
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2 Cc chin lc kinh doanh hp ng quyn chn

1
Trng hp mt quyn chn ca mt c phiu duy nht
2
Mua bn song hnh . . . . . . . . . . . . . . . . . . . .
2.1
Mua bn theo chiu ln . . . . . . . . . . . . . .
2.2
Mua bn theo chiu xung . . . . . . . . . . . .
2.3
Mua bn quyn chn lin hp . . . . . . . . . .
2.4
Mua bn song hnh theo lch . . . . . . . . . . .
2.5
Mua bn theo t l . . . . . . . . . . . . . . . . .
2.6
Chin lc mua bn chnh lch theo ng cho
3
Chin lc kinh doanh kt hp . . . . . . . . . . . . . .
3.1
Chin lc mua hng hai . . . . . . . . . . . . .
3.2
Chin lc Strips v Straps . . . . . . . . . . . .
3.3
Chin lc mua bn hn hp . . . . . . . . . . .
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3 nh gi quyn chn
1
Mt s tnh cht c bn ca hp ng quyn chn c phiu .
1.1
Cc gii hn trn . . . . . . . . . . . . . . . . . . . . .
1.2
Gii hn di ca quyn chn khng tr c tc . . . .
1.3
Gii hn di ca quyn chn tr c tc . . . . . . . .
1.4
Mi quan h gia quyn chn mua v quyn chn bn
2
nh gi quyn chn . . . . . . . . . . . . . . . . . . . . . . .
2.1
nh gi quyn chn cy nh phn . . . . . . . . . . .
2.2
M hnh Black-Scholes . . . . . . . . . . . . . . . . .
2
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MC LC
II Quyn chn thc
55
4 Tng quan v quyn chn thc: mt cch nhn mi v u t

1
Cch tip cn theo quan im quyn chn . . . . . . . . . . . . . . .
2
Tnh khng th o ngc v Kh nng tr hon . . . . . . . . . . .
3
Dao ng gi hai thi k . . . . . . . . . . . . . . . . . . . . . . . . .
3.1
Tnh cht tng t nh mt quyn chn ti chnh . . . . . .
4
C hi u t khi chi ph thay i . . . . . . . . . . . . . . . . . . .
5
C hi u t khi li sut thay i . . . . . . . . . . . . . . . . . . .
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5 Quyt nh u t ca doanh nghip

1
C hi v thi im u t . . . . . . . . . . . . . . . . . . . . . . . . . .
1.1
M hnh ban u . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2
Tip cn m hnh bng quy hoch ng . . . . . . . . . . . . . . .
1.3
Tip cn m hnh bng phng php phn tch Nhu cu ti chnh
ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.4
Cc tnh cht ca nguyn tc u t ti u . . . . . . . . . . . . .
2
nh gi d n v ra quyt nh u t . . . . . . . . . . . . . . . . . . . .
2.1
Chi ph vn hnh v s tr hon tm thi . . . . . . . . . . . . . .
2.2
nh gi d n khi u ra thay i . . . . . . . . . . . . . . . . . .
3
Chin lc ra nhp hoc t b . . . . . . . . . . . . . . . . . . . . . . . .
3.1
Chin lc ra nhp v t b hn hp . . . . . . . . . . . . . . . . .
3.2
nh gi hai quyn chn . . . . . . . . . . . . . . . . . . . . . . .
70
72
77
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79
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6 ng dng phn tch v nh gi

1
nh gi c hi u t khi chi ph u t thay i . . . . . . . .
1.1
Gii thiu m hnh . . . . . . . . . . . . . . . . . . . . .
1.2
Phng php . . . . . . . . . . . . . . . . . . . . . . . .
2
nh gi c hi u t khi thi im thc hin khng xc nh
2.1
Gii thiu m hnh . . . . . . . . . . . . . . . . . . . . .
2.2
M hnh . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Ph lc tra cu
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3
DHVP - Empirics.net
c EMISCOM, 4/2006
Phn I
Quyn chn
4
DHVP - Empirics.net
Chng 1
Tng quan v quyn chn
1 Tng quan
1.1 Qu trnh hnh thnh th trng quyn chn
Vo u nhng nm 1900, hip hi nhng nh mi gii v kinh doanh quyn chn(1) ra
i. Nh u t mun mua quyn chn s lin h vi mt cng ty thnh vin, cng ty
ny s tm ngi bn quyn chn t khch hng ca cng ty hoc ca cc cng ty thnh
vin khc. Nu khng c ngi bn, cng ty s t pht hnh quyn chn vi gi c
thch hp. Th trng hot ng theo cch ny gi l th trng phi tp trung OTC (2) ,
cc nh kinh doanh khng gp nhau trn sn giao dch.
Vic mua bn quyn chn tr nn ph bin u tin Chicago Board of Options
Exchange. Vo thi k ch yu trao i cc c phiu thng mi n l.
Nm 1982, quyn chn bt u giao dch trn cc hp ng tng lai vi tri phiu
chnh ph, v loi giao dch ny pht trin rt nhanh. Giao dch trn th trng u gi
m, vic mua bn quyn chn cung cp rt nhiu cng c u c v phng h gi cho
cng ng thng mi. S thnh cng ca hp ng quyn chn m li cho vic ra
i quyn chn trn v s cc hng ho tiu dng, nh ng, u nnh v cc sn phm
khc.
1.2 Mc pht trin hin nay

Khi x hi ngy cng pht trin, giao dch quyn chn ngy cng tr nn ph bin hn,
lan rng sang Anh, Brasil, c, Php, Nht Bn, Singapore, Hng Kng v Australia.
Vic ton cu ho th trng th gii to ra nhu cu lin kt in t v thng
mi 24/24 trong ngy. Th trng M p ng nhu cu ny bng cch to ra nhng
sn phm giao dch quc t, m rng gi giao dch v trin khai mt sn giao dch in t.
(1)
(2)
Option
Over-the-counter
5
DHVP - Empirics.net
CHNG 1. TNG QUAN V QUYN CHN

Nhng h thng ng ch nht l GLOBEX (c CME pht trin) v Project A
(c CBOT) pht trin. c, Deutsche Terminborse Exchange b kiu giao dch
u gi m, thay vo vn hnh sn giao dch in t.
Trn h thng GLOBEX, cc nh u t c th c th giao dch da trn ch s SP500,
SP500 mini v NASDAQ 100 v cc hp ng con. Cc nh u t c th cng c th
mua bn ngoi hi trn GLOBEX.
Trn h thng Project A (hin ti l h thng Eurex (3) ), cc nh u t c th c th
mua bn tri phiu T-bonds v tn phiu, quyn chn, v tt c cc sn phm ng cc
trn CBOT. Giao dch in t c thit k h tr vic u gi m ngoi gi giao dch
chnh thc.
1.3
Mt s khi nim
Quyn chn
Mt quyn chn l mt phng tin u t cho php ngi mua quyn chn ny c
quyn, nhng khng b bt buc phi, bn hoc mua mt ti sn no.
Quyn chn mua (4) Ngi s hu mt quyn chn mua c quyn mua mt ti sn,
ti mt mc gi nht nh, vo mt thi im nht nh.
Quyn chn bn (5) Ngi s hu mt quyn chn bn c quyn bn mt ti sn,
ti mt mc gi nht nh, vo mt thi im nht nh.
Gi thc hin (6) Gi thc hin cn c gi l gi im l mc gi ti ti sn
trong mt quyn chn c th c mua hoc bn.
Ti sn c s
c thc hin.
(7)
L loi ti sn s c giao trn c s mua hoc bn khi quyn chn
In-the-Money Nu mt quyn chn c gi tr ni ti (8) , n c gi l in-the-money.

Quyn chn mua. Mt quyn chn mua c gi l in-the-money khi gi ti
sn c s cao hn gi thc hin.
Quyn chn bn. Mt quyn chn bn c gi l in-the-money khi gi ti sn
c s thp hn gi thc hin.
(3)
Thng 8 nm 2000, CBOT xy dng Eurex, tt c cc giao dch trn Project A hin ti u thc hin
trn Eurex
(4)
Call
(5)
Put
(6)
Strike price
(7)
Underlying Asset
(8)
intrinsic value
6
DHVP - Empirics.net
c EMISCOM, 4/2006
2. CC C TRNG CA QUYN CHN TRN C PHIU

Out-of-the-Money
Quyn chn mua. Mt quyn chn mua l out-of-the-money nu gi ti sn c
s hin ti thp hn gi thc hin.
Quyn chn bn. Mt quyn chn mua l out-of-the-money nu gi ti sn c
s hin ti cao hn gi thc hin.
Quyn chn kiu Chu u Quyn chn kiu Chu u l quyn chn c thc
hin vo cui k hn.
Quyn chn kiu M Quyn chn kiu M l quyn chn c th c thc hin vo
bt k thi im no trc khi o hn. Quyn chn ny c tnh linh ng hn so vi
quyn chn kiu Chu u.
Th trng v (9) L v th khi nh u t mua ti sn, y l mua mt quyn chn
trn ti sn do d bo rng gi ti sn s tng phiu tng.
Th on v (10) Nhn chung v th ca nh u t khi bn mt ti sn m ngi
khng s hu. V th ny tri ngc vi th trng v.
2 Cc c trng ca quyn chn trn c phiu

2.1 Cc yu t nh hng n gi quyn chn c phiu
C 6 yu t tc ng n gi quyn chn c phiu:
1. Gi c phiu thi im hin ti;
2. Gi thc hin;
3. Khong thi gian t thi im hin ti cho n khi o hn quyn;
4. bt n ca gi c phiu;
5. Li sut phi ri ro;
6. C tc k vng s thanh ton trong khong thi gian quyn c hiu lc;
Bo co s tin hnh phn tch tc ng ti gi quyn chn khi thay i mi yu t k
trn trong iu kin cc yu t cn li khng i. Kt qu chung c trnh by bng 1.1
(9)
(10)
Long position
Short position
7
DHVP - Empirics.net
c EMISCOM, 4/2006
Bng 1.1: Tm tt tc ng ca cc yu t n gi quyn chn c phiu

Quyn chn
Quyn chn Quyn chn Quyn chn
Bin
mua Chu u bn Chu u mua kiu M bn kiu M
Gi c phiu
+
+
Gi thc hin
+
+
Thi gian o hn
?
?
+
+
bt n
+
+
+
+
Li sut phi ri ro
+
+
C tc
+
+
Gi c phiu v gi thc hin

Nu mt quyn chn mua c thc hin mt thi im trong tng lai th khon li
nhun thu c s bng khong ln hn ca gi c phiu so vi gi thc hin. Do
nu gi c phiu tng th gi ca quyn chn mua s tng v nu gi thc hin tng th
gi ca quyn chn mua s gim. Vi mt quyn chn bn, li nhun thu v nu quyn
chn c thc hin s bng khong ln hn ca gi thc hin so vi gi c phiu. Nh
th gi quyn chn bn s tng nu nh gi thc hin tng v gim nu nh gi c phiu
tng.
Thi gian n lc o hn
Yu t ny c tc ng r rng hn n quyn chn kiu M (c mua v bn), nu nh
thi gian cn li cho n lc o hn cng di th gi ca quyn chn s cng cao. Xt
vi hai quyn chn ging nhau v c yu t khc ngoi tr thi gian cho n ngy o
hn. Ngi s hu quyn chn c thi gian di hn r rng c nhiu thi gian la
chn thc hin quyn hn ngi s hu quyn chn ngn hn.
Vi quyn chn kiu Chu u, thi gian n ngy o hn khng thc s c nh
hng n gi quyn chn do c 2 quyn ni trn u ch c th thc hin thi cng
mt thi im l ngy o hn. Thm ch trong nhiu trng hp quyn chn ngn
hn c th c gi cao hn, chng hn nh hai quyn chn mua c chung mi c tnh,
mt quyn s o hn trong 1 thng na, quyn cn li o hn trong 2 thng. Nu c
phiu c tr c tc v thi im thanh ton l 6 tun na, th do tc ng ca vic tr
c tc, quyn chn o hn trong 1 thng hn s c gi cao hn.
bt n
nh ngha chnh xc v bt n s c gii thiu trong phn m hnh Black-Scholes,
y c th hiu n gin nht bt n l mt thc o mc khng chc chn ca
bn thn nh u t vo bin ng trong tng lai ca gi c phiu. bt n cng cao
th kh nng gi c phiu c th ln rt cao hoc xung rt thp cng tng cao. Ngi s
hu c phiu c th coi hai xu hng ny trit tiu ln nhau v khng qu lo lng. Tuy
nhin ngi s hu quyn mua hay quyn bn th khng nh vy. Ngi s hu quyn
mua s c li nu nh gi c phiu tng ln nhng h ch phi chu ri ro c gii hn
8
DHVP - Empirics.net
c EMISCOM, 4/2006
2. CC C TRNG CA QUYN CHN TRN C PHIU

nu gi gim, mc l cao nht h phi chu chnh bng gi ca quyn mua. Vi ngi
s hu quyn bn, h s c li nu nh gi ca c phiu gim mnh v h ch phi chu
ri ro c gii hn nu gi tng, l cao nht phi chu cng chnh l gi ca quyn mua.
V l do ny, gi ca quyn chn mua v quyn chn bn s tng cao nu nh bt n
ca c phiu tng.
Li sut phi ri ro
Tc ng ca li sut phi ri ro n gi ca quyn chn c phiu khng thc s r rng
nh nhng trng hp trc. Khi li sut phi ri ro trong nn kinh t tng t l tng
trng k vng vi gi c phiu cng s c xu hng tng. ng thi gi tr hin ti
ca cc dng tin m nh u t k vng s nhn c trong tng lai s gim. Hai tc
ng ny u c xu hng lm gim gi ca quyn chn bn. Do gi quyn chn
bn c xu th gim khi li sut phi ri ro trn th trng tng. Vi quyn chn mua,
tc ng u tin c xu th lm tng gi quyn nhng tc ng th hai li c xu th lm
gim gi quyn. Tuy nhin tc ng th nht lun ln t tc ng th 2 do khi li
sut phi ri ro tng th gi quyn chn bn cng tng.
Cn nhn mnh li nhng tc ng k trn ch c nghin cu trong tnh hung
cc yu t khc khng i, iu ny l khng c thc c bit khi mt nhn t quan
trng trong nn kinh t l li sut phi ri ro thay i. Thc t cho thy gi c phiu c
xu th bin ng ngc chiu vi bin ng ca li li sut phi ri ro. Tc ng cng
gp ca li sut v gi c th mang n nhng kt qu rt khc.
C tc
C tc lm cho gi c phiu gim xung trong ngy giao dch khng hng quyn. y
l thng tin xu vi gi ca quyn chn mua v l thng tin tt vi gi ca quyn
chn bn. Nh th gi ca quyn chn mua c tng quan ngc chiu v gi quyn
chn mua c tng quan cng chiu vi nhng d bo v quy m tr c tc.
2.2 Cc gi nh v k hiu
Vic nghin cu v cc c tnh quyn chn cn c mt s gi nh sau:
1. Khng c chi ph giao dch;
2. Tt c cc li nhun thu v (l thun) t hot ng giao dch u chu cng mt
mc thu;
3. C th vay v cho vay ti mc li sut phi ri ro.
Gi nh mi thnh vin tham gia trn th trng u lun sn sng ginh ly
nhng c hi kinh doanh chnh lch gi nu xut hin. Do bt k c hi no cng
s bin mt rt nhanh. Nh vy hon ton c c s gi nh khng c c hi kinh
doanh chnh lch gi no pht sinh trn th trng.
Nhng k hiu sau c s dng trong bo co:
c l gi hp ng quyn chn mua kiu Chu u;
9
DHVP - Empirics.net
c EMISCOM, 4/2006

C l gi hp ng quyn chn mua kiu M;
p l gi hp ng quyn chn bn kiu Chu u;
P l gi hp ng quyn chn bn kiu M;
X l gi thc hin quyn chn (c mua v bn); v
S l gi c phiu thi im hin ti;
ST l gi c phiu thi im T ;
r l li sut phi ri ro trn th trng;
T l thi im o hn;
t l thi im hin ti;
l bt n ca gi c phiu.
Lu : r l li sut danh ngha, khng phi li sut thc. Ta, do , c th gi nh
r > 0.
Giao dch quyn chn
nh ngha 1 Gi s S l gi tr ca mt ti sn v S dao ng bt nh ph thuc

vo tc ng ca th trng. T l thi gian o hn. Mt quyn chn l mt hp ng
gia ngi nm gi v ngi vit, bt u c hiu lc t thi im t = 0, trong
ngi nm gi quyn chn c quyn i mt li nhun X ngu nhin no . X ph
thuc vo s tin trin ca S ti mt thi im trong tng lai, bao gm c thi im
T.
Nh vy, quyn chn bn cht l mt v c cc tinh vi. Ta c th c ngay mt s
kt lun : Th nht, hp ng quyn chn phi c mt gi tr nht nh i vi nm
gi n. Ngi vit hp ng c th nh ph rt cao phng v nhm chng li ri
ro chi tr nhiu mt cch thng xuyn. Nhng nu nh vy th ngi vit hp ng
dng nh c li hn v th trng s x bn quyn chn ch khng mua. Ngc
li, nu ngi bn quyn chn khng a ra mt mc gi cao... Nhng khch hng
tham vng s tm c hi mua quyn chn vi s lng ln. C hai trng hp trn
cha nhng v d v u c, trong khi nhng nh u t khc trn th trng th u
mong mun mt c ch xc lp gi cng bng.
Bn cht l mt cng c ti chnh, u im ca quyn chn th hin trong 3 hnh
thc giao dch ca 3 nhm ngi trn th trng quyn chn:
10
DHVP - Empirics.net
c EMISCOM, 4/2006
3. GIAO DCH QUYN CHN

Ngi phng h. Nhng ngi ny mua quyn chn nh mt dng hp ng bo
him trc nhng thay i bt thng ca th trng. Nu mt cng ty c quan h
ngoi thng th n s mua hp ng quyn chn tin t c chi tr mt khon
chc chn khi t gi hi oi tr nn bt li. Theo cch ny, bn c th phng v nhiu
hay t ty thuc vo vic bn mua quyn chn tr gi bao nhiu. V d, nu ta mun
nhp khu 1 t yn hng in t ca Nht trong thi hn 1 nm k t by gi vi t gi
200 yn/bng, c th thc hin mt quyn chn cam kt chi tr cho bn 1 t yn sau
mt nm nu t gi hi oi ch cn 181.23 yn/bng ti bt k thi im no trong 1
nm . iu ny c ngha l, khi gi ng yn tng tng i vi ng bng th tan c
th thc thi quyn chn v mua hng ha. Cn nu t gi tip tc duy tr mc thp
th ta s mt s tin b ra mua quyn chn v s mua hng ti t gi m ta sn sng
chi tr. Chi ph ca chin lc phng h ny ch l mua mt quyn chn vi gi tng
i r so vi nhng bin ng ln ca th trng tin t.
Nh u c. L nhng ngi nh cc vo s bin ng ca gi cc loi ti sn.
H tham gia vo mt v th nht nh th trng ty thuc vo nim tin ca mnh, l
hoc li hon ton ngu nhin. H coi chng khon phi sinh nh mt cng c tng ga
cho hot ng u t ca h. Bi v cc sn phm phi sinh t cc ti sn c s c kh
nng mang li li nhun nhiu hn chnh cc ti sn c s . V d, bn u t 10.000
bng vo mt c phiu tr gi 10 bng mua 1.000 c phiu . Nu gi c phiu tng
ln 11 bng trong vng mt nm, bn li c 1.000 bng. Cn nu bn mua mt hp
ng quyn chn c quyn mua c phiu trn vi gi 10 bng trong mt nm, v
bn phi mt chi ph, gi s, 0.5 bng mt c phiu, bn c th mua c 20.000 nghn
c phiu. Nu gi c phiu tng ln 11 bng, bn thc thi quyn chn, mua 20.000 c
phiu vi gi 10 bng v bn li chng trn th trng vi gi 11 bng, bn s li 10.000
bng. ng nhin, nu gi c phiu tt xung ch 9.99 bng, bn s mt ton b s
tin b ra mua quyn chn.
Nhng nh c li phi ri ro. (11) L nhng ngi quan st th trng v c gng
tm ra nhng tnh hung thu li phi ri ro. H kt hp vic mua hng ha ti mt th
trng ny v bn li ti mt th trng khc sao cho chnh lch gi m bo mt
khon li. Mt v d n gin l khi mt c phiu c giao dch ti hai mc gi khc
nhau trn hai th trng. Nu mt c phiu c giao dch ti London vi gi 100 bng
v 285 mc c ti Frankfurt, trong khi t gi hi oi l 2.82 mc/bng, th c phiu
r hn tng i London. Bn c th mua 1.000 c phiu ti London v bn li
chng ti Frankfurt ri i mc c sang bng v thu c mt khon 1063.3 bng m
khng phi chu bt k ri ro no. Nhng c hi nh vy l v cng him v ngay lp
tc n b chp mt bi nhng ngi sn c hi kim li. Khi mi ngi mua c phiu
th gi s tng trn th trng London v khi mi ngi bn c phiu ti Frankfurt
th gi y cng s gim i cho n khi no gi hai ni c xc lp cn bng.
(11)
Arbitraguer
11
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Chng 2
Cc chin lc kinh doanh hp
ng quyn chn
Trng hp mt quyn chn ca mt c phiu

duy nht
C rt nhiu danh mc u t ch gm mt quyn chn trn mt c phiu(1) v chnh

c phiu . Li nhun ca nhng chin lc kinh doanh nh vy c minh ha trn
hnh 2.1. Nt t biu din mi quan h gia li nhun v gi c phiu trong danh mc,
nt lin biu din mi quan h gia li nhun v gi ca chnh danh mc . Hnh 2.1a
m t mt danh mc u t gm mt th trng v (long position (2) ) trn c phiu v
mt th on v (short position (3) ) trn quyn chn mua chnh c phiu . Ngha l,
bn ang nm gi c phiu v bn i mt hp ng quyn chn mua chnh c phiu
. Nu gi nh th trng cho php bn khng, danh mc u t c th c xc lp
bng cch bn khng mt quyn chn mua c phiu v dng lun s tin y mua
c phiu. Khi y chin lc kinh doanh l bn quyn chn khng(4) . Trong trng
hp khng cho php bn khng, danh mc u t ny tng t vi chin lc kinh
doanh bn quyn chn mua c bo m(5) . Bi v trong trng hp ny, th trng
v trn c phiu ng ngha vi vic s hu nhng c phiu v iu ny l t ri ro
hn rt nhiu so vi vic bun bn khng. N bo v nh u t khng thit hi qu
nhiu khi gi tr trng ca c phiu tr nn khng nh mong i. Nu gi c phiu
tng cao, ngi s hu quyn chn mua s thc hin mua c phiu vi gi hi. Nu
trc y bn bn khng quyn chn, khng c c phiu trong tay bn s phi chu l
ln. Nu gi c phiu gim rt thp, ngi s hu quyn chn khng thc hin quyn
chn na v bn c mt khon b l bng gi quyn chn bn. Hnh 2.1b m t
danh mc u t gm mt th on v trn c phiu v mt th trng v trn mt
(1)
Single option on a stock

Long position, gi tt l long, tng ng vi vic mua c phiu hoc quyn chn
(3)
Short position, gi tt l short, tng ng vi vic bn khng c phiu hoc bn/vit quyn chn
(4)
writing a naked option - m t mt giao dch m ngi bn quyn khng s hu ti sn c s ca
quyn chn.
(5)
Writing a covered call - nh u t c danh mc u t bao gm mt th trng v ca vi mt ti
sn kt hp vi th on v vi quyn chn mua trn chnh ti sn
(2)
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DHVP - Empirics.net
1. TRNG HP MT QUYN CHN CA MT C PHIU DUY NHT

quyn chn mua. Trong trng hp ny, danh mc u t tng ng vi mt chin
lc kinh doanh ngc vi chin lc k kt quyn chn bo m trn. Hnh 2.1c v
2.1d m t cc danh mc gm mt trng v trn c phiu kt hp vi trng v trn
quyn chn bn; v mt on v trn c phiu kt hp vi on v trn quyn chn bn.
Nhng danh mc ny tng ng vi chin lc kinh doanh quyn chn bn an ton(6) .
Hnh 2.1: Li nhun t chin lc mua bn lin quan n quyn chn n mt c phiu
(6)
Protective put option - Nh u t hin ang nm gi c phiu ng thi mua thm mt quyn chn
bn vi chnh loi c phiu .
13
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CHNG 2. CC CHIN LC KINH DOANH HP NG QUYN CHN

H thc cp i mua bn (7) cho bit mi quan h tng quan gia quyn chn bn v
mua trn cng mt c phiu gii thch hnh dng ca cc th trn. Cng thc nh
sau:
p + S = c + Xer(T t) + D
(1.1)
Trong :
p l gi quyn chn bn kiu Chu u;
c l gi quyn chn mua kiu Chu u;
S l gi c phiu;
X l gi thc thi ca c quyn chn bn v mua;
r l li sut phi ri ro;
T l thi im o hn; v
D l gi tr hin ti ca c tc (8) .
Phng trnh 1.1 cho bit gi tr mt danh mc gm trng v trn quyn chn bn
v trng v trn c phiu tng ng vi mt trng v trn quyn chn mua c phiu
v mt lng tin mt l Xer(T t) + D. iu ny gii thch v sao hnh 2.1c c dng
ging vi th biu din li nhun ca vic mua quyn chn mua v hnh 2.1a ging
vi th li nhun ca vic bn quyn chn bn. Hnh 2.1d v 2.1b c gii thch
ngc li.
Mua bn song hnh
Chin lc mua bn song hnh l chin lc s hu cng mt v th trn hai quyn

chn cng loi hoc nhiu hn ca cng mt loi ti sn c s. Ngha l cng mua hoc
cng bn cc quyn chn mua hoc quyn chn bn trn cng mt loi ti sn.
2.1
Mua bn theo chiu ln
(9)
Mt trong nhng chin lc mua bn ph bin nht l chin lc mua bn theo

chiu ln. Chin lc ny c thc hin bng cch mua quyn chn mua mt c phiu
ti mt mc gi thc hin nht nh v bn quyn chn mua chnh loi c phiu ti
mc thc hin cao hn. C hai quyn chn mua ny u c cng ngy o hn. Chin
lc ny c minh ha trong hnh 2.2. Li nhun thu c t hai quyn chn mua
c biu din bi ng nt t.
Li nhun tng hp khi thc hin chin lc c biu din bng ng nt lin.
V gi mt quyn chn lun gim khi gi thc hin tng, nn gi tr ca quyn chn
bn i lun nh hn gi ca quyn chn c mua vo. Nh vy chin lc mua bn
(7)
Put - Call parity

D l gi tr chiu khu v hin ti ca tt c cc dng c tc trn c phiu xut hin trong tng lai.
(9)
Bull Spreads
(8)
14
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2. MUA BN SONG HNH
Hnh 2.2: Mua bn chiu ln vi quyn chn mua
Bng 2.1: Li nhun t chin lc mua bn theo chiu ln

Khong gi
Li nhun t trng v Li nhun t on v
Tng
c phiu
trong quyn chn mua trong quyn chn mua li nhun
S T X2
ST X1
X2 S T
X2 X1
X1 < ST < X2
ST X1
0
ST X1
S T X1
0
0
0
theo chiu ln cn phi c u t ban u.
Gi s rng X1 l gi thc hin ca quyn chn mua c mua vo, X2 l gi thc
hin ca quyn chn mua bn ra, v ST l gi c phiu vo ngy o hn ca quyn
chn. Bng 2.5 cho thy tng ton b li nhun thu c t chin lc mua bn theo
chiu ln trong cc tnh hung khc nhau.
Chin lc mua bn theo chiu ln hn ch c kh nng thng ln cng nh thua trng

ca nh u t. C th m t chin lc ny ging nh nh u t c c mt quyn
chn mua vi gi thc hin l X1 v quyt nh t b tim nng thng ln bng cch
bn quyn chn mua c gi thc hin l X2 (X2 > X1 ). i li, nh u t gim
bt c s tin thua l ban u bng vi mc gi ca quyn chn mua c gi thc hin
l X2 . C 3 loi chin lc mua bn theo chiu ln khc nhau:
1. C hai quyn chn ban u trng thi l - out of the money(10)
2. Mt quyn chn lc u trng thi l - out of the money), quyn chn kia lc
u trng thi li - in the money(11)
(10)
out of the money l trng hp: vi quyn chn bn l gi thc hin thp hn gi th trng ca c
phiu; vi quyn chn mua l gi thc hin cao hn gi th trng ca c phiu.
(11)
in the money l trng hp: vi quyn chn bn l gi thc hin cao hn gi th trng ca c phiu;
vi quyn chn mua l gi thc hin thp hn gi th trng ca c phiu.
15
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3. C hai quyn chn lc u trng thi li - in the money)
Chin lc mo him nht l chin lc u tin. Chi ph thc hin chin lc
ny rt thp, xc sut c c li nhun (= X2 X1 ) kh thp. Chin lc loi 2 v
loi 3 l nhng chin lc thn trng hn.
Chin lc mua bn theo chiu ln cng c th c thc hin bng cch mua quyn
chn bn vi gi thc hin thp v bn quyn chn bn vi gi thc hin cao (xem hnh
2.3). Khc vi chin lc mua bn s dng quyn chn mua, chin lc mua bn s
dng quyn chn bn c li ngay t u. Li nhun c c t chin lc s dng
quyn chn bn cng t hn so vi s dng quyn chn mua.
Hnh 2.3: Mua bn chiu ln vi quyn chn bn
2.2
Mua bn theo chiu xung
Ngc vi mua bn theo chiu ln, nh u t thc hin mua bn theo chiu xung(12)
vi hy vng rng gi c phiu s gim. Chin lc mua bn theo chiu xung cng
c thc hin bng cch mua v bn hai quyn chn mua vi gi thc hin khc nhau.
Trong trng hp mua bn theo chiu xung, gi thc hin ca quyn chn mua vo
cao hn gi thc hin ca quyn chn bn ra. iu ny c minh ha trong hnh 2.4,
trong li nhun c biu din bi ng nt lin. Chin lc mua bn theo chiu
xung s dng quyn chn mua s c li ngay t u v gi ca quyn chn c bn ra
cao hn gi ca quyn chn c mua vo.
Gi s rng gi thc hin l X1 v X2 vi X1 < X2 . Bng 2.2 cho thy li nhun thu
c t chin lc mua bn theo chiu xung trong cc tnh hung khc nhau. Lu
(12)
Bear Spreads
16
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2. MUA BN SONG HNH
Hnh 2.4: Mua bn chiu xung vi quyn chn bn
Bng 2.2: Li nhun t chin lc mua bn theo chiu xung

Khong gi
Li nhun t trng v Li nhun t on v
Tng
c phiu
quyn chn mua
quyn chn mua
li nhun
S T X2
ST X2
X1 ST
(X2 X1 )
X1 < ST < X2
0
X1 ST
(ST X1 )
S T X1
0
0
0
17
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trong trng hp ny, phn li ban u c tnh gp vo li nhun.
Ging nh chin lc mua bn theo chiu ln, chin lc mua bn theo chiu xung
hn ch c c hi c li ln cng nh ri ro chu thit hi ln. Chin lc mua bn theo
chiu xung c th c thc hin bng cch mua bn quyn chn bn. Nh u t
mua quyn chn bn c gi thc hin cao v bn quyn chn bn c gi thc hin thp
(xem hnh 2.5). Chin lc mua bn theo chiu xung s dng cc quyn chn bn s
c chi ph u t ban u. Thc cht l nh u t mua mt quyn chn bn vi gi
thc hin xc nh v t b li nhun tim nng khi bn quyn chn bn khc vi gi
thc hin thp hn. i li, nh u t phi b tin ra b vo gi chnh lch gia
hai quyn chn.
Hnh 2.5: Mua bn chiu xung vi quyn chn mua
2.3
Mua bn quyn chn lin hp
Chin lc mua bn quyn chn lin hp(13) l khi thc hin mua bn cc quyn chn
vi ba mc gi thc hin khc nhau. C th thc hin chin lc ny bng cch mua
mt quyn chn mua vi gi thc hin X1 thp; ng thi mua mt quyn chn mua vi
gi thc hin X3 cao; v bn hai quyn chn mua vi gi thc hin X2 trong khong t
X1 n X3 . Nhn chung, c th chn X2 gn bng gi c phiu hin ti. Dng li nhun
c c t chin lc ny c biu din trong hnh 2.6. Chin lc mua bn quyn
chn lin hp c th sinh ra li nhun nu gi c phiu ng mc gn X2 , nhng s
gy thit hi nu gi c phiu tng hay gim ng k. Do y l mt chin lc thch
hp cho nh u t nu gi c phiu khng c xu hng thay i ng k. Chin lc
ny cng i hi u t ban u. Li nhun c c t chin lc ny c m t trong
bng 2.3.
Chin lc mua bn quyn chn lin hp cng c th thc hin vi quyn chn bn.
Nh u t mua quyn chn bn vi gi thc hin thp, mua thm mt quyn chn bn
(13)
Butterfly Spreads
18
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2. MUA BN SONG HNH
Hnh 2.6: Mua bn lin hp vi quyn chn mua
Khong gi
c phiu
ST X1
X1 < ST X2
X2 < ST X3
ST > X3
Bng 2.3: Li nhun t chin lc mua bn lin hp

Li nhun t
Li nhun t
Li nhun t
Tng
trng v
trng v
on v
li nhun(14)
quyn chn mua quyn chn mua quyn chn mua
th nht
th hai
0
0
0
0
S T X1
0
0
ST X1
S T X1
0
2(ST X2 )
X3 S T
S T X1
ST X3
2(ST X2 )
0
19
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vi gi thc hin cao, v bn hai quyn chn bn vi gi thc hin trung bnh. iu ny
c m t trong hnh 2.7.
Hnh 2.7: Mua bn lin hp vi quyn chn bn
Chin lc mua bn lin hp cng c th c thc hin theo kiu ngc li. Nh
u t bn quyn chn mua vi gi thc hin X1 v X3 , v mua hai quyn chn vi
gi thc hin X2 nm trong khong X1 , X3 . Chin lc ny s mang li mt khon li
nhun khim tn nu gi c phiu thay i ng k.
2.4
Mua bn song hnh theo lch
Trong cc chin lc mua bn trc, tt c cc quyn chn u c cng thi im o

hn. Trong chin lc mua bn song hnh theo lch(15) , cc quyn chn c cng mc
gi thc hin nhng o hn nhng thi im khc nhau.
Chin lc mua bn song hnh theo lch c th c thc hin bng cch bn mt
quyn chn mua vi mt gi thc hin nht nh v mua mt quyn chn mua khc vi
cng gi thc hin nhng c thi im o hn lu hn. Thi im o hn cng lu
th gi ca quyn chn cng cao. Do chin lc ny cn phi u t ban u. Gi s
rng quyn chn o hn mun hn c bn vo thi im o hn quyn chn o
hn sm hn, li nhun c c t chin lc ny c minh ha trong hnh 2.8. Hnh
ny trng gn ging nh hnh 2.6 biu din li nhun ca chin lc mua bn quyn
chn lin hp. Nh u t c li nhun nu gi c phiu thi im o hn ca quyn
chn o hn sm hn gn bng gi thc hin ca quyn chn ny. Ngc li nh u
t s b l nu gi c phiu cao hay thp hn gi thc hin.
c th hiu c c cu li nhun t chin lc mua bn song hnh theo lch,
u tin xem xt trng hp gi c phiu thp vo thi im o hn ca quyn chn
(15)
Calendar Spreads
20
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2. MUA BN SONG HNH
Hnh 2.8: Mua bn theo lch vi hai quyn chn mua
o hn sm hn. Lc ny quyn chn ny v gi tr v quyn chn o hn lu hn c

gi tr gn bng 0. Do , nh u t chu l mt khon t hn khon u t ban u
mt cht. Tip tc xem xt trng hp nu gi c phiu ST cao vo thi im o hn
ca quyn chn o hn sm hn. Chi ph ca quyn chn o hn sm m nh u
t phi chu l ST X v gi tr ca quyn chn o hn mun cao hn ST X mt
cht (X l gi thc hin ca quyn chn). Nh vy nh u t li phi chu mt tn tht
rng thp hn chi ph u t ban u mt cht. Nu ST gn bng X, chi ph ca quyn
chn o hn sm i vi nh u t hoc l rt t, hoc bng khng. Trong khi gi
tr ca quyn chn o hn mun li kh cao. Trong trng hp ny nh u t c li
nhun rng ng k.
Trong mt chin lc mua bn song hnh trung lp (16) , nh u t chn gi thc
hin gn bng gi c phiu. Chin lc mua bn song hnh theo chiu ln (17) c gi
thc hin cao hn v chin lc mua bn song hnh theo chiu xung (18) c gi thc
hin thp hn.
Chin lc mua bn song hnh theo lch cng c th c thc hin vi quyn chn
bn. Nh u t mua quyn chn bn o hn lu hn v bn quyn chn bn o hn
sm hn. Hnh 2.9 cho thy dng li nhun ca chin lc ny gn ging chin lc s
dng quyn chn mua.
(16)
neutral calendar spread

bullish calendar spread
(18)
bearish calendar spread
(17)
21
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Hnh 2.9: Mua bn theo lch vi hai quyn chn bn
Chin lc mua bn theo lch ngc (19) c m t ngc li vi hnh 2.8 v hnh
2.9. Nh u t mua mt quyn chn o hn sm v bn mt quyn chn o hn
mun. iu ny s mang li cho nh u t mt khon li nhun nh vo ngy o hn
ca quyn chn o hn sm nu gi c phiu kh cao hoc kh thp hn gi thc hin
ca quyn chn. Ngc li, nh u t s thit hi nu gi c phiu gn vi gi thc
hin.
2.5
Mua bn theo t l
Chin lc mua bn theo t l (20) gn tng t nh mua bn c bo m (21) . Chin lc

mua bn theo t l ny thng c coi l chin lc trung ho, nhng vic thay i s
lng nhng quyn chn th on v s lm thay i bn cht ca chin lc. Chin
lc mua bn theo t l chung nht c hiu s (22) gia hai v th bng 0. Khi thay i s
lng quyn chn th on v s lm thay i hiu s ny. Gi s nh u t mun
mua bn theo t l. Ch cn gim i 1 quyn chn th on v, chin lc ny chuyn
thnh chin lc mua bn theo chiu ln. Ngc li, nu bn nhiu quyn chn hn,
lm cho hiu s chuyn t 0 sang m, th chin lc chuyn thnh chin lc mua bn
theo chiu xung.
Nhn chung, thc hin chin lc ny c ngha nh u t phi to lp mt v th
trung ho hiu s. Khi nh u t mun thc hin mua bn theo t l, tm hiu s gia
(19)
reverse calendar spread

ratio spread
(21)
covered write
(22)
delta
(20)
22
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3. CHIN LC KINH DOANH KT HP

hai v th xem liu v th cui cng l trng v hay on v, v liu v th c ph
hp vi quan im hay chin lc th trng ca nh u t hay khng.
Chin lc mua bn theo t l c coi l mt chin lc trung ho, v trng hp
mang li li nhun ti a nm trong khong gi thc hin (23) chn. Trn thc t,
nh u t mong mun gi chng khon n nh khi thc hin chin lc mua bn theo
t l. Tuy nhin, lu rng khi gi ti sn c s vn nm trong khong gi thc hin,
nh u t c li nhiu t quyn chn on v hn l t quyn chn trng v.
Mt trong nhng c im quan trng ca chin lc mua bn theo t l l chin
lc ny ch l khi gi thay i mt chiu. Nh u t ch mt tin khi gi thay i theo
chiu hng gi thc hin quyn chn th on v.
Li nhun ti a bng s quyn chn mua hoc bn th trng v nhn vi khong
gi im, tr i (cng vo) phn c (n) ban u.
Vi chin lc mua bn quyn chn mua theo t l, gi tr ti im ho vn (24) theo
chiu ln bng gi thc hin cao nht cng vi thng s ca php chia li nhun ti
a cho s lng quyn chn khng.
Vi chin lc mua bn quyn chn bn theo t l, gi tr ti im ho vn theo chiu
xung bng gi thc hin thp nht tr i thng s ca php chia li nhun ti a cho
s lng quyn chn khng.
2.6 Chin lc mua bn chnh lch theo ng cho

Trong chin lc mua bn theo chiu ln, theo chiu xung hay theo lch u s dng
s chnh lch v cc tham s gia cc quyn chn c mua v bn. Trong trng hp
mua bn theo chiu ln v xung, cc quyn chn c cng mt ngy o hn v chnh
lch v gi thc hin. Trong trng hp mua bn theo lch, cc quyn chn c cng mt
gi thc hin v khc ngy o hn. Vi chin lc mua bn chnh lch theo ng
cho(25) , tt c cc tham s nh gi thc hin v ngy o hn ca cc quyn chn u
khc nhau. C mt s cch khc nhau thc hin chin lc ny. Li nhun thu c
thng thay i ty theo dng chin lc p dng tng t kiu mua bn theo chiu
ln hay theo chiu xung.
3 Chin lc kinh doanh kt hp

Chin lc kinh doanh kt hp l chin lc mua bn c quyn chn mua v bn cng
mt loi chng khon c s.
(23)
strike price
break-even point
(25)
Diagonal Spreads
(24)
23
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Hnh 2.10: Mua bn chnh lch theo ng cho
Bng 2.4: Li nhun t chin lc mua hng hai

Khong gi
Li nhun t
Li nhun t
Tng
c phiu
quyn chn mua quyn chn bn li nhun
ST X
0
X ST
X ST
ST > X
ST X
0
ST X
3.1
Chin lc mua hng hai
Mt trong nhng cch kt hp ph bin l chin lc mua hng hai(26) . Chin lc ny

thc hin bng cch mua c quyn chn mua v bn vi cng mt gi thc hin v ngy
o hn. Li nhun c biu din trn hnh 2.10, vi gi thc hin l X. Nu gi chng
khon cng gn vi gi thc hin ti thi im o hn th chin lc ny s dn ti
thit hi. Song nu gi chng khon tng gim ng k th s c li nhun. Li nhun
t chin lc c lit k trong bng 2.4.
Chin lc mua hng hai ph hp khi nh u t nhn thy gi c phiu s bin ng

mnh song khng chc chn s bin ng theo hng no.
Chin lc mua hng hai thch hp vi c phiu ca cng ty chun b c tip qun.
Nu qu trnh tip qun thnh cng, gi c phiu c th tng t bin. Ngc li nu
khng thnh cng, gi c phiu c th gim nhanh chng. Trong thc t kh m kim
tin d dng nh vy. Gi ca quyn chn vi cc c phiu c gi dao ng mnh nh
vy thng l cao so vi cc c phiu c gi d on khng bin ng.
Chin lc mua hng hai trong hnh 2.10 i khi cn c gi l bottom straddle
hay straddle purchase. Ngc li l chin lc top straddle hay straddle write. Chin
(26)
Straddle
24
DHVP - Empirics.net
c EMISCOM, 4/2006
3. CHIN LC KINH DOANH KT HP

lc ny thc hin bng cch bn quyn chn mua v bn vi cng mt gi thc hin v
ngy o hn. y l mt chin lc c ri ro cao. Nu gi c phiu vo thi im
o hn gn vi gi thc hin th s c li nhun ng k. Song nu gi c phiu chnh
lch ng k v c 2 pha th thit hi s kh ln.
3.2 Chin lc Strips v Straps

Chin lc strip bao gm mt th trng v trong mt quyn chn mua v hai quyn
chn bn vi cng mt gi thc hin v ngy o hn. Chin lc strap bao gm mt
th trng v trong hai quyn chn mua v mt quyn chn bn vi cng mt gi thc
hin v ngy o hn. M hnh li nhun ca hai chin lc ny c m t trong hnh
2.11. Trong chin lc strip, nh u t t cc vo s tng gi ng k ca c phiu,
trong khi kh nng gim gi ln hn kh nng tng gi. Trong chin lc strap, nh
u t cng t cc vo s tng gi ng k ca c phiu. Song trong trng hp ny,
kh nng tng gi c phiu ln hn kh nng gim gi.
Hnh 2.11: Li nhun t chin lc Strips v Straps
3.3 Chin lc mua bn hn hp

Trong chin lc mua bn hn hp(27) , i khi cn gi chin lc mua bn kt hp
thng ng t y (28) , mt nh u t mua mt quyn chn bn v mt quyn chn
mua vi cng mt ngy o hn nhng gi thc hin khc nhau. M hnh li nhun
c m t trong hnh 2.12. Gi thc hin quyn chn mua X2 cao hn gi thc hin
quyn chn bn X1 . Hm li nhun ca chin lc mua bn hn hp ny c cho
trong bng ??.
(27)
(28)
Strangles
bottom vertical combination
25
DHVP - Empirics.net
c EMISCOM, 4/2006
Hnh 2.12: Li nhun t chin lc mua bn hn hp
Bng 2.5: Li nhun t chin lc mua bn theo hn hp

Khong gi
Li nhun t
Li nhun t
Tng
c phiu
quyn chn mua quyn chn bn li nhun
ST X
0
X1 ST
X1 S T
X1 < ST < X2
0
0
0
S T X2
S T X2
0
ST X2
Chin lc mua bn hn hp gn tng t nh chin lc mua hng hai. Nh u
t t cc vo s tng gi ng k nhng khng chc chn c c phiu s tng hay
gim gi. So snh hnh 2.12 v hnh 2.10, c th thy cho nh u t c li nhun
th gi c phiu trong chin lc mua bn hn hp phi tng mnh hn trong chin
lc mua hng hai. Tuy nhin trong trng hp gi c phiu khng tng ng k th
vi cng mt gi c phiu, nh u t thc hin chin lc mua bn hn hp s chu l
t hn chin lc mua hng hai.
M hnh li nhun ca chin lc mua bn hn hp ph thuc vo khong cch gia
hai gi thc hin. Khong cch ny cng ln th ri ro cng t v c li nhun th gi
c phiu cng phi tng nhiu hn.
Vic kinh doanh chin lc mua bn hn hp i khi cn c gi l chin lc
mua bn kt hp thng ng t nh (29) . Chin lc ny thch hp vi nh u t c
phn on gi c phiu s gim. Du sao, ging nh kinh doanh mua hng hai, y l
mt chin lc mo him v kh nng l ca nh u t l khng gii hn.
(29)
top vertical combination
26
DHVP - Empirics.net
c EMISCOM, 4/2006
Chng 3
nh gi quyn chn
Vic ng dng ton hc vo trong ti chnh bt u c tip cn t th k 19. M

u bng pht hin ca Bachelier rng gi chng khon c dao ng gn ging vi
chuyn ng Brown trong vt l. ng cng gi rng vi mt cht chnh sa, chuyn
ng Brown c th m hnh ha kh chnh xc dao ng gi chng khon. Tuy nhin,
y khng phi l mt m hnh ph hp hon chnh v n cho php gi chng khon
nhn gi tr m. n nhng cui nhng nm 1965, khi Samuelson a ra kin rng c
th dng chuyn ng Brown ly tha hoc hnh hc th m hnh s ph hp hn. K t
y, lch s ngnh ton hc ti chnh chnh thc bt u. Cng vo nm ny, McKean,
nh xc sut hc ni ting, a ra phng n nh gi quyn chn mua kiu M da
trn l thuyt ton hc. ng xem xt vn nh gi nh mt kiu vn Dirichlet,
mt lp vn ni ting trong l thuyt vt l thng k. Nhng quan st ny vn cn
nh hng ln cho n nay. y cng l im khi u cho cc cng trnh nghin cu
ca Black - Scholes v nhng nh khoa hc khc sau ny.
Bi bo u tin v cng trnh nghin cu ca Black - Scholes b t chi ng ti

rt nhiu tp ch. Ngi ta khng nhn ra gi tr thc ca n ch v mt l do rt
c in: n i trc thi i. Phi n nm 1973, ngi ta mi l gii c cng thc
trong bi bo , khi p dng nh gi quyn chn kiu chu u trong mi trng
ton hc n gin. Cng thc ny by gi c bit n nh cng thc nh gi ca
Black - Scholes. Khng lu sau , Merton c cng trnh nghin cu m rng kt
qu trn. Cng trnh nghin cu ca c ba nh khoa hc ny xy dng y mt
c ch ngu nhin nh gi quyn chn. Gii Nobel Kinh t nm 1997 c trao
cho Scholes v Merton v thnh tu ny. Tic rng, Black cht trc v khng
th c tn vinh nh vy.
27
DHVP - Empirics.net
CHNG 3. NH GI QUYN CHN
Mt s tnh cht c bn ca hp ng quyn chn

c phiu
1.1
Cc gii hn trn
Trn th trng, d trong tnh hung no th gi quyn chn cng khng th vt qua
gi c phiu. Do , chng ta c:
cS
v C S;
pX
v P X
(1.1)
Chng minh: Gi s c > S, khi chng ta c th tn dng c hi kinh doanh

chnh lch gi bng cch mua khng mt c phiu v bn quyn chn mua trn chnh
c phiu . V thng tin trn th trng s nhanh chng c tn dng, v c hi kinh
doanh c li nh trn s khng tn ti c lu.
Ngoi ra, i vi quyn chn bn kiu Chu u, ti thi im o hn T khng th
c gi tr ln X nn gi quyn chn ny cng khng th c gi tr ln hn gi tr hin ti
ca X, PV(X). Theo :
P Xer(T t)
Chng minh: Nu gi thit trn khng c tha mn, ta c th tn dng c li
bng cch bn khng mt quyn chn kiu Chu u ly P v cho vay P vi li sut phi
ri ro trn th trng. n thi im o hn, thc thi quyn chn vi gi X v nhn
c phn li vn cng vi li sut thu c trn khon cho vay.
1.2
Gii hn di ca quyn chn khng tr c tc
1. i vi quyn chn mua kiu Chu u

c > S Xer(T t)
(PV(X))
(1.2)
Chng minh: Lp hai danh mc u t A v B nh sau:

A gm 1 quyn chn mua v mt khon tin tr gi Xer(T t)
B gm 1 c phiu
Gi t l mt thi im bt k no trong k hn ca quyn chn; v T l thi
im o hn ca quyn chn y, ta c:
Danh mc
Gi tr ti t
A
B
c + Xer(T t)
S
Gi tr ti T
ST < X ST > X
0+X
ST
ST
ST
Ti T, gi tr A gi tr B. Nn ti t gi tr A > B. D dng chng minh

c + Xer(T t) > ST .
28
DHVP - Empirics.net
c EMISCOM, 4/2006
1. MT S TNH CHT C BN CA HP NG QUYN CHN C PHIU

2. i vi quyn chn bn kiu Chu u
Gii hn di ca quyn chn bn kiu Chu u khng chi tr c tc l:
P > Xer(T t)
(1.3)
Bng cch lp hai danh mc tng t nh trn vi quyn chn bn, ta c th d

dng chng minh c iu ny.
3. i vi quyn chn mua kiu M
i vi quyn chn mua kiu M khng nn thc hin sm, v thc hin sm
khng ti u.
Chng minh: Thit lp 2 danh mc u t
A gm 1 quyn chn mua kiu M v 1 khon tin Xer(T t) ;
B gm 1 c phiu
0
Gi s ti thi im t < T no ngi nm gia quyn chn mua thc thi quyn
chn vi iu kin gi c phiu ln hn gi thc thi, St0 > X. Ta c:
Danh mc
Gi tr ti t
A
C + Xer(T t)
B
S
So snh
Gi tr ti t
0
(St0 X) + Xer(T t )
St0
Gi tr B > gi tr A
Gi tr ti T
Max (ST , X)
ST
Gi tr A gi tr B
Cho d ti t gi c phiu c vt qu gi thc hin quyn chn mua, cng khng

nn thc hin sm. V gi tr ca danh mc B vn ln hn danh mc A. Nu c
thc hin, nn thc hin ti thi im o hn. Nh vy, gi ca quyn chn mua
kiu Chu u v quyn chn mua kiu M l nh nhau. Hay C = c. Theo , gii
hn di ca quyn chn mua kiu M khng tr c tc s l:
C > S Xer(T t)
(PV(X))
(1.4)
4. i vi quyn chn bn kiu M

Gii hn di l:
P SX
(1.5)
Chng minh: Bng cch lp 2 danh mc u t A v B

A gm 1 quyn chn bn kiu M v 1 c phiu;
B gm 1 khon tin Xer(T t) .
Tnh ton tng t ta chng minh c P > S Xer(T t) . Khi t tin n T th
P > S X.
29
DHVP - Empirics.net
c EMISCOM, 4/2006
1.3
Gii hn di ca quyn chn tr c tc
1. i vi quyn chn mua kiu Chu u

Gi D l gi tr hin ti ca khon c tc phi tr. D thy gii hn di ca gi
quyn chn ch thay i: c > S D Xer(T t) .
2. i vi quyn chn bn kiu Chu u
p > D + Xer(T t) S.
3. i vi quyn chn mua kiu M: trong trng hp c tr c tc th quyn chn
bn kiu M c th c thc hin trc thi hn v khi tr c tc, gi s gim.
4. i vi quyn chn bn kiu M: cc bt ng thc trn khng cn ng na.
1.4
Mi quan h gia quyn chn mua v quyn chn bn
i vi nhng cp quyn chn mua v quyn chn bn trn cng mt loi c phiu v
c cng thi gian o hn s c nhng h thc lin h gi ca chng. Cc quyn chn
kiu Chu u do thi im thc hin l xc nh nn tn ti cc ng thc cho php
ta tnh ton gi ca quyn chn mua thng qua gi quyn chn bn hoc ngc li. Cn
i vi nhng cp quyn chn kiu M, ch tn ti nhng bt ng thc cho php xc
nh mi quan h m thi.
H thc cp i mua bn vi quyn chn kiu Chu u
Trong trng hp khng c c tc
c + Xer(T t) = p + S
(1.6)
Nh vy, h thc trn cho php tnh ton gi mt quyn chn mua nu bit gi quyn
chn bn trn cng mt loi c phiu (hay c th m rng cho cng mt loi ti sn c
s) vi cng mt thi gian o hn.
chng minh h thc ny, ta tnh ton tng t nh trn vi gi tr ca 2 danh
mc u t tng ng A v B:
A gm 1 quyn chn bn v 1 khon tin Xer(T t) ;
B gm 1 quyn chn mua v 1 c phiu.
Trong trng hp tr c tc
H thc cp i mua bn tr thnh:
c + Xer(T t) + D = p + S
(1.7)
Cc bt ng thc lin quan n quyn chn kiu M

S Xer(T t) > C P > S X
(1.8)
S D X < C P < S Xer(T t)
30
DHVP - Empirics.net
(1.9)
c EMISCOM, 4/2006
2. NH GI QUYN CHN
2 nh gi quyn chn
2.1 nh gi quyn chn cy nh phn
Mt k thut nh gi chng khon hay cc cng c phi sinh rt hu hiu v ph bin
l cy nh phn.
M hnh quyn chn cy nh phn mt bc
Gi s gi c phiu hin ti l $20 v sau 3 thng c th l $22 v $18. Gi thit rng c
phiu khng tr c tc v nh gi mt quyn chn chu u mua c phiu ny vi gi
$21 vi thi gian o hn l 3 thng. Quyn chn ny s c mt trong hai gi tr sau 3
thng na. Nu gi c phiu tng ln $22 th gi ca quyn chn s l $1; ngc li nu
gi c phiu gim xung $18 th gi ca quyn chn bng khng. iu ny c minh
ha trong hnh 3.1.
Hnh 3.1: Minh ho bng s thay i gi c phiu
Lun c nh gi quyn chn ny khng phc tp, gi nh rng nh u t khng

c c hi kinh doanh da vo chnh lch gi. Chng ta lp mt danh mc u t ca
c phiu v quyn chn sao cho gi danh mc u t sau 3 thng na c xc nh c
th. V danh mc u t khng c ri ro, cho nn li nhun thu c phi bng t l li
sut phi ri ro. iu ny gip gim chi ph lp danh mc u t v do gim c gi
ca quyn chn. V ch c hai loi chng khon (l c phiu v quyn chn) v ch c
hai h qu, nn c th a ra mt danh mc u t phi ri ro.
Hy xem xt mt danh mc u t bao gm mt th trng v trong c phiu v
mt th on v trong mt quyn chn mua. Tnh c gi ca cho danh mc u
t ny l phi ri ro. Nu gi c phiu tng t 20 n 22, th gi ton b c phiu l 22
v gi ca quyn chn l 1, do vy tng gi tr ca danh mc u t l 22 1. Nu gi
ca c phiu gim t 20 xung 18 th gi ca ton b c phiu l 18 v gi ca quyn
chn l 0, do tng gi tr ca danh mc u t l 18. Danh mc u t l phi ri
ro nu gi tr ca c chn sao cho tng gi tr ca danh mc u t khng i bt
k gi c phiu thay i th no, c ngha l:
31
DHVP - Empirics.net
c EMISCOM, 4/2006

22 1 = 18
hay:
= 0.25
Do , mt danh mc u t phi ri ro l:
Th trng v: 0.25 c phiu
Th on v: 1 quyn chn
Nu gi c phiu ln ti 22, gi tr ca danh mc u t l:
22 0.25 1 = 4.5
Nu gi c phiu gim xung 18, gi tr ca danh mc u t l:
18 0.25 = 4.5
Nh vy l d gi c phiu tng hay gim, gi tr ca danh mc u t lun l 4.5 vo
thi im o hn.
Trong trng hp khng c c hi kinh doanh da vo chnh lch t gi th danh
mc u t phi ri ro phi c li sut phi ri ro. Gi thit trong trng hp ny li sut
phi ri ro l 12% mt nm. C ngha l gi tr hin ti ca danh mc u t tng ng
vi gi tr 4.5 sau 3 thng l:
4.5e0.120.25 = 4.367
Gi tr ca c phiu ti thi im hin ti l 20. Gi s gi c phiu c th hin
bng f. Do , gi tr ca danh mc u t hin ti l:
20 0.25 f = 5 f
suy ra:
f = 0.633
iu ny chng t rng nu khng c c hi kinh doanh da trn chnh lch v t
gi th gi tr hin ti ca quyn chn phi l $0.633. Nu gi tr ca quyn chn ln
hn $0.633, chi ph lp danh mc u t nh hn $4.367 v s c li cao hn li sut
phi ri ro. Nu gi tr ca quyn chn nh hn $0.633, bn khng danh mc u t l
cch vay mt khon tin vi li sut thp hn li sut phi ri ro.
32
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
Tng qut ha C th tng qut ha quan im trn bng cch xem xt mt c phiu
khng tr c tc, gi c phiu l S v mt cng c phi sinh vi c phiu c gi hin
thi l f . Thi im hin ti l mc thi gian. Gi thit rng cng c phi sinh cho li
nhun vo thi im T , v rng trong thi gian tn ti cng c phi sinh, gi c phiu
c th tng t S ln Su hoc gim t S xung Sd (u > 1; d < 1). Gi c phiu tng t l
thun khi xu hng i ln l u - 1; gi gim t l thun khi i xung l 1 - d . Nu gi c
phiu tng ln Su , gi thit rng li nhun thu c t cng c phi sinh l fu ; nu gi
c phiu gim xung Sd , gi thit rng li nhun thu c t cng c phi sinh l fd .
Tnh hung ny c m t trong hnh 3.2.
Hnh 3.2: Gi c phiu v cng c phi sinh trong cy nh phn mt bc
Vn nh trn, xem xt mt danh mc u t bao gm mt th trng v vi c

phiu v mt th on v vi mt cng c phi sinh. Tnh ton gi tr ca sao cho
danh mc u t l phi ri ro. Nu gi c phiu tng th gi tr ca danh mc u t
vo thi im o hn ca cng c phi sinh l:
Su fu
Nu gi c phiu gim th gi tr ny tr thnh:
Sd fd
t hai i lng ny bng nhau:
Su fu = Sd fd
hay:
fu fd
Su Sd
33
DHVP - Empirics.net
(2.10)
c EMISCOM, 4/2006

Trong trng hp ny danh mc u t l phi ri ro v phi c li sut phi ri ro.
Cng thc 2.10 cho thy l t l thay i trong gi cng c phi sinh so vi gi ca
chng khon khi thay i t nt ny sang nt kia ti thi im T.
t r biu din t l li sut phi ri ro, gi tr hin ti ca danh mc u t l:
(Su fu )erT
Gi tr lp danh mc u t l:
S f
Kt qu l:
(Su fu )erT = S f
Thay t phng trnh 2.10 v n gin ha, cn li
f = erT [pfu + (1 p)fd ]
(2.11)
Trong
erT d
p=
(2.12)
ud
Cng thc 2.11 v 2.12 gip nh gi mt cng c phi sinh s dng m hnh cy nh
phn mt bc.
Xt li v d vi s c th xem xt trn, vi u = 1.1, d = 0.9, r = 0.12, T =
0.25, fu = 0. T cng thc 2.12:
p=
e0.03 0.9
1.10.9
= 0.6523
v t cng thc 2.11

f = e0.03 [0.6523 1 + 0.3477 0] = 0.633
Kt qu ny cng trng vi kt qu tnh phn trc.
S khng thch hp trong cch tnh li nhun k vng ca c phiu Cng
thc nh gi cng c phi sinh 2.11 khng tnh n kh nng gi c phiu tng hay
gim. V d, theo cng thc ny th khi xc sut gi c phiu tng l 0.5 hay 0.9 s vn
tnh ra cng mt gi quyn chn chu u. iu ny tht khng hp l. Gi nh rng
khi gi c phiu tng th ng nhin gi tr ca quyn chn mua c phiu tng v
gi tr quyn chn bn gim.
L do ch yu l chng ta khng nh gi quyn chn theo nh ngha tuyt i.
Chng ta tnh ton gi tr ca n da trn gi ca chng khon c s. Kh nng gi tng
hay gim c xem xt da trn gi c phiu. iu c ngha l chng ta khng
cn xem xt n thay i gi ca quyn chn khi nh gi quyn chn da trn gi
c phiu.
34
DHVP - Empirics.net
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2. NH GI QUYN CHN
nh gi trung lp ri ro
(1)
Mc d khng cn phi gi nh v xc sut tng hay gim gi rt ra c cng

thc 2.11 song cng c th coi bin p trong cng thc 2.11 l xc sut gi c phiu tng.
Do bin 1 - p l xc sut gi c phiu gim v cng thc
pfu + (1 p)fd
l li nhun k vng t cng c phi sinh. Theo cch hiu bin p nh vy, cng thc
2.11 cho thy gi tr ca cng c phi sinh thi im hin ti chnh l gi tr k vng
tng lai khu tr li phi ri ro.
Chng ta li xem xt s tin thu vo k vng t c phiu khi xc sut gi c phiu
tng l p. Gi c phiu k vng ti thi im T, E(ST ) c tnh bng:
E(ST ) = pSu + (1 p)Sd
hoc
E(ST ) = pS(u d) + Sd
Thay p t cng thc 2.12 vo s c
E(ST ) = SerT
(2.13)
cho thy gi c phiu tng trung bnh ti li sut phi ri ro. Nh vy gi nh xc sut
gi c phiu tng bng p tng ng vi gi nh li sut ca c phiu bng li sut
phi ri ro.
Chng ta s xem xt mt mi trng m mi ngi u khng b cc ri ro nh
hng n, gi tn l mi trng trung lp cc ri ro (2) . Trong mi trng cc nh
u t khng phi bi thng ri ro, v li sut k vng ca tt c mi chng khon u
l li sut phi ri ro. Cng thc 2.13 cho thy gi thit gi c phiu tng vi xc sut l
p. Cng thc 2.11 cho thy gi tr ca cng c phi sinh l li nhun k vng trong mt
mi trng trung lp cc ri ro khu tr li phi ri ro.
Kt qu ny l mt v d minh ho cho mt nguyn tc chung ca nh gi quyn
chn, gi l nguyn tc nh gi trung lp ri ro.
Xem xt li v d v cy nh phn mt bc minh ha r hn nguyn tc
nh gi trung lp ri ro, hy xem xt li v d c m t trong hnh 3.1. Gi ca c
phiu hin ti l $20 v s c th tng ln $22 hoc gim xung $18 sau thi hn 3
thng. Cng c phi sinh c xem xt y l quyn chn mua chu u vi gi thc
hin l $21 v thi gian o hn l 3 thng. Li sut phi ri ro l 12%/nm.
(1)
(2)
Risk-Neutral Valuation
risk-neutral world
35
DHVP - Empirics.net
c EMISCOM, 4/2006

Chng ta biu din xc sut gi c phiu tng trong mi trng trung lp ri ro l p.
Trong mi trng ny t sut li nhun k vng ca c phiu phi bng li sut phi ri
ro, 12%. iu ny c ngha l p tha mn
22p + 18(1 p) = 20e0.120.25
hoc
4p = 20e0.120.25 18
Khi , p phi bng 0.6523.
Sau 3 thng, xc sut quyn chn mua tng gi ln 1 l 0.6523 v xc sut gim
gi xung 0 l 0.3477. Gi tr k vng ca quyn chn mua ny l
0.65231 + 0.3477 0 = $0.6523
Khu tr vi li sut phi ri ro th gi tr ca quyn chn hin ti l
0.6523e0.120.25
hay bng $0.633. Gi tr ny bng gi tr tnh ra lc trc, biu th rng gi thit
khng kinh doanh da trn chnh lch v t gi v nh gi trung lp ri ro c cng mt
kt qu.
Cy nh phn hai bc
Chng ta c th m rng phn tch cho m hnh cy nh phn hai bc nh trong hnh
3.3. y gi c phiu hin ti l $20 v ti mi bc gi c th tng hay gim 10%.
Gi s rng di ca mt bc l 3 thng v li sut phi ri ro l 12%/nm. Cng nh
trn, xem xt mt quyn chn mua vi gi thc hin l $21.
Mc tiu ca phn tch ny l tnh ton gi quyn chn ti nt u ca cy. iu
ny c th c thc hin bng cch p dng lin tip cc nguyn tc c thit lp
pha trn. Hnh 3.4 m t hnh cy ging hnh 3.3, vi gi c phiu pha trn v gi
quyn chn pha di mi nt. D tnh c gi quyn chn ti nt cui cng ca cy.
N chnh bng li nhun c c t quyn chn. nt D gi c phiu l 24.2 v gi
quyn chn l 24.2 - 21 = 3.2; ti nt E v F, quyn chn l out of the money v gi tr
ca quyn chn ny bng 0.
Ti nt C gi ca quyn chn bng 0, v nt C dn ti nt E hoc nt F, v gi quyn
chn ti hai nt ny u bng 0. Tnh ton gi quyn chn ti nt B bng cch ch
n nhnh ny ca cy trong hnh 3.5. S dng nhng gi thit trn, vi u = 1.1, d =
0.9, r = 0.12, T = 0.25, v p = 0.6523, thay vo cng thc 2.11 c gi tr ca quyn
chn ti nt B. e0.120.25 (0.6523 3.2 + 0.3477 0) = 2.0257
tnh ton gi quyn chn ti nt A ban u, tp trung vo bc u tin ca cy.
Gi tr ca quyn chn ti nt B l 2.0257 v ti nt C l 0. Do , cng thc 3.2 tnh
c gi tr ca nt A l
36
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
Hnh 3.3: Gi c phiu trong cy nh phn hai bc
Hnh 3.4: Gi c phiu v cng c phi sinh trong cy nh phn hai bc
(3)
37
DHVP - Empirics.net
c EMISCOM, 4/2006

e0.120.25 (0.65232.0257 + 0.3477 0) = 1.2823
Gi ca quyn chn l $1.2823.
Lu rng v d ny c xy dng vi u v d (t l tng v gim gi) l nh nhau
ti mi nt ca cy v vi khong thi gian t nt ny ti nt kia l nh nhau. Gi thit
ny dn n xc sut trung lp ri ro p, c tnh bng cng thc 2.12, l nh nhau cho
ton b cc nt.
Tng qut ha Tng qut ha trng hp hai bc bng cch xem xt tnh hung
trong hnh 3.6. Gi c phiu lc u l S. Sau mi khong thi gian, gi c th tng u
ln hoc gim d ln gi gc. Gi ca cng c phi sinh c ghi ch trn cy. Gi s
rng li sut phi li nhun l r v khong thi gian t nt ny ti nt kia l t nm.
ng dng cng thc 2.11
fu = ert [pfuu + (1 p)fud ]
(2.14)
fd = ert [pfud + (1 p)fdd ]
(2.15)
f = ert [pfu + (1 p)fd ]
(2.16)
Thay cng thc 2.14 v 2.15 vo 2.16

f = e2rt [p2 fuu + 2p(1 p)fud + (1 p)2 fud ]
(2.17)
iu ny ph hp vi nguyn l nh gi trung lp ri ro c cp trn y. Cc

bin p2 , 2p(1 p), v(1 p)2 l xc sut t ti cc nt cao, trung bnh v thp. Gi ca
cng c phi sinh bng vi gi li nhun k vng trong mt mi trng khng b ri ro
tc ng n.
Hnh 3.5: nh gi c phiu ti nt B
38
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
Nu tng qut ha vic s dng cy nh phn bng cch thm cc bc th nguyn
tc nh gi trung lp ri ro vn p dng c. Gi ca cng c phi sinh lun bng vi
gi li nhun k vng trong mt mi trng khng b ri ro tc ng n, tr i li phi
ri ro.
V d vi quyn chn bn
Nguyn l trn c th p dng nh gi cho bt k cng c phi sinh no ph thuc
vo c phiu c gi thay i theo kiu nh phn. Hy xem xt trng hp mt quyn
chn bn chu u vi thi hn 2 nm, gi thc hin l 52, chng khon c s c gi
hin thi l 50. Gi thit rng c hai thi k trong mt nm v mi thi k gi c phiu
c th tng vi t l 20% hoc gim vi t l 20%, li sut phi ri ro l 5%.
S hnh cy c biu din trong hnh 3.7. Gi tr ca xc sut trung lp ri ro p
c tnh bng
p=
e0.051 0.8
1.20.8
= 0.6282
Gi c phiu cui cng c th t ti l 72, 48 v 32. Trong trng hp

fu u = 0, fu d = 4, fd d = 20, vt = 1. S dng cng thc 2.17 tnh c
f = e20.051 (0.62822 0 + 2 0.6282 0.3718 4 + 0.37182 20) = 4.1923
Gi tr ca quyn chn bn l $4.1923. Cng c th tnh c kt qu ny bng cch
s dng cng thc 2.11 v ln ngc li cy theo mi thi k. Hnh 3.7 biu din gi
quyn chn mua trung gian c tnh ton.
Hnh 3.6: Gi c phiu v cng c phi sinh trong cy nh phn hai bc
39
DHVP - Empirics.net
c EMISCOM, 4/2006

Quyn chn mua kiu M
Ngoi quyn chn mua kiu chu u, phng php cy nh phn cn c dng
nh gi quyn chn mua kiu M. Quy trnh tnh ton l i t ngn n gc cy, kim
tra ti mi nt xem liu vic thc hin trc c ti u khng. Gi tr ca quyn chn
ti nt cui cng bng gi tr quyn chn kiu chu u. nhng nt pha trn gi tr
ca quyn chn l gi tr cao nht trong hai gi tr sau
1. Gi tr tnh theo cng thc 2.11.
2. Li nhun t vic thc hin trc.
minh ha, xem xt hnh 3.7 thay i ra sao khi quyn chn l kiu M ch khng
phi kiu chu u. Gi c phiu v xc sut thay i gi vn nh trc. Gi tr ca
quyn chn ti nt cui cng khng thay i. nt B, cng thc 2.11 cho gi tr quyn
chn l 1.4147, trong khi li nhun t vic thc hin trc l m (= -8). R rng l vic
thc hin trc khng ti u nt B v gi tr ca quyn chn ti nt ny l 1.4147. Ti
nt C, cng thc 2.11 cho gi tr quyn chn l 9.4636, trong khi li nhun t vic thc
hin trc l 12.0. Trong trng hp ny vic thc hin trc l ti u v gi tr ca
quyn chn l 12.0. nt ban u A, gi tr tnh c theo cng thc 2.11 l
e0.051 (0.6282 1.4147 + 0.3718 12.0) = 5.0894
trong khi li nhun thu c t vic thc hin trc l 2.0. Trong trng hp ny, vic
thc hin trc khng ti u. Do , gi tr ca quyn chn l $5.0894. Hnh 3.8 m
t nhng gi tr ca cy nh phn tng ng.
Hnh 3.7: S dng cy nh phn hai bc nh gi quyn chn mua kiu Chu u
(4)
40
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
2.2 M hnh Black-Scholes

Gi nh v s bin ng ca gi c phiu
Mi m hnh nh gi quyn chn u cn t ra mt s gi nh v s bin ng ca gi
c phiu theo thi gian. Gi nh ny cho php ngi tnh ton c th c nh hng
v bin ng ca gi quyn chn c phiu sau mt giai on nht nh.
Vi m hnh Black-Scholes, gi nh c bn c t ra l gi chng khon bin
ng ngu nhin lin tc. Gi nh ny c ngha: mi iu chnh ca gi c phiu
trong mt khong thi gian ngn s tun theo quy lut phn phi chun.
t:
: T sut li nhun k vng ca c phiu.
: bt n ca gi c phiu.
Gi tr trung bnh ca ccbin ng trong khong thi gian t l t. lch chun
ca cc bin ng nyn l t. Gi nh ca m hnh Black-Scholes c vit li nh
sau:
S
(t, t)
S
(2.18)
trong S l bin ng ca ca S trong khong thi gian t v (m, s) th hin

mt phn phi chun vi gi tr trung bnh m v lch chun s.
Phn phi L-ga chun
Gi nh bin ng ngu nhin lin tc ca gi c phiu nh nu trn a chng
ta n kt lun gi c phiu ti bt k thi im no trong tng lai s c phn phi
l-ga chun. Ta c th thy dng tng qut ca mt phn phi l-ga chun hnh 3.9,
Hnh 3.8: S dng cy nh phn hai bc nh gi quyn chn bn kiu M
(5)
41
DHVP - Empirics.net
c EMISCOM, 4/2006

phn phi loi ny ch nhn gi tr khng m, trong khi vi gi tr phn phi chun
nh hnh 3.10 th c th nhn gi tr m. Bn cnh cng c th thy mt phn phi
chun c dng i xng qua im gi tr 0 cn phn phi l-ga chun li lch, gi tr
trung bnh, trung v v mod u khc nhau.
Hnh 3.9: Phn phi L-ga chun
Hnh 3.10: Phn phi chun
Bin c phn phi l-ga chun c c im l cc gi tr l-ga-rt t nhin ca n

c phn phi chun. Do , t gi nh ca m hnh Blacks-Scholes ta c ln ST phn
phi chun, trong ST l gi c phiu thi im T trong tng lai. Gi tr trung bnh
v lch chun ca ln ST c vit nh sau:
ln S + (
v
2
)T
2
S l gi c phiu thi im hin ti. Ta c th vit li:

42
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
)
[
(
]
2
T, T
ln ST ln S +
2
(2.19)
Gi tr k vng hay gi tr trung bnh E(ST ) ca ST l:

E(ST ) = SeT
(2.20)
Kt qu ny ph hp vi nh ngha l t sut li nhun k vng ca c phiu.

Phng sai ca var(ST ) c tnh nh sau:
var(ST ) = S 2 e2T (e
2T
1)
lm r nhng cng thc trn, ta kho st qua v d di y:

V d 2.1 Xt mt c phiu vi gi ban u l 40$, t sut li tc k vng l
16%/nm, bt n l 20%/nm. T cng thc 2.19, ta c th m t phn phi gi
c phiu trong 6 thng u nh sau:
[
(
)
]
0.22
ln ST ln 40 + 0.16
0.5, 0.2 0.5
2
hay
ln ST (3.759, 0.141)
C 95% kh nng mt bin phn phi chun nhn gi tr trong khong 2 mc bin
lch chun so vi gi tr trung bnh. Vi lch chun l 1.96 v 95% m bo ta c:
3.759 1.96 0.141 < ln ST < 3.759 + 1.96 0.141
tng ng
3.477
e
< ln ST < e4.041
hay
32.26 < ST < 56.88
Nh vy c 95% kh nng gi c phiu trong 6 thng s nm trong khong 32.36 v
56.88. Gi tr trung bnh v phng sai ca ST l :
40e0.160.5 = 43.33
v
402 e20.160.5 (e0.20.20.5 1) = 37.93
T cng thc 2.19 ta c th suy ra:
)
[(
]
2
ST
T, T

ln
S
2
(2.21)
Vi T = 1 biu thc ln SST l mc li nhun tnh gp lin tc ca c phiu trong 1 nm.

Gi tr trung bnh v lch chun ca li nhun tnh gp lin tc trong 1 nm ln lt
l 2 /2 v .
43
DHVP - Empirics.net
c EMISCOM, 4/2006

Li nhun k vng
Li nhun k vng m nh u t yu cu t mt loi c phiu ph thuc vo ri
ro ca c phiu . Ri ro cng cao th li nhun k vng cng ln. Ngoi ra, li nhun
k vng cng ph thuc vo li sut trong nn kinh t. Li sut phi ri ro cng cao th
li nhun k vng cng s cng cao. Tuy nhin, trong phm v nghin cu quyn chn
c phiu, ta khng nht thit phi i su nghin cu cc c tnh ca . Nghin cu
cho thy gi tr ca quyn chn c phiu, khi c th hin qua gi tr ca c phiu c
s, khng h ph thuc vo .
Gi tr trung bnh ca cc t sut li nhun thu c trong nhiu nm khng nht thit
phi bng vi li nhun bnh qun nm trong giai on , tr khi tt c cc nm u
c t sut li nhun bng nhau. C th thy rt r iu ny, qua v d: Gi s ta u t
100$ trong 5 nm, t sut li nhun mi nm l 15%, 20%, 30%, -20%, 25%. Trung
bnh s hc ca cc mc t sut li nhun ny l 14% (tnh bng cch ly tng nm gi
tr chia cho 5). Li nhun tnh gp lin tc sau 5 nm s l:
100 1.145 = 192.54U SD.
Tuy nhin gi tr thc t thu v sau 5 nm l
100 1.15 1.20 1.30 0.80 1.25 = 179.40U SD
tng ng vi 1.79401/5 1 = 0.124 tc l 12.4%
R rng c lch nht nh gia li nhun bnh qun trong giai on v bnh qun
li nhun cc nm.
bt n
bt n ca c phiu, , l thc o mc khng chc chn v li nhun s thu
c t c phiu. c gi tr nh hn 1 v thng th hin theo ga tr phn trm.
T cng thc 2.21, ta c th a ra nh ngha tng i chnh xc v bt n nh
sau:
bt n ca gi c phiu l lch chun ca li nhun thu c t c phiu trong
vng
mt nm vi li nhun c tnh gp lin tc.
T l s xp x gn ng lch chun ca bin ng gi chng khon trong khong
thi gian T . Nh th bt n ca gi chng khon s tng tng ng vi cn bc 2
ca khong thi gian xem xt ch khng tng tuyn tnh.
c lng bt n t d liu qu kh
bt n ca gi c phiu c th c lng bng cch s dng d liu bin ng gi
trong qu kh. Gi c phiu thng c quan st trong nhng khong thi gian c
nh (chng hn hng ngy, hng tun, hoc hng thng).
t:
n + 1 s quan st
Si
gi c phiu cui giai on quan st th i (i=0,1,. . . ,n)
di ca khong thi gian quan st tnh theo nm

v t:
44
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
)
(
Si
ui = ln Si1
lch chun s ca cc ui c tnh theo cng thc:
s=
i=1 (ui
hay
s=
1
n1
1
n1
n
i=1
ui 2
u)2
(
1
n1
n
i=1
)2
ui
vi u l gi tr trung bnh ca cc ui .
T cng
thc 2.21 ta c lch chun ca ui l . Do bin s l gi tr c lng
ca . c th c c lng theo
vi:
Sai s chun ca php c lng ny c th coi xp x

2n
chn c mt gi tr ph hp cho n khng d. Thng thng cng nhiu d liu
thng k th kt qu tnh ton cng chnh xc, tuy nhin c gi tr thay i theo thi
gian. Do d liu qu c c th khng thch hp n kt qu d bo tng lai.
gii quyt vn ny, vic tnh ton cc nc Chu u v M thng s dng gi
ng ca hng ngy trong vng 90 hoc 180 ngy gn nht. Bn cnh , vic tnh
ton thng k cng gp phi vn v vic la chn tnh v s dng tham s v bt
n theo lch thng hay theo s ngy giao dch.
V d 2.2 c tnh bt n
Bng 3.1 m t d liu giao dch c phiu trong 21 ngy lin tip. Trong v d ny:
ui = 0.09531 v ui 2 = 0.00333
ta cng c tnh c lch chun ca li nhun ngy l:
2
0.00333
0.9531
= 0.0123
19
380
Gi nh mt nm c 252 ngy
giao dch, = 1/252, d liu cho php c lng bt
n bnh qun nm l 0.0123 252 = 0.195. Nh vy bt n c tnh l 19.5% mt
nm. Sai s chun c tnh nh sau:
0.195
220
= 0.031
tc 3% mt nm.
Nhng phn tch m t trn u c thc hin vi gi thit c phiu c xem
xt khng tr c tc. Vic phn tch c th iu chnh tng thch trong trng hp
c phiu c tr c tc. Li nhun ui thu c trong khong thi gian theo di c ngy
tr c tc l:
45
DHVP - Empirics.net
c EMISCOM, 4/2006
Bng 3.1: Tnh ton bt n

Gi ng ca
Ngy ($)
0
20
1
20 18
2
19 78
3
20
4
20 12
5
20 41
6
20 87
7
20 87
8
20 87
9
20 43
10
20 43
11
21
12
21 81
13
20 78
14
20 87
15
21 41
16
21 38
17
21 38
18
21 14
19
21 34
20
22
Tng quan gi Li nhun ngy

i
Si /Si1
ui = ln SSi1
0.98758
1.00629
1.02500
0.98781
1.03086
1.00000
1.00000
0.99401
1.00000
1.01205
1.00595
0.98817
1.00000
1.01796
1.00588
1.00000
0.99415
1.02353
1.01149
46
DHVP - Empirics.net
-0.01250
0.00627
0.02469
-0.01227
0.03040
0.00000
0.00000
-0.00601
0.00000
0.01198
0.00593
-0.01190
0.00000
0.01780
0.00587
0.00000
-0.00587
0.02326
0.01143
c EMISCOM, 4/2006
2. NH GI QUYN CHN
+D
ui = ln SSii1
trong D l lng c tc thanh ton. Li nhun thu c trong nhng khong thi
gian theo di khc s vn l
i
ui = ln SSi1
Thu l mt yu t quan trng cn xem xt trong xc nh li nhun thu c t c

phiu xung quanh ngy giao dch khng hng c tc. Do vy, s tt hn nu ta loi
ring ra d liu trong nhng khong quan st c ngy giao dch khng hng c tc.
Gi nh c bn ca m hnh Black-Scholes
Black v Scholes khi xy dng m hnh nh gi quyn chn a ra nhng gi nh
sau:
1. Gi c phiu s bin ng theo th l-ga chun vi cc hng s v nh
trnh by phn trn;
2. Mi giao dch s b qua chi ph v thu. Gi ca tt c cc chng khon u c
th c chia nh v hn;
3. C phiu s khng tr c tc trong thi gian quyn chn c hiu lc;
4. Khng tn ti c hi kinh doanh chnh lch gi phi ri ro;
5. Hot ng giao dch chng khon din ra lin tc;
6. Nh u t c th vay hoc cho vay ti cng mt mc li sut phi ri ro;
7. Li sut phi ri ro trong ngn hn, r, l hng s.
Trn c s m hnh ca Black v Scholes, nhiu nh nghin cu phn tch v gim
nh dn rng buc ca mt s gi nh. Chng hn, mt m hnh bin i t m hnh
Black-Scholes cho php tnh vi r v l cc hm ph thuc vo thi gian, mt m
hnh bin i khc cng cho php tnh c trong trng hp c phiu c tr c tc
trong gian on quyn chn cn hiu lc (m hnh ny s c nghin cu phn tip
theo).
Phn tch Black-Scholes/Merton
Phn tch Black-Scholes/Merton tng t vi phn tch trong trng hp khng c
kinh doanh chnh lch gi nh gi quyn chn khi gi c phiu bin i theo m
hnh cy nh phn. Ngi ta xy dng mt danh mc u t phi ri ro bao gm c mt
quyn chn (vi v th nht nh) v mt c phiu c s. Khi khng tn ti c hi kinh
doanh chnh lch gi, li nhun thu c t danh mc u t ny s tng ng vi
li sut phi ri ro r. Khi quyn chn phi p ng mt phng trnh vi phn iu
kin.
C s lp mt danh mc u t phi ri ro l ngun gc chung v tnh bt n nh
hng n gi c phiu v gi quyn chn - l bin ng gi c phiu. Trong
47
DHVP - Empirics.net
c EMISCOM, 4/2006

khong thi gian rt ngn, gi ca mt quyn chn mua c tng quan dng hon
ho (tuyt i) vi bin ng ca gi c phiu c s; gi ca quyn chn bn s c
tng quan m hon ho (tuyt i). Trong c hai trng hp, khi c th xy dng
c mt danh mc u t hp l bao gm quyn chn v c phiu c s ca quyn
chn , li hay l t c phiu s b p li hay l t quyn chn, do gi tr ca
danh mc u t vo cui giai on s c th c d bo trc mt cch chc chn.
Gi s ti mt thi im bt k mi tng quan gia mc iu chnh S rt nh ca gi
c phiu v mc iu chnh cng gp c rt nh trong gi mt quyn chn mua Chu
u c xc nh theo cng thc:
c = 0.4S
iu ny c ngha l dc ca ng thng th hin mi tng quan gia c v S l
0.4 (xem hnh 3.11). Danh mc u t phi ri ro s bao gm:
1. 0.4 c phiu th trng v;
2. Mt quyn chn mua th on v (bn quyn chn mua) .
Hnh 3.11: Tng quan gia c v S
im khc bit c bn gia phn tch Black-Scholes/Merton vi phn tch theo m

hnh cy nh phn l tnh phi ri ro ca v th c xc lp ch ng trong khong thi
gian rt ngn. (Trn l thuyt, tnh phi ri ro ch xut hin trong 1 khong thi gian
mang tnh thi im.) duy tr tnh phi ri ro cn lin tc iu chnh v ti cn bng
danh mc u t. Chng hn mi tng quan gia c v S c th thay i t c = 0.4S
thnh c = 0.5S trong 2 tun na. Nh th s cn phi c 0.5 c phiu bn mi
quyn chn bn. Tuy nhin li nhun thu c t danh mc u t phi ri ro mi
thi im s vn bng vi li sut phi ri ro. y l c s cho lp lun
Black-Scholes/Merton v a n m hnh nh gi ca h.
48
DHVP - Empirics.net
c EMISCOM, 4/2006
2. NH GI QUYN CHN
M hnh nh gi
Cng thc tnh gi quyn chn mua v bn kiu Chu u ca Black-Scholes p dng
vi nhng c phiu khng tr c tc nh sau:
c = SN (d1 ) XerT N (d2 )
(2.22)
p = XerT N (d2 ) SN (d1 )

trong :
ln(S/X)+(r+ 2 /2)T
T
2
ln(S/X)+(r /2)T
= d1
T
d1 =
d2 =
Hm N(x) l hm xc sut tch ly cho mt bin phn phi chun ha. Ni cch khc
n th hin xc sut mt bin phn phi chun (0, 1) c gi tr nh hn x (hnh 3.12).
Cc bin khc trong cng thc 2.22 v 2.23 l: c v p gi quyn chn bn v quyn
chn mua kiu Chu u, S l gi c phiu, X l gi thc hin, r l li sut phi ri ro, T
l thi gian cn li cho n thi im thc thi quyn v l bt n ca gi c phiu.
Do gi quyn chn mua kiu M C bng gi quyn chn mua kiu Chu u c i vi c
phiu khng tr c tc nn cng thc 2.22 cng c dng tnh gi ca mt quyn
chn kiu M.
Hnh 3.12: Khong mu xm th hin N (x)
Trn l thuyt, cc cng thc Black-Scholes ch ng nu li sut trong ngn hn r l

mt hng s. Trn thc t cng thc ny thng dng li sut r bng vi li sut phi
ri ro t hot ng u t thc hin trong khong thi gian T .
c im ca cc cng thc Black-Scholes
Ta xem xt c tnh ca cc cng thc Black-Scholes bng cch xem xt khi cho cc
bin trong cng thc n cc tr.
49
DHVP - Empirics.net
c EMISCOM, 4/2006

Khi gi c phiu S ln rt cao, kh nng quyn chn mua c thc hin s hu nh
chc chn. Quyn chn khi s ging vi mt hp ng k hn vi gi giao l X. T
cng thc nh gi hp ng k hn:
f = S KerT (6)
Khi gi ca hp ng quyn chn mua s l:
S XerT
y chnh l gi quyn chn mua c c t phng trnh 2.22: khi S t gi tr rt
ln th c d1 v d2 u s c gi tr rt ln, khi N (d1 ) v N (d2 ) s c gi tr gn n 1.
Khi gi c phiu S tng ln rt cao, gi ca mt quyn chn bn kiu Chu u p s tim
cn dn n 0. Din gii ny ph hp vi phng trnh 2.23 v N (d1 ) v N (d2 )
cng tim cn dn v 0.
Khi gi c phiu h xung rt thp, c d1 v d2 s rt ln v m. N (d1 ) v N (d2 ) khi
s cng tim cn v 0 v gi quyn chn mua kiu Chu u cho bi phng trnh 2.22
s tim cn dn v 0. ng thi N (d1 ) v N (d2 ) c gi tr dn n 1, do gi ca
quyn chn bn tnh qua phng trnh 2.23 s c gi tr gn n XerT S.
Hm phn phi chun tch ly
Trong phng trnh 2.22 v 2.23, vic tnh ton vi hm phn phi chun tch ly N l
cng on phc tp nht. Bng gi tr ca N c trong phn ph lc ca bo co. Hm
ny cng c th c tnh bng php tnh xp x a thc. Gi tr xp x c th tnh qua
my tnh theo cng thc:
N (x) = 1 (a1 k + a1 k 2 + a1 k 3 )N 0 (x)
vi: x 0
N (x) = 1 N (x)
vi: x < 0
trong
1
k = 1+x
= 0.33267
1 = 0.4361836
2 = 0.1201676
3 = 0.9372980
v
2
N 0 (x) = 12 ex /2
Cng thc ny cho php ta tnh gi tr ca N (x) chnh xc n 0.0002.
V d 2.3 V d
Mt c phiu c gi 42USD vo thi im 6 thng trc khi quyn chn ht hiu lc,
gi thc hin ca quyn l 40USD, li sut phi ri ro l 10% mt nm v bt n l
20% mt nm. Ta c S = 42, X = 40, r = 0.1, = 0.2, T = 0.5:
(6)
ta chp nhn cng thc tnh gi tr hp ng k hn trong f l gi tr hp ng, S l gi ti sn v

K l gi giao ti sn tha thun
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2. NH GI QUYN CHN
d1 =
d2 =
ln(42/40)+(0.1+0.22 /2)0.5
0.2 0.5
ln(42/40)+(0.10.22 /2)0.5
0.2 0.5
.
Xe
rT
= 0.7693
= 0.6278
v
= 40e 0.1 0.5 = 38.049
Do nu quyn chn l quyn chn mua kiu Chu u, gi tr c ca n s l:

42N (0.7693) 38.049N (0.6278)
Nu l quyn chn bn kiu Chu u, gi p l:
p = 38.049N (0.6278) 42N (0.7693)
S dng phng php xp x a thc trn hoc tra bng ta c:
N (0.7693) = 0.7791 N (0.7693) = 0.2209
N (0.6278) = 0.7349 N (0.6278) = 0.2651
t :
c = 4.76,
p = 0.81
Gi ca c phiu s phi tng thm 2.76 USD quyn chn mua c th ha vn.
Tng t gi c phiu phi gim 2.81 USD quyn chn bn c th ha vn.
nh gi trung lp ri ro
C mt kt qu quan trng rt ra t vic nh gi cc hp ng phi sinh, cc nh
nghin cu thng gi l nh gi trung lp ri ro. Nguyn l c bn ca kt lun ny
l:
Bt k chng khon no ph thuc vo mt loi chng khon c giao
dch khc u c th c nh gi trn c s p dng gi nh nh u t
l trung lp ri ro.
Cn lu l ch vi nh gi cc chng khon phi sinh mi a vo p dng gi nh
nh u t trung lp ri ro. Gi nh ny c ngha l nhng hnh thc ri ro lin quan
n nh u t s khng c nh hng n gi tr ca mt quyn chn c phiu nu
gi tr c vit di dng mt hm vi bin l gi ca c phiu c s. iu ny gii
thch v sao trong phng trnh 2.22 v 2.23 khng c bin .
nh gi trung lp ri ro l mt cng c rt quan trng v trong mt mi trng ri ro
trung lp ta c hai kt qu sau:
1. Li nhun k vng t tt c cc chng khon chnh l mc li sut phi ri ro.
2. Li sut phi ri ro cng l t sut chit khu c th p dng ph hp cho mi
dng tin d kin trong tng lai.
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Quyn chn v cc hp ng phi sinh khc c kh nng thanh ton vo mt thi im
nht nh trong tng lai c th c nh gi s dng k thut nh gi trung lp ri
ro. Quy trnh nh gi theo cc bc sau:
1. Gi nh t sut li nhun k vng ca ti sn c s bng li sut phi ri ro (tc l
r = ).
2. Tnh ton khon tin thanh ton k vng t quyn chn ti thi im thc hin.
3. Chit khu khon thanh ton k vng bng li sut phi ri ro.
bt n
Trong m hnh nh gi Black-Scholes, tham s khng th c ghi nhn trc tip l
bt n ca gi c phiu. phn trc gii thiu cch c lng bt n t d
liu qu kh.
Ngoi phng php gii thiu trn, ngi ta thng da trn bt n ca cc
quyn chn ht hiu lc c lin quan (cng mt loi ti sn c s chng hn) c
lng ra bt n ca mt quyn chn. bt n ca nhng quyn chn ht hiu
lc c c lng ngc li trn c s gi ti sn c s, gi thc hin, gi quyn chn
li sut. Sau khi c lng bt n ca mt s hp ng quyn chn (phi sinh ni
chung) c lin quan, ngi ta gn cho mi gi tr tm c mt trng s v ly bnh
qun trng s ca cc gi tr ny. Cch gn trng s c tm hiu trong nhiu
nghin cu ca [?][Manaster], [?][Lantane], [?][Whaley].
Xem xt v nguyn nhn gy ra bt n ca quyn chn. Mt s nh nghin cu cho
rng bt n ca quyn chn bt ngun duy nht t nhng thng tin pht sinh ngu
nhin v thu nhp trong tng lai t c phiu. Nhng nh phn tch khc li gi kin
cho rng ngun gc gy bt n ch yu l do hot ng giao dch. Do nhiu
ngi t ra cu hi liu bt n ca chng khon khi s giao dch m ca c gi
nguyn ngay c khi n ng ca.
[?][Fama] v [?][French] tin hnh kim nh thng k i vi cu hi ny. H tin
hnh thu thp s liu thu thp v gi ng ca mi sau mi ngy giao dch trong mt
khong thi gian di v tin hnh tnh:
1. sai lch gia li nhun c phiu thu c t lc ng ca ca mt phin vi
mc li nhun t c phiu thi im ng ca phin tip theo vi iu kin
khng c ngy ngh giao dch xem gia.
2. sai lch gia thu nhp t c phiu khi ng ca phin giao dch ngy th 6 v
khi ng ca ngy th 2.
Nu s ngy giao dch v s ngy khng giao dch bng nhau th sai lch trong tnh
hung th 2 phi ln gp khong 3 ln so vi tnh hung th nht. Fama nhn thy
con s ny ch l 22%. French cng tm ra mt con s tng t, ng tnh c sai lch
trong tnh hung th 2 ln hn tnh hung th nht 19%.
Kt qu trn ch ra rng bt n ca gi c phiu trong nhng ngy c giao dch ln
hn nhiu so vi khi khng giao dch. Nh th gi nh truyn thng v ngun gc ca
bt n xut hin ch t thng tin mi c th s phi iu chnh thnh nhng thng
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2. NH GI QUYN CHN
tin mi v c phiu xut hin trong thi gian din ra giao dch(7) . Tuy nhin mt s
phn tch khc v gi cc sn phm nng nghip, nhng loi hng ha chu nh hng
rt nhiu t cc yu t thi tit, kt qu cho chng cng c nhng c tnh ging nh
gi c phiu, bt n ca chng trong thi gian c giao dch vn tng cao hn nhiu
khi khng giao dch. Ngi ta c th cho rng nhng thng tin v thi tit c kh nng
xut hin vo bt k ngy no (khng lin quan n c tnh giao dch). Kt lun hp
l nht c th rt ra y l bt n chu nh hng rt ln t hot ng giao dch.
Thng qua nhng nh gi ny, nhng nh phn tch cho rng khi tnh ton bt n
v khi dng tham s bt n trong m hnh nh gi t d liu qu kh nn b qua
d liu v nhng ngy khng din ra giao dch. Chng hn cng thc tnh bt n
bnh qun nm c th c tnh trn c s bt n bnh qun cc ngy din ra giao
dch trong nm qua cng th:
Bt n bnh qun nm=Bt n bnh qun ngy S ngy din ra giao dch trong nm
y chnh l cch tip cn c s dng khi x l vi s liu bng 3.1. S ngy c
giao dch trong nm thng l 252.
C tc
Gi nh c t ra t u l c phiu khng tr c tc trong thi gian quyn chn
cn hiu lc. Tuy nhin r rng iu ny khng phi lc no cng ng trong thc t.
Ta s m rng gi nh ny bng cch gi nh c tc ca c phiu thanh ton trong
thi gian quyn chn cn hiu lc c th d tnh c mt cch chc chn. Thi gian
tn ti ca mt quyn chn thng di 8 thng do gi nh trn l c c s.
Ngy thch hp tin hnh nh gi quyn chn l ngy giao dch khng tr c tc.
Vo ngy ny gi c phiu s gim xung mt lng ng bng c tc(8) . Hiu ng
sinh ra t hin tng ny l gi ca quyn chn mua v tng gi ca quyn chn bn.
QUYN CHN KIU CHU U
C th tin hnh phn tch quyn chn kiu Chu u trong trng hp ny bng
cch gi nh gi ca c phiu bao gm 2 thnh phn: mt phn khng c ri ro
c s dng thanh ton c tc d tnh cho ngi nm gi trong ton b thi
gian tn ti ca quyn chn v phn cn li l c ri ro. Phn khng ri ro ti bt
k thi im no l gi tr hin ti ca tt c cc khon c tc s thanh ton trong
thi gian quyn chn c hiu lc c chit khu v hin ti t thi im ngy
giao dch khng hng c tc bng li sut phi ri ro. M hnh Black-Scholes s
vn chnh xc nu S c t bng vi phn ri ro trong gi c phiu. Xt trn
phng din s dng, m hnh Black-Scholes c th c a vo p dng vi
gi c phiu tr i mt khong bng gi tr hin ti ca tt c cc c tc s
thanh ton trong thi gian tn ti quyn chn vi li sut chit khu bng li
(7)
Tt nhin lp lun ny khng hon ton thuyt phc, chng hn c th thy cc thng bo quan trng
thng c a ra sau khi phin giao dch kt thc
(8)
Gi c phiu thc t c th gim t hn c tc do tc ng ca thu. gii quyt vi hin tng
ny, ta cn nh ngha chnh xc t c tc, trong trng hp nh gi quyn chn, l mc gim ca gi c
phiu vo ngy giao dch khng hng c tc do chnh c tc s tr gy ra. Do nu d bo trc c
c tc s tr l 1$ v c phiu thng thng s gim xung mt khong bng 80% gi tr c tc s tr vo
ngy giao dch khng hng c tc th khi phn tch cn gi nh c tc s tr ch l 0.8$.
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sut phi ri ro. Tt nhin cn lu ch xem xt n c tc nu ngy giao dch
khng hng c tc nm trong khong thi gian quyn chn cn hiu lc.
V d 2.4 V d
Xem xt mt quyn chn mua kiu Chu u i vi mt c hiu vi cc ngy
giao dch khng hng c tc vo 2 v 5 thng sau . C tc s thanh ton
trong mi ln d tnh l 0.5$. Gi c phiu thi im hin ti l 40$, gi thc
hin l 40$, bt n ca gi c phiu l 30%/nm v li sut phi ri ro l
9%/nm. Thi gian cho n khi ht hiu lc ca quyn chn cn 6 thng. Gi
tr hin ti ca cc khon c tc s thanh ton l:
0.5e0.092/12 + 0.5e0.095/12 = 0.9741
Gi ca quyn chn do c th c tnh s dng cng thc ca
Black-Scholes vi S = 39.0259, X = 40, r = 0.09, = 0.3, v T = 0.5. p dng
m hnh ta tnh c gi ca quyn chn mua l 3.67$.
Vi cch tnh ny, trong m hnh s l bt n ca thnh phn ri ro trong
gi c phiu ch khng phi bt n ca ton b gi c phiu. Trn thc t
ngi ta thng gi nh hai bt n ny l tng ng. Tuy nhin xt
trn phng din l thuyt bt n ca thnh phn ri ro trong gi xp x
gp S/(S D) ln bt n ca gi c phiu, trong D l gi tr hin ti ca
cc khon c tc s thanh ton v S l gi c phiu.
QUYN CHN MUA KIU M
Nghin cu cho thy vi quyn chn bn kiu M khng nn thc hin sm trc
thi im ht hiu lc nu nh c phiu c s khng tr c tc. Khi c phiu c
tr c tc, i khi thi im ti u thc hin li l ngay trc ngy giao dch
khng hng c tc. L do ca vic ny l v c tc s tr s lm cho c gi ca
quyn mua cng nh gi c phiu gim gi tr. Nu nh c tc ln va v
quyn chn cng ang c li va th ngi nm gi c th tip tc duy tr
quyn trong khong thi gian cn li trnh tc ng bt li t c tc.
Trn thc t, quyn chn mua thng c thc hin ngay trc ngy giao dch
khng tr c tc cui cng. Di y ta s phn tch php xp x do Fisher Black
a ra nh gi quyn chn mua kiu M vi c phiu c tr c tc.
PHP XP X CA BLACK
Php xp x ca Black bao gm vic tnh ton gi ca 2 quyn chn kiu Chu u:
1. Mt quyn chn c cng k hn vi quyn chn kiu M;
2. Mt quyn chn o hn ngay trc ngy giao dch khng hng c tc cui
cng trong thi gian quyn chn c hiu lc.
Gi thc hin, gi ban u ca c phiu, li sut phi ri ro v bt n ging
hon ton vi quyn chn ang xem xt. Gi ca quyn chn kiu M s bng vi
gi ca quyn chn Chu u no c gi cao hn.
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Phn II
Quyn chn thc
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Chng 4
Tng quan v quyn chn thc:
mt cch nhn mi v u t
Cch tip cn theo quan im quyn chn
Phng php truyn thng p dng nh gi mt ti sn ti chnh hoc mt phng

n u t l NPV (net present value). Phng php ny ch yu da trn nguyn l v
gi tr thi gian ca tin chit khu cc dng tin trong tng lai v hin ti. iu
kin ti thiu quyt nh u t thng l N P V 0, hoc c th c iu kin rng
buc trong mt s trng hp c th.
Tuy nhin, phng php ny lun bao hm mt s gi nh ngm cn phi xem xt. V
d, NPV gi nh rng vic u t l c th o ngc, ngha l bng cch no ngi
ta thi khng thc hin vic u t v phc hi li cc chi ph khi iu kin th trng
tr nn bt li. Trong trng hp khng th o ngc quyt nh u t, phng
php ny gi nh rng s tn ti mt ngh by gi hoc khng bao gi, ng
ngha vi vic cng ty s thc hin u t ngay by gi hoc khng bao gi c c hi y
na.
Thc t, phn ln cc c hi u t u khng din ra nh vy. Hai tnh cht rt quan
trng ca hot ng u t l tnh khng th o ngc v kh nng tr hon. S
pht trin nhanh chng ca khoa hc chng minh rng hai tnh cht ny ngy cng
c nh hng quan trng n vic ra quyt nh u t. ng thi chng cng lm suy
yu phng php NPV n gin v c s l thuyt ca m hnh u t tn c in. L
do l: mt cng ty nm trong tay mt c hi u t cng l nm gi mt quyn chn
tng t nh quyn chn mua trong ti chnh. Cng ty c quyn nhng khng bt
buc phi u t vo mt thi im chn trc trong tng lai. Khi n quyt nh
thc thi quyn chn u t, chi ph b ra khng th hon li c. Cng vo lc , n
b qua c hi ch i c nhng thng tin mi c kh nng nh hng n mong
mun v thi im u t, cng nh khng th u t li khi iu kin th trng thay
i. Mt khc, gi tr mt i c c quyn chn ny l mt chi ph c hi cn c
tnh ton nh mt b phn ca chi ph u t. Nh vy, cng thc n gin ca NPV
"u t khi gi tr ca mt n v vn ti thiu bng chi ph c nh" cn
thay i. Gi tr ca mt n v vn by gi phi vt qu chi ph c nh mt lng
bng vi chi ph duy tr quyn chn u t.
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2. TNH KHNG TH O NGC V KH NNG TR HON

Nhng nghin cu mi y chng t rng phn chi ph c hi ny l kh ln, v
nhng phng php nh gi b qua n l ht sc sai lm. Ngoi ra, phn chi ph ny
cng rt nhy cm vi yu t khng chc chn ca d n u t. V d nh, iu kin
kinh t thay i tc ng n yu t ri ro nhn bit c v dng tin mt trong
tng lai, v do c nh hng n tiu dng cho u t ln hn nh hng do li
sut thay i. iu ny gp phn gii thch v sao l thuyt u t tn c in tht bi
trong vic m hnh ha hnh vi u t ph hp vi thc t, dn ti nhng d bo qu
lc quan v tc ng ca li sut v chnh sch thu n thc y u t.
Mt khc, doanh nghip u t vi k vng thu li vt qu mt mc li sut yu cu
no (hay cn c gi l li sut ro cn). Quan st cho thy, mc li sut ro cn
ny thng ln gp ba n bn ln chi ph t bn (1) . Theo mt cuc iu tra nm
1987(2) , mc li sut yu cu thng t 8 n 30% vi gi tr trung bnh l 17%(3) . Ni
cch khc, doanh nghip s khng u t chng no gi c tng cha ng k so vi
chi ph trung bnh di hn(4) . Trong trng hp xy ra tnh trng suy thoi, doanh
nghip tip tc duy tr kinh doanh trong khi phi gnh chu l t hot ng vn hnh
mt thi gian di; gi c c th xung thp hn mc chi ph trung bnh di hn nhng
doanh nghip vn khng rt vn hay thu hi u t. iu ny dng nh mu thun
vi l thuyt NPV v ch c th c gii thch khi xem xt tnh cht khng th o
ngc v tip cn u t theo quan im quyn chn.
2 Tnh khng th o ngc v Kh nng tr hon

Cu hi u tin cn gii quyt khi tm hiu v vn ny l: nguyn nhn no gy
ra chi ph ngm v do lm cho quyt nh u t l khng th o ngc?
Khi chi tiu cho hot ng u l cc khon chi lin quan n c trng ca cng ty
hay ca ngnh th l chi ph ngm. in hnh nh chi ph dnh cho tip th qung
co l chi ph khng th phc hi c, nn r rng n l chi ph ngm. Hay mt dy
chuyn sn xut thp cng nh vy, n ch c th dng sn xut thp m khng th
sn xut ra mt th g khc. Nu ngh rng, cng ty c th bn dy chuyn ny cho mt
cng ty khc cng ngnh v phc hi li chi ph b ra th hon ton sai lm.
Trong iu kin cnh tranh hp l, gi tr ca dy chuyn sn xut trn l tng ng
vi tt c cc cng ty khc cng ngnh. V vy, s chng c li g t vic bn li n.
V d, khi cng vic kinh doanh thp ang m, dy chuyn sn xut xung gi, th
cng ty no trong ngnh thp cng phi i mt vi tnh hnh kinh doanh nh vy.
Kh nng bn li dy chuyn thp do cng khng cng khng c gi. Kt qu l,
chi ph u t cho dy chuyn ny gy ra mt lng chi ph ngm kh ln.
Thm ch, ngay c nhng khon u t khng mang tnh c trng ca ngnh hay ca
cng ty th cng phn no mang tnh khng th o ngc. Bi v, nhng ngi mua
li ti sn qua s dng trn th trng khng th nh gi c chnh xc cht
lng ca ti sn v h s ngh mt mc gi tng ng vi mt cht lng trung
(1)
Chi ph c hi khi quyt nh u t vo d n v mt i c hi u t vo cc ti sn ti chnh tng

ng.
(2)
Summers 1987, tr.300.
(3)
Nu ch nhm phng h cc ri ro h thng, nh u t s ch k vng mc li sut phi ri ro, nhng
iu ny l khng ph hp vi thc t.
(4)
Tng ng vi chi ph bin i trung bnh trong di hn.
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CHNG 4. TNG QUAN V QUYN CHN THC: MT CCH NHN MI V

U T
bnh trn th trng. Nhng ngi bn bit r gi tr ti sn ca h nhng nh phi
min cng bn vi gi ny(5) .V d, t, xe ti hay my tnh cho d gn nh mi,
nhng nu bn li n s ch bn c vi gi thp hn nhiu so vi gi mua.
Tnh cht khng th o ngc cn c th hin r hn khi chnh ph thay i hay ra
ngh nh mi hoc sp xp li t chc. D thy nh s kim sot ti chnh c th gy
kh khn cho cc nh u t nc ngoi hoc trong nc khi mun bn ti sn hoc
ti phn b qu u t ca h. u t vo ngun nhn lc cng phn no khng th
phc hi bi nhng chi ph cho o to, thu mn thm ch l chi ph sa thi. Do vy,
phn ln chi ph t bn l khng th o ngc.
By gi chng ta s xem xt sang vn kh nng tr hon quyt nh u t. Tt
nhin, khng phi lc no cc doanh nghip cng c c hi tr hon vic ra quyt nh
u t. H thng phi nm bt tht nhanh cc c hi v a ra chin lc u t hp
l, hoc phi ot ly c hi t nhng i th cnh tranh tim tng. V vy, tr hon l
khng kh thi trong phn ln cc trng hp. Ngoi ra, cng c chi ph cho vic tr
hon u t. c th l chi ph cho ri ro do s ra nhp ca cc cng ty mi, hay n
gin l dng tin b mt i, nhng bn cht nhng chi ph ny l i trng vi li
ch rt ln c c t vic ch i c thng tin tt hn.
Nh ni trn, c hi u t cng ging nh mt quyn chn mua trong ti chnh.
Ngi nm gi quyn chn c quyn nhng khng bt buc mua mt ti sn ti mc
gi n nh vo mt thi im c nh trong tng lai. Mt khi quyn chn c
thc hin, chi ph b ra c c quyn chn ny khng th khi phc li c, d c
bn li c ti sn cho mt nh u t khc. Nh vy, vic thc hin quyn chn l
khng th o ngc. Mt cng ty vi mt c hi u t cng tng t, h c quyn
la chn u t ngay by gi hoc trong tng lai v b ra chi ph thc hin (gi
thc hin), i li h c c ti sn (d n) v thu li. Ti sn y c th c bn li
cho cc cng ty khc, nhng vic thc hin u t th khng th o ngc. Ging nh
gi ca quyn chn mua ti chnh, quyn c la chn u t ny cng c mt phn
gi tr, bi v gi tr thu c trong tng lai ca ti sn l khng chc chn. Nu ti
sn tng gi tr, li nhun rng t vic u t s tng theo. Nhng nu gi tr ca ti
sn gim, cng ty s thi khng u t v ch phi chu phn chi ph c c c hi
u t.
Cu hi cui cng t ra l, t u cc cng ty c c nhng c hi u t v sau
l quyn c la chn u t nh vy. i khi, c hi u t l kt qu ca mt
chng ch pht minh hay quyn s hu t hoc mt ngun ti nguyn no . Cn
thng thng, nhng yu t nh nng lc qun l, hiu bit v cng ngh, danh ting,
a v trong th trng s to ra kh nng nm bt c hi u t m cc cng ty hay i
th cnh tranh khc khng c c. Nh vy, bn thn quyn chn u t c gi
tr. i vi hu ht cc doanh nghip, gi tr th trng ca h ph thuc ng k vo
kh nng la chn u t v tng trng ch khng phi gi tr t bn vn c ca
doanh nghip. V vy, phn ln cc l thuyt kinh t v ti chnh v u t u tp
trung vo gii thch ti sao v vi cch thc no cc doanh nghip s thc hin u t.
(5)
y l vn "qu chanh" tng gy thit hi cho rt nhiu th trng. Theo [?][Akerlof], 1970.
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3. DAO NG GI HAI THI K
3 Dao ng gi hai thi k

Xem xt mt v d c th c c hnh dung tt hn v quyn chn u t khng
th o ngc. Mt cng ty quyt nh u t vo mt nh my ph tng vi tnh. Vic
u t l khng th o ngc, nh my ch c th sn xut ph tng vi tnh, cng ty
khng th hy v u t v hi phc li cc chi ph b ra. n gin ha vn ,
chng ta gi nh rng nh my c xy dng vi chi ph c nh I v mi nm sn
xut c mt lng c nh ph tng my tnh vi chi ph vn hnh bng 0. Hin ti,
gi ca mt b ph tng my tnh l $200, nhng nm sau gi s thay i. Vi xc
sut q, gi tng ln $300, v s gim xung $ vi xc sut (1-q). Gi s c duy tr
mi mc v sau.
Chng ta li n gin ha ln na v gi nh rng cc hp ng tng lai phi sinh t
ph tng my tnh l hon ton c a dng ha ri ro (ngha l n khng b chi phi
bi nhng bin ng i vi ton b nn kinh t). Theo , dng tin tng lai c
chit khu v hin ti s dng t l li sut phi ri ro, gi s l 10%.
t I = 1600 v q = 0.5. (Trng hp quyt nh u t ph thuc vo I v q s c
xem xt sau). Liu vic c nh I v q c phi l mt u t tt hay khng? Cng ty c
nn u t by gi, hay nn ch i mt nm xem gi ph tng vi tnh ln hay
xung? Gi s chng ta u t ngay by gi. Gi tr hin ti rng c tnh ton theo
phng php NPV truyn thng (vi gi nh l gi k vng ca ph tng my tnh
lun l 200$), ta c:
N P V = 1600 +
t=0
200
= 1600 + 2200 = $600
(1.1)t
(3.1)
Nh vy, NPV ca d n trn t gi tr dng. Gi tr hin ti ca nh my sn xut

ph tng my tnh ny, c k hiu l V0 , l $2200, vt qu chi ph xy dng nh
my $1600. Theo , chng ta nn u t vo d n ny.
Tuy nhin, kt lun nh vy l khng ng, bi v tnh ton trn b qua mt loi chi
ph, chi ph c hi ca vic u t by gi thay v ch i c c kh nng t b
u t nu gi ph tng my tnh gim. thy c iu ny, ta tnh ton li NPV
ca d n vi gi nh rng chng ta s ch i mt nm v ch u t khi gi ca mt
hng ny tng. NPV s cho nh sau:
N P V = (0.5)(
850
1600
300
)
=
+
= $773
t=1
1.1
(1.1)t
1.1
(3.2)
(Ch rng nm 0, khng c chi ph v doanh thu. Ti nm 1, $1600 ch c s

dng khi gi tng ln $300 vi xc sut xy ra l 0.5). Nu chng ta i mt nm
trc khi quyt nh u t, gi tr NPV ca d n ngy hm nay l $773, trong khi u
t ngay ch tr gi $600. R rng ch i c li hn u t ngay by gi.
Nh rng, nu chng ta ch c 2 la chn, hoc u t hm nay hoc khng bao gi,
chng ta nn u t ngay hm nay. Trong trng hp , khng tn ti quyn la
chn c ch i, v do khng c chi c hi chng li quyn chn nn cng
thc NPV pht huy tc dng. Tng t, chng ta nn u t ngay hm nay nu nm
sau ta c th hy b u t v thu hi li $1600 nu mt hng gim gi. Nh vy, hai
yu t cn thit phn tch chi ph c hi trong tnh ton NPV l s khng th o
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U T
ngc v c hi u t trong tng lai thay v u t hm nay. Tt nhin
cng c nhng trng hp m cng ty khng th ch i hoc khng ch i c lu
u t. (V d nh khi cng ty lun phi i mt vi s gia nhp ca cc i th
cnh tranh vo mt th trng ch ln cho mt cng ty. Hoc bng pht minh sng
ch sp o hn hay cc ngun lc c nguy c cn kit.) Thi gian tr hon cng ngn,
ch ph tr hon u t cng ln th yu t khng th o ngc nh hng cng t ti
quyt nh u t. Chng ta s tr li lun im ny sau khi pht trin m hnh u t.
Thay v buc phi u t ngay by gi hoc khng bao gi th kh nng linh hot
c th u t vo nm nhau ng gi bao nhiu? (Chng ta bit rng, kh nng u t
linh hot cng mang mt gi tr nht nh v nh u t thng thch ch i hn l
u t ngay thi im hin ti). Gi tr ca quyn chn linh hot ny c tnh ton
khng qu phc top; n chnh l chnh lch gia hai gi tr NPV, bng
$773 $600 = $173. Hay, chng ta sn sng tr $173 cho mt c hi u t linh hot
hn l ch u t by gi.
Mt cch khc xem xt gi tr ca s linh hot ny l i tm cu tr li cu hi: Nh
u t sn sng chp nhn b ra I (cao) bao nhiu c c c hi u t linh hot
thay v ch c mt c hi u t by gi hoc khng bao gi thiu linh hot? tr
lm cho NPV ca d n khi ch
li, chng ta phi tm gi tr ca I, c k hiu l I,
i bng vi NPV khi u t ngay vi I = 1600. Ngha l, chng ta thay th $1600
bng I v $773 bng $600 trong cng thc 1.2, c:
N P V = (0.5)(
I
300
) = $600
+
t=1
1.1
(1.1)t
(3.3)
Gii phng trnh trn c I = $1980. Ni cch khc, c hi xy dng nh my sn

xut ph tng vi tnh by gi v ch by gi vi chi ph $1600 c tr gi tng ng
c mt c hi u t linh hot hn by gi hoc nm sau vi chi ph $1980.
Cui cng, gi s tn ti mt th trng hp ng tng lai cho mt hng ny, vi gi
giao hng ca mt hp ng tng lai c thi hn 1 nm k t by gi bng vi gi k
vng ca mt hng trong tng lai l $200 (6) . Liu kh nng phng v c c t
vic s dng hp ng tng lai c lm thay i quyt nh u t? c bit, liu iu
c dn n quyt nh u t thi im hin ti thay cho i mt nm sau? Cu
tr li l khng. hiu iu ny, chng ta xem xt vic thc hin u t thi im
hin ti v tin hnh phng v ri ro gi bng hp ng tng lai. phng mi ri
ro v gi, chng ta s phi bn khng mt hp ng tng lai cho 11 b linh kin my
tnh; khon ny va b p bin ng ca NPV d n nm sau. (Nu gi tng ln
$300, d n s tr gi $3300, nhng chng ta li mt $1100 cho vic mua hp ng
tng lai, cn nu gi gim xung $100, d n s ch tr gi $1100 nhng chng ta li
kim c $1100 t hp ng tng lai. D cch no, cui cng ta cng c c
$2200.) Nhng cng c ngha l NPV ca d n ngy hm nay l $600 ($2200 tr
$1600 chi ph u t), bng vi khi khng phng h.
(6)
Trong v d ny, gi ca hp ng tng lai bng vi gi k vng ca ti sn c bn v chng ta gi s

rng danh mc u t hon ton a dng ha ri ro. (Nu gi ca ti sn c bn c lin h cng du vi
danh mc u t th trng, gi ca hp ng tng lai s thp hn gi giao ngay k vng trong tng
lai ca ti sn .) Ch rng, nu ti sn c bn c th lu tr c th li ch bin t vic gi ti sn
ny l 10%. L do l, t khi gi hp ng tng lai bng vi gi giao ngay, chi ph nm gi rng (chi ph
ca 10% t hn li tc bin) phi bng 0.
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3. DAO NG GI HAI THI K

Nh vy, phng h khng em li li ch g, tt hn l chng ta nn i mt nm
quyt nh u t. Kt qu ny khc vi nh l ca Modigliani Miler (1985). Hot
ng trn th trng dnh cho hp ng tng lai ch l mt chnh sch ti chnh,
ngoi tr kh nng v n, n khng mang li mt kt qu thc no cho quyt nh u
t hoc c hi u t ca cng ty.
3.1 Tnh cht tng t nh mt quyn chn ti chnh

C hi u t nh trn cng ging nh mt quyn chn mua mt loi c phiu ph
thng. N cho chng ta quyn (khng cn thit phi thc hin) chi tiu cho mt
khon u t (gi thc thi ca quyn chn) v thu c mt d n (c phiu) m gi tr
ca n dao ng ngu nhin. Trong v d n gin ny, chng ta c mt quyn chn in
the money, ngha l nu ta thc thi hm nay, ta s thu c mt khon li nhun
dng. (Ngc li, mt quyn chn c gi l out of the money khi vic thc thi n
em li mt khon l). Thy rng, ngay c khi quyn chn l in the money th ch i
cng tt hn thc thi ngay hin ti. Nu nm sau, gi tng ln $300, chng ta thc
t
thi quyn chn v tr $1600 nhn c mt ti sn tr gi $3300 =
0 300/(1.1) .
Nu gi tt xung $100, gi tr ca ti sn l $1100 v chng ta s khng thc thi
quyn chn.
Cng thy rng gi tr ca c hi u t (gi s vic u t thc s c th c quyt
nh vo nm sau) l $773. Vic tnh ton li gi tr ny bng phng php nh gi
quyn chn l rt hu ch, v chng ta s s dng phng php ny sau y phn
tch cc vn khc lin quan n quyn chn.
t F0 l gi tr ngy hm nay ca c hi u t, ngha l, chng ta sn sng chi tr F0
ngy hm nay c c quyn chn u t vo d n ny, v F1 l gi tr ca c hi
u t vo nm sau. Ch rng, F1 l bin ngu nhin; n ph thuc vo bin ng gi
c ca ti sn c bn. Nu gi tng ln $300 th F1 s bng
t
0 300/(1.1) 1600 = $1700. Mt khc, nu gi gim xung $100, quyn chn u t

s khng c thc thi, v khi F1 s bng 0. Nh vy, chng ta bit c mi
kh nng ca F1 . Vn ch l tm F0 hay gi tr ca quyn chn thi im hin ti.
gii quyt vn ny, ta s to ra mt danh mc u t gm hai thnh phn: chnh
c hi u t , v mt khi lng nht nh linh kin my tnh. Chng ta s chn ra
mt s lng b linh kin sao cho danh mc u t ny l phi ri ro, ngha l, gi tr
ca danh mc nm ti s c lp hon ton vi bin ng gi linh kin my tnh. Khi
danh mc u t m bo phi ri ro, chng ta bit rng thu nhp thu c t vic
nm gi danh mc trn l li sut phi ri ro. (Nu t l thu nhp cao hn mc li sut
phi ri ro, nhng nh u t c hi s vay tin vi li sut phi ri ro mua danh mc
u t ca chng ta. Ngc li trong trng hp thp hn, h s kim li bng cch
bn khng danh mc u t ca chng ta v u t vo cc qu vi li sut phi ri ro.)
Vi cch thit lp mt danh mc u t nh vy, chng ta s tnh ton c gi tr
hin hnh ca c hi u t trn.
c bit, nu xem xt mt danh mc nm gi mt c hi u t v bn khng n b linh
kin. (Nu mt hng ny l mt loi hng ha c th giao dch c, nh du m, th
ngi gi n c th duy tr th on v (7) bng cch vay hng t mt nh sn xut khc
hoc bn mt hp ng tng lai. Vic ny khng nh hng g n vic thc hin
(7)
short position
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U T
danh mc u t.) Gi tr ca danh mc u t ngy hm nay s l
0 = F0 nP0 = F0 200n. Gi tr ca danh mc ny nm sau l 1 = F1 nP1 . F1 s
ph thuc vo P1 . Nu P1 tng ln $300, th F1 = $1700, v 1 = F1 300n. Ngc li
nu P1 gim xung $100 th F1 = 0 v 1 = 100n. V gi tr danh mc u t phi ri
ro khng ph thuc vo vic gi tng hay gim, gii phng trnh sau c n:
1700 300n = 100n
(3.4)
Gii phng trnh nhn c n= 8.5. Vi cch chn n nh vy, 1 = 850 cho d gi
ti sn c tng ln $300 hay gim xung $100.
n y ta s tnh ton li thu nhp t vic nm gi danh mc u t ny, 1 0 , tr
i tt c cc chi ph giao dch khc. Theo , li nhun k vng ca danh mc ny l
bng 0 (vi gi k vng l $200, tng t nh gi hin hnh), khng mt nh u t
sng sut no chn mua danh mc ny tr phi h k vng thu c mc 10% ti thiu.
Do vy, vic bn khng ti sn ny i hi mt chi ph bng 0.1P0 = $20 mt b linh
kin mi nm. (iu ny tng t nh vic bn khng mt loi c phiu chi tr c tc,
th on v phi thanh ton c tc, v khng nh u sng sut no chn mua ti sn
ny m khng c tr khon c tc ni trn.) Danh mc u t ca chng ta c th
bn 8.5 b linh kin my tnh, nh vy n phi tr tng cng $170. Thu nhp t vic
nm gi danh mc u t ny sau mt nm s l:
1 0 170 = 1 (F0 nP0 ) 170

= 850 F0 + 1700 170
= 680 F0
Bi v khon thu nhp ny l phi ri ro, nn chng phi bng mc li sut phi ri ro
trn th trng m chng ta gi nh l 10%, ti thi im danh mc u t t
0 = F0 nP0 :
680 F0 = 0.1(F0 1700)
(3.5)
Gii ra ta c F0 = $773. Kt qu ny tng t nh kt qu thu c khi tnh ton

theo phng thc NPV vi gi nh rng chin lc ti u l ch i mt nm trc
khi a ra quyt nh u t.
Chng ta cng nhn ra rng, gi tr ca mt c hi u t hay gi tr ca quyn chn
u t vo d n l $773. Li nhun t vic u t (thc thi quyn chn) ngy hm
nay l $600. Mt khi chng ta quyt nh u t, s khng cn quyn chn trn
na, v $773 l chi ph c hi ca vic u t. Theo , tng chi ph ca vic u t
ngy hm nay phi l $1600 + $773 = $2373 > $2200. Kt qu l, chng ta nn ch i
v gi cho quyn chn u t tn ti hn l u t ngay hm nay. Kt qu ny cng
tng t nh kt qu thu c t phng php NPV. Tuy nhin, ln ny chng ta
tnh ton gi tr mt quyn chn u t v coi n nh mt loi chi ph u t.
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4. C HI U T KHI CHI PH THAY I
4 C hi u t khi chi ph thay i

Chi ph thay i l mt iu kin quan trng, c bit l i vi nhng d n ln, xy
dng trong thi gian di. V d nh cc k hoch xy dng nh my in ht nhn
(tng chi ph xy dng ca nhng d n ny rt kh d on bng nhng tnh ton
ngu nhin hoc thit k thng thng), cc khu lin hip ha du, cc d n pht
trin ng bay mi, v cc d n xy dng th ln. C khi, quy m khng phi l
iu bt buc. Phn ln cc d n R&D u gnh chu mt ri ro chi ph thay i ng
k; vic nghin cu mt loi thuc mi ca mt cng ty dc l mt v d.
Trong m hnh dao ng gi 2 thi k, chng ta gi nh rng gi mt b linh kin my
tnh hin ti l $200, v s lun duy tr mc gi ny. Tuy nhin, chi ph trc tip xy
dng nh my, I, li ngu nhin.
Chng ta s xem xt hai yu t ngu nhin c lin quan n I. Th nht l bin ng
chi ph u vo, chi ph pht sinh do nh my thp, ng v nhn cng xy dng, v
gi ca nhng u vo ny bin ng ngu nhin theo thi gian. Ngoi ra, cc quy
nh ca chnh ph cng thay i ngoi kh nng d on, iu c th tc ng n s
lng ca mt s u vo nht nh. (V d, mt c ch php l an ton s lm gia tng
th trng lao ng, hoc mt s thay i trong lut mi trng c th lm d n cn
nhiu vn hn.) Theo , mc d I c th bit ngy hm nay, nhng gi cc yu t
u vo nm sau th hon ton ngu nhin.
Yu t ngu nhin ny c k vng l c cng nh hng ti quyt nh u t nh
s bin ng ngu nhin ca gi tr li nhun tng lai, V, ca vic u t. N to ra
mt chi ph c hi ca vic u t by gi hoc ch i c thm thng tin. Kt qu
l, mt d n c th c NPV dng cha chc em li hiu qu kinh t khi u t.
V d, gi s I l $1600 hm nay, nhng nm sau n c th tng ln $2400 hoc gim
xung cn $800 vi xc sut u bng 0.5. Li sut vn tip tc bng 10%. Chng ta
nn u t ngay hm nay hay nn ch i n nm sau? Nu u t ngy hm nay,
NPV s vn l $1600 theo cng thc ??. NPV dng, nhng b qua chi ph c hi ca
vic ch i thng tin tt hn. NPV s c tnh ton li vi gi nh chng ta ch i
1 nm v u t khi chi ph u t ti u l $800.
N P V = (0.5)(
800
700
200
)=
+
= $636
t=1
t
1.1
(1.1)
1.1
(4.6)
(Ti nm 0, khng c chi ph cng nh li nhun. Ti nm 1, chng ta ch u t khi I

gim xung $800, vi xc sut xy ra l 0.5.) Nu chng ta i mt nm trc khi
quyt nh u t, NPV ca d n chit khu v ngy hm nay s l $636, nh vy ch
i c li hn.
Theo quan im ny th dng nh yu t khng chc chn trong tng lai lun lm
cho vic tr hon u t c v c li hn, hay ch t cng lm tng li sut ro cn,
nhng n khng ng trong trng hp ny. Nu vic u t cung cp y thng
tin, yu t khng chc chn c th lm gim mc li sut ro cn ca d n. Xem xt
yu t ngu nhin ca nhng kh khn vt cht hon thnh mt d n, gi l yu t
ngu nhin k thut. Yu t ny gi nh rng vi nhng chi ph u vo bit, mt
d n rt cc s i hi bao nhiu thi gian, n lc v nguyn nhin vt liu hon
thnh? Yu t ngu nhin kiu ny ch c th c gii quyt bi vic thc hin v
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U T
hon thin d n mt cch thc s (8) . Chi ph thc s (v thi gian xy dng) ny s
c bc l khi tin hnh d n. Nhng chi ph ny c th bin ng ngoi d on
theo thi gian (nh c nhiu tr ngi hn hoc tin cng vic nhanh hn k hoch),
nhng tng chi ph cho vic u t th ch bit c mt cch chc chn khi d n
hon thnh.
Vi yu t khng chc chn kiu ny, mt d n c th c mt chi ph k vng lm NPV
m, nhng nu phng sai ca chi ph l kh cao, d n vn c th c u t hiu
qu. L do l, vic u t bc l nhng thng tin v chi ph v do , cng cha ng
nhng thng tin v li nhun rng k vng t vic u t xa hn. Theo , gi tr ca
n s nh hn ng gp trc tip ca n vo vic hon thin d n. Gi tr tng thm
ny (hay cn c gi l ci bng(9) bi v n khng phi l dng tin mt c th o
c mt cch trc tip) s thp hn chi ph k vng ca ton b vic u t.
V d n gin sau y s gip cho vic minh ha iu ny. Gi nh rng gi ca mt
b linh kin my tnh ang l v lun l $200, nhng chi ph ca vic xy dng nh
my sn xut n th lun bin ng. xy dng nh my, ban u phi u t
$1000. Vi xc sut 0.5 d n c th c hon thnh, v cng vi xc sut ny ngi
ta c th phi b ra thm $3000 hon thnh n. Do chi ph k vng ca d n l
1000 + (0.5)(3000) = $2500, v d n tr gi $2200, nn NPV c gi tr m v chng ta
khng nn u t. Nhng tnh ton nh vy b qua gi tr ca thng tin thu c t
vic hon thin giai on u ca d n, v trn thc t chng ta c th hy b d n
nu nh giai on 2 ca n cn thm $3000 hon thin. NPV giai on 2 ng
phi l 1000 + (0.5)(2200) = $100. Gi tr ny dng, v chng ta nn u t giai
on u ca d n.
Nh thy, chi ph thay i c th tc ng lm tr hon d n hoc thc y nhanh
tin thc hin n. Nu vic gii quyt yu t khng chc chn ny c lp vi quyt
nh u t ca doanh nghip, th n c tc ng tng t nh li nhun ca vic u
t thay i c nghin cu trn v ch i l c li hn. Nhng nu yu t
khng chc chn ny c th c gii quyt mt phn bi vic u t, n s c tc
ng ngc li.
C hi u t khi li sut thay i
Gi nh tip theo l chi ph u t v li nhun thu c t u t u c bit

trc, nhng li sut s dng tnh ton ra lung tin tng lai thay i theo xu
hng khng bit trc.
Li sut thay i c th c hai tc ng ti quyt nh u t. u tin, s thay i
khng on trc c ca li sut c th lm tng gi tr k vng ca li nhun
tng lai c c t vic u t. V d, gi s khon u t mang li mt li nhun
tng lai vnh vin l $1/nm. Gi tr hin ti ca khon li nhun ny l $ 1/r, vi r
l li sut. Nu r = 10%, gi tr hin ti s l $1/0.10 = $10. Gi s r cha bit, c th
bng 5%, c th bng 15%, mi kh nng c xc sut l 0.5, khi (r) = 10%. Gi tr
(8)
y l mt cch n gin ha vn , v i vi mt s d n, chi ph thay i c th b gim tc ng

bi cc nghin cu thit k bn ngoi. Vn u t trn thc t cng phc tp hn nhiu, l do l tn
ti 3 s la chn thay v ch c 2: xy dng cng trnh ngay by gi, thc hin v nghin cu thit k song
song, sau bt u xy dng khi nghin cu cho thy chi ph l kh thp, hoc hy b ton b d n
(9)
shadow value
DHVP
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5. C HI U T KHI LI SUT THAY I

k vng ca li nhun tng lai l 0.5(1/0.05) + 0.5(1/0.15) = $13.33 > $10. iu ny
lm cho vic u t tr nn hp dn hn v tng ng lc u t.
Tuy nhin, vic li sut thay i c th dn ti vic tr hon u t. L do xut pht t
nh hng mt tri ca vic thay i li sut - vic ch i tr nn c gi tr ( xem
liu li sut tng hay gim). nh hng ny tc ng ging nh nh hng ca li
nhun ln u t.
lm sng t nh hng ny, chng ta li xt v d dao ng gi hai thi k. Ln ny
gi nh rng gi ca mt b linh kin my tnh l $200, v chi ph c nh xy dng
nh xng l $2000. Tham s duy nht thay i l li sut. thi im hin ti li
sut l 10%, nhng s thay i vo nm sau. Xc sut li sut tng ln 15% cng
nh gim xung 5% u bng 0.5. Sau li sut s gi mc .
Nu khng c thay i v li sut, c ngha l nu li sut gi mc 10%, th gi tr ca
nh my nm sau s l:
200
V1 =
t=0 (1.1)t = $2200
Trong trng hp ny, gi tr k vng ca li sut t nm sau tr i l 10%, nhng

khng r c th l bao nhiu. Do , gi tr ca nh my nm sau s l:
200
V1 =
t=0 (1.15)t = $1553 vi xc sut l 0.5.
hoc:
200
V1 =
t=0 (1.05)t = $4200 vi xc sut l 0.5.
Do gi tr k vng ca V1 l (0.5)(1533) + (0.5)(4200) = $2867, cao hn gi tr k

vng khi li sut tng lai khng i.
Khi , s thay i li sut tng lai (gi nguyn gi tr k vng ca li sut) s lm cho
gi tr k vng ca d n tng ln, song cng lm nh hng ti quyt nh u t.
u tin, nu nh khng c thay i i vi li sut th nh u t sn sng u t
ngay lp tc. NPV ca d n u t ti thi im hin ti l:
N P V = 2000 +
t=0
200
= $200
(1.1)t
(5.7)
Trong khi NPV hin ti nu ch i thm 1 nm na ch l $2200/1.1 - $2000 = $0.

Trng hp li sut khng chc chn, nu chng ta u t ngay th NPV l:
N P V = 2000 + 200 +
2867
(V1 )
= 1800 +
= $806
1.1
1.1
(5.8)
Nu u t hm nay, chng ta c th lm v bn 1 b linh kin my tnh vi gi $200,

v chng ta s c mt nh my vi gi tr k vng vo nm sau l $2867. Gi tr NPV
ny l dng, nu gi s i ti nm sau trc khi quyt nh c u t hay khng.
Nu li sut tng ti 15% th gi tr ca nh my ch cn l $1533, thp hn chi ph u
t $2000. Do chng ta ch u t nu li sut gim xung 5%. V xc sut xy ra
trng hp ny l 0.5 nn NPV trong trng hp nh u t i thm l:
DHVP - Empirics.net
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c EMISCOM, 4/2006

U T
[ 2000 2000
200 ]
N P V = (0.5)
= $1000.
+
t=0
1.1
1.1
(1.05)t
(5.9)
NPV ny cao hn trng hp u t ngay lp tc, do vy nh u t nn ch i.

Nhng phn tch c bn trn y v c hi u t khi li sut thay i dn n mt s
kt lun quan trng. u tin, li sut dao ng xung quanh mt gi tr trung bnh lm
tng gi tr k vng ca d n, tuy nhin khuyn khch nh u t nn ch i ch
khng u t ngay. L do l, vi s thay i ca dng tin tng lai, s thay i li
sut tng lai s lm cho vic ch i c gi tr. Th hai, nu mc tiu ca chnh sch
cng l khuyn khch u t th yu t n nh ca li sut quan trng hn mc li
sut. Nhng chnh sch a n gim song cng lm mt n nh li sut s dn n
gim tng u t.
DHVP
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Chng 5
Quyt nh u t ca doanh
nghip
1 C hi v thi im u t
Vic nh gi mt c hi u t suy cho cng l vic la chn mt thi im ti u
u t mt lng chi ph ngm I v i ly k vng nhn c gi tr V ca d n ti
mt thi im trong tng lai. M hnh c bn nht xem xt vn ny l m hnh
c pht trin bi hai nh khoa hc McDonald v Siegel[?] ln u vo nm 1986.
Trong hai ng gi thuyt rng cng ty ch phi ra quyt nh u t vo mt d n
ring l. Chi ph ca vic u t, I bit trc v c nh, nhng gi tr ca d n, V
th dao ng theo chuyn ng Brown hnh hc(1) . M hnh chng minh rng quy
lut gi tr hin ti rng gin n cho php u t ch khi V > I hon ton sai. Nguyn
nhn l do theo quy lut u t ti u (2) th ch nn u t khi V ti thiu phi bng
mt gi tr ti hn V no , m gi tr V ny thng xuyn ln hn I nhiu. Thc t
cho thy, gi tr ti hn ny thng ln gp 2 n 3 ln I khi c so snh vi nhng
gi tr tham chiu ph hp.
Trong khi s dng phng php Quy hoch ng (3) gii m hnh (c th l tm V )
th vn quan trng nht phi la chn mt t sut chit khu ph hp. Nu th
trng hon ho, vic la chn u t c th coi nh vic nh gi mt quyn chn ti
chnh, v cng c th c gii quyt bng k thut phn tch nhu cu ti chnh ngu
nhin (4) . Vic gii li m hnh theo phng php ny cho php chng ta kim tra c
cc tnh cht ca quyn chn u t v s ph thuc ca n vo cc tham s khc.
Cui cng, m hnh s c m rng qua vic xem xt qu trnh ngu nhin a dng
ca V. c bit, chng ta s xc nh c tnh cht ca lut u t ti u ng dng th
no khi V dao ng theo qu trnh quy v trung bnh hay dao ng hn hp theo
chuyn ng Brown v bc nhy Poisson (5) .
(1)
Geometric Brownian motion

optimal investment rule
(3)
dynamic programming
(4)
contingent claim analysis
(5)
Poisson jump process
(2)
DHVP - Empirics.net
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CHNG 5. QUYT NH U T CA DOANH NGHIP
1.1
M hnh ban u
im xut pht l m hnh ca McDonald v Siegel (1986). Nh ni trn, m

hnh xem xt vn : Thi im no l ti u chi tr mt lng chi ph ngm I c
c mt d n vi gi tr V, bit rng V thay i theo chuyn ng Brown hnh hc .
dV = V dt + V dz
(1.1)
Trong , dz l s gia mt qu trnh Wiener (i din cho nhng yu t ngu nhin).

Mt s thay i trong gi tr tng lai ca d n c th c gii thch bng mt s gia
tng v thi gian v mt s thay i ca cc yu t ngu nhin. Cng thc 1.1 ni rng
gi tr hin ti ca mt d n l bit trc, nhng gi tr tng lai ca d n th
phn phi theo phn b loga chun vi phng sai l hm tuyn tnh theo thi gian(6) .
Do vy, mc d thng tin n lin tc (doanh nghip lun c th quan st V thay i),
th gi tr tng lai ca d n vn lun khng chc chn (7) .
Cng thc 1.1 ch l s khi qut ha phn ln d n trong thc t. Bi v, trong trng
hp tn ti chi ph bin i dng v cc nh qun l c kh nng ng ca nh my
tm thi khi gi sn phm u ra khng b p c lng chi ph ny, v/hoc h c
quyn hy b d n, th lc V s khng tun theo quy lut ca chuyn ng Brown
hnh hc cho d gi ca sn phm u ra c tng. Nu chi ph bin i dng v ban
qun l khng c quyn la chn c hy b d n, lc y V s m v mu thun vi
gi thit phn phi loga chun (8) . Ngoi ra cn c th cho rng, mt th trng cnh
tranh s bo ton gi khng lch qu xa khi chi ph bin ca ton ngnh trong di
hn, hoc nhng s thay i ngu nhin c th ln nhng s khng thng xuyn, nn
V lc y s tun theo qu trnh quy v trung bnh (9) hoc qu trnh bc nhy (10) .
Mt c hi u t cng tng t nh mt quyn chn mua vnh cu, l quyn nhng
khng bt buc mua mt loi c phiu ti mt mc gi c nh. Theo , ra quyt nh
u t cng tng t nh vic thc thi mt quyn chn. C th s dng phng php
quy hoch ng v phng php nh gi quyn chn (phng php xc nh nhu cu
ti chnh ngu nhin) tm ra quy lut chn thi im ti u thc hin quyn u
t ny.
K hiu gi tr ca mt c hi u t l F(V), v mong mun ti a ha gi tr ny. Li
nhun ca vic u t ti thi im t l VT I, cc i ha gi tr hin ti k vng nh
sau:
F (V ) = max[(VT I)eT ]
(1.2)
Trong , l k vng, T l thi im cha xc nh trong tng lai thc hin u t,
l t sut chit khu v cng thc 1.1 l cng thc ti u ha cho V. Ch rng, ti thi
im T trong tng lai ta quyt nh u t I v thu c VT khng chc chn. Nh
vy, gi tr quyn chn thi im T s l (VT I), eT l nhn t th hin s chit
khu v hin ti. cng thc trn c ngha, gi nh rng < nu khng biu
thc vi phn 1.1 s tr nn v cng ln khi chn mt thi im T kh ln. Nu khng,
tr hon ra quyt nh u t s lun l mt chnh sch tt hn, v thi im ti u s
khng tn ti. K hiu l phn chch lch gia , th > 0.
(6)
Cng thc 1.1 l vi phn bc nht ca V = V0 eT +z

uncertain
(8)
lognormality
(9)
mean reverting process
(10)
jump process
(7)
DHVP
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1. C HI V THI IM U T
1.2 Tip cn m hnh bng quy hoch ng

Do mt c h u t, F(V), s khng thu li cho n thi im T khi quyn chn u
t c thc hin. Phng trnh Bellman tm thi im u t ti u l:
(1.3)
F dt = (dF )
Ngha l, trong khong thi gian v cng b dt, tng li tc k vng ca c hi u t,

Fdt cn bng vi t l li vn k vng.
Trong , dF c khai trin theo b Ito nh sau:
1 00
0
dF = F (V )dV + F (dV )2
2
K vng ca dF s l:
1
0
00
[dF ] = V F (V )dt + 2 V 2 F (V )dt
2
Thay vo phng trnh Bellman, ta c:
1 2 2 00
0
V F V (F ) + V F (V ) F = 0
2
(1.4)
Thay = nh cp trn. o bo s tn ti nghim, gi nh rng

< hoc > 0. Phng trnh Bellman lc ny tr thnh mt phng trnh vi phn
ngu nhin vi nghim F(V):
1 2 2 00
0
V F V (F ) + ( )V F (V ) F = 0
2
Trong , F(V) phi tha mn nhng iu kin bin sau:
(1.5)
F (0) = 0
(1.6)
F (V ) = V I
(1.7)
F (V ) = 1
(1.8)
iu kin 1.6 pht sinh t quan st nu gi tr V ca d n gim xung bng 0 th n s

khng tng tr li na v quyn chn u t trong trng hp ny mt gi tr. Hai
iu kin sau l iu kin ti u. Trong , iu kin 1.7 l iu kin khp gi tr vi
ngha rng khi vic u t l ti u, cng ty s thu c li nhun rng l V I. Cui
cng, iu kin 1.8 l iu kin san chui iu kin lm trn m bo rng ti im
ti u V th F(V) lin tc v trn (11) . iu kin 1.7 cn c mt cch gii thch hu
dng khc khi vit li phng trnh thnh V F (V ) = I. Khi quyt nh u t,
cng ty nhn c gi tr V ca d n nhng t b quyn chn y t F(V). Nh vy,
li nhun rng t vic quyt nh u t l V F (V ). Ti thi im gi tr d n t
V khi li nhun rng cn bng vi tng chi ph trc tip v chi ph hu hnh, I.
(11)
ng biu din cc gi tr ca F(V) theo thi gian ti thi im V lin tc v khng b gy khc
DHVP - Empirics.net
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Phng trnh c li gii nh sau:
F (V ) = A1 V 1 + A2 V 2
(1.9)
Trong , A1 v A2 l cc hng s. V:
1
1
2
1 = ( )/ + [( )/sigma2 ]2 + 2/ 2 > 1
2
2
(1.10)
1
1
2 = ( )/ 2 [( )/sigma2 ]2 + 2/ 2 < 0
(1.11)
2
2
tha mn iu kin bin 1.6, A2 = 0. Vi iu kin 1.7 v 1.8 thu c gi tr V v
A ti thi im u t ti u l:
1
V =
I
(1.12)
1 1
A = (V I)(V )1 = (1 1)1 1 /[(1 )1 I 1 1 ]
(1.13)
Phng trnh 1.12 v 1.13 cng vi iu kin F (V ) = AV 1 (12) m t c hi u t v

nguyn tc u t ti u, l gi tr ti hn V l l gi tr ti u tin hnh u t.
1
Hn na, do 1 > 1 ta c 11
> 1 v V > 1. Nh th nguyn l NPV l khng chnh
xc; bt n v tnh khng th o ngc to ra mt tm nm gia gi tr ti
hn V v I. Kch thc ca ci nm ny l h s (1 /(1 1).
1.3
Tip cn m hnh bng phng php phn tch Nhu cu

ti chnh ngu nhin
Gi s nu vic u t ca cng ty c nm gi bi nhiu c ng v ngi qun l

mong mun nhng quyt nh u t ca h phn nh c li ch c ng. Khi ,
h s c gng ti a ha gi tr th trng ca cng ty. Liu trong trng hp ny quy
lut u t ti u c pht huy hiu qu na hay khng? Gi tr cng ty c chit khu
bi mt t l bt k v khng i. xut pht t u v n c thc s khng thay i
theo thi gian khng cha c mt s gii thch r rng. Bng phng php phn tch
nhu cu ti chnh ngu nhin, chng ta s xy dng c mt quy lut u t gn
ging vi quy lut trc y v tha mn yu cu ti a ha gi tr cng ty.
Phng php phn tch Nhu cu ti chnh ngu nhin
Gi nh quan trng nht ca phng php ny s bin ng ngu nhin trong gi tr
cng ty V b chi phi bi tt c cc ti sn trong nn kinh t. c bit trong iu kin
th trng vn kh hon ho th v l thuyt, mt nh u t c th lc no cng c th
tm ra mt ti sn hoc cu trc mt danh mc u t gm nhiu ti sn c gi tr ng
bng gi tr V. Tng t khi ni rng, nu th trng kh hon ho th cc quyt nh
u t ca cng ty khng nh hng g n c hi u t ca cc nh u t khc.
t x l gi ca ti sn hoc danh mc u t gm nhiu ti sn c th thay th hon
ho cho V v xm l h s tng quan gia x v danh mc th trng (13) . Do x thay th
(12)
(13)
do A2 = 0
K hiu l m.
DHVP
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hon ho cho V nn xm = V m . Gi nh rng danh mc u t khng tr c tc, theo
li nhun ca n hon ton thu v t cc khon li vn. x tun theo quy lut sau:
(1.14)
dx = xdt + xdz
Trong , l t l li tc k vng ca ti sn hoc ca danh mc. Theo m hnh
CAPM, c xc nh bi:
= r + xm
Trong , r l t l li sut phi ri ro ca th trng v l gi th trng ca ri ro.

Theo , l t l li nhun k vng c iu chnh ri ro m nh u t i hi khi
quyt nh tham gia d n. Cng gi nh rng, t l phm trm k vng trong s
bin i ca V phi nh hn . Nu khng cng ty s khng bao gi u t vo d n,
v cng ty lun c li hn khi ch i v gi quyn chn u t ti mi mc gi tr ca
V.
Cc kt qu
Mt ln na, t F(V) l gi tr ca quyn chn u t. Bng cch cu trc mt danh
mc u t phi ri ro c t l li tc yu cu bng vi li sut phi ri ro ca th trng,
chng ta s tm c gi tr F(V).
Danh mc u t c cu to nh sau: gi quyn chn u t tr gi F(V) v bn n
0
n v (n = F (V )) ca d n (hoc ti sn x hay danh mc u t thay th hon ho
0
cho V). Gi tr ca danh mc ny l = F F (V )V . Trong , danh mc u t thay
0
i khi V thay i, F (V ) cng bin ng qua cc khong thi gian dt. Tuy nhin, cng
ty lun nm gi n n v d n c nh.
0
Th on v trong danh mc trn i hi phi chi tr mt khon V F (V ) la mi
thi k, nu khng s khng c mt nh u t hp l no tham gia vo th trng v
trong giao dch ny. Tng t, vic nm gi th trng v i vi d n s yu cu
khon li nhun iu chnh ri ro V , bng khon li vn V cng vi lung chi tr
c tc V . Nh vy, tng thu nhp nhn c t danh mc u t ny l:
0
dF F (V )dV V F (V )dt
(1.15)
1 00
0
dF = F (V )dV + F (V )(dV )2
2
(1.16)
Khai trin dF theo b Ito:
Thu nhp ca danh mc s l:

1 00
0
F (V )(dV )2 V F (V )dt
2
(1.17)
Trong , (dV )2 = 2 V 2 dt do V tun theo chuyn ng Brown hnh hc c dch chuyn

nh tho lun trc y. Thu nhp ca danh mc tr thnh:
1 00
0
F (V )dt V F (V )dt
2
DHVP - Empirics.net
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(1.18)
c EMISCOM, 4/2006

Phn thu nhp ny l phi ri ro, v vy trnh c li trn th trng n phi bng
0
rdt = r[F F (V )V ]dt:
1 00
0
0
F (V )dt V F (V )dt = r[F F (V )V ]dt
2
(1.19)
Sau khi gin c, F(V) phi tha mn phng trnh sau:

1 2 2 00
0
V F (V ) + (r )V dF (V ) rF = 0
2
(1.20)
Phng trnh trn tng t nh phng trnh 1.4 c gii bng phng php quy
hoch ng trn, ch thay li sut chit khu bng li sut phi ri ro. Li gii s c
dng:
F (V ) = AV 1
(1.21)
Trong , 1 l:
1
1 = (r )/ 2 +
2
1
[(r )/ 2 ]2 + 2r/ 2
2
(1.22)
Gi tr ti hn V v hng s A rt t phng trnh 1.12 v 1.13. Nh vy phng php

phn tch nhu cu ti chnh ngu nhin cng c kt qu tng ng vi kt qu t
phng php quy hoch ng trn c s gi nh v trung lp ri ro (tc l t l chit
khu bng li sut phi ri ro).
1.4
Cc tnh cht ca nguyn tc u t ti u
Gi thit rng chi ph u t thng nin I = 1, r = 0.04, = 0.04 v = 0.2. T l li

nhun ca cc d n khc nhau rt khc nhau, nn gi thit = 0.04 khng c coi l
tiu biu.
Vi nhng tham s cho, lc 1 = 2, V = 2I = 2, v A = 14 . Khi nguyn l
NPV cho rng hng nn u t khi V ln hn hoc bng I l sai lm. Vi v d bng
gi tr c th ny, hng ch nn u t khi V t nht phi gp i I. Gi tr ca c hi
u t ca hng l F (V ) = 14 V 2 vi V 2, v F (V ) = V 1 vi V > 2 (v khi ny hng
quyt nh u t v nhn c li rng V 1 khi V > 2).
Hnh 5.1 m t F (V ) l mt hm ca V theo nhng gi tr tham s xc nh trn
v c trong trng hp = 0 v = 0.3. Trong tt c cc trng hp th tip im ca
ng F (V ) v ng thng V 1 u ti gi tr V . th cng ch ra rng trong
nguyn tc NPV nn b sung chi ph c hi ca vic u t ngay lp tc ch khng ch
i thm thng tin. Chi ph c hi chnh l F (V ). Khi V < V , F (V ) > V 1 v do
suy ra V < I + F (V ), tc l gi tr ca d n thp hn tng chi ph, chnh l
I + F (V ).
Khi tng th F (V ) v gi tr ti hn V cng tng. Do ri ro ln s lm tng gi
tr ca c hi u t ca hng, nhng s lm gim lng u t thc t. Kt qu l khi
th trng hay mi trng u t tr nn khng chc chn, th gi th trng ca mt
hng c th tng, d hng u t t hn v c l cng sn xut t hn.
S ph thuc ca V cng c biu din trong hnh 5.2, nhn thy V tng nhanh
chng khi tng. Do u t rt nhy cm vi khng chc chn ca gi tr d n
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m khng k n s thin v v ri ro ca nh u t hay nh qun l v cng khng k
n mo him ca V c tng quan vi th trng. Hng c th tnh trng trung
ho ri ro, v thay i ngu nhin V c th c a dng ho hon ton, th khi tng
s lm cho V tng, do c xu hng lm gim u t. Hnh 5.3 v 5.4 cho thy s
Hnh 5.1: Gi tr ca c hi u t
Hnh 5.2: Gi tr ti hn V ph thuc
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c EMISCOM, 4/2006

ph thuc ca F (V ) v V vo . Khi tng t 0.04 ln 0.08, F (V ) v gi tr ti hn V
gim. Khi tng, mi tham s khc khng i tr , th t l tng trng k vng ca V
gim, v do k vng vo gi tr ca quyn chn u t V gim. Do nh hng
nn vic ch i ch khng u t ngay lp tc s tr nn t gi hn. Chng ta
Hnh 5.3: Gi tr ca c hi u t F (V ) vi = 0.04 v 0.08
coi hay l nhng tham s c lp. Nu thay vo , cho php iu chnh khi
thay i, th khi tng 1 n v khin cho tng mt khong x m n v, v:
= = r + x m
Nu li sut phi ri ro r tng th F (V ) v V tng. L do l gi tr hin ti ca chi ph
u t I ti mt thi im tng lai T l IerT , nhng gi tr hin ti ca d n m nh
u t thu c v vic b ra chi ph l V eT . Nn nu c nh, r tng s lm gim
gi tr hin ti ca chi ph u t nhng khng lm gim li nhun n mang li. Tuy
nhin, lu rng du tng r s lm tng gi tr ca quyn chn u t ca hng, song
n li gy ra tnh trng t quyn chn u t c thc hin hn. Trong m hnh
truyn thng, vic tng li sut s lm gim u t v chi ph t bn cao; cn trong m
hnh ny li sut cao khin cho gi tr ca quyn chn u t, v do chi ph c hi
ca vic u t ngay lp tc, tng. Nh vy l li sut thc t cao vn s lm gim u
t, nhng vi l do khc so vi cch gii thch ca m hnh truyn thng. Hnh 5.5 cho
thy s ph thuc ca V vo r vi nhn gi tr 0.04 v 0.08. Tip theo, li c nh
khi r tng. Nu thay vo c nh , khi tng tng bc vi r. Khi r gim th
gim v gi tr ti hn V tng. Theo logic ny, li sut thp s lm gim u t. y l
biu hin thun tu ca tng quyn chn: li sut thp lm cho tng lai c tm
quan trng ln hn, do dn n chi ph c hi thc hin quyn chn u t tng ln.
Hnh 5.6 cho thy mt ci nhn khc v cch lut u t ti u ph thuc vo gi tr
tham s. y s dng nh ngha gi tr ca ti sn ti ch m khng tnh ti chi
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Hnh 5.4: Gi tr ti hn V l hm ca bin
Hnh 5.5: Gi tr ti hn V l hm ca bin r
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ph c hi thc hin quyn chn. Khi q = V /I = 1 /(1 1) l gi tr ti hn ca
q, chnh l s nhn ca I khi u t. Hnh 5.6 th hin ng mc c v da vo
cc gi tr khc nhau ca cc gi tr tham s phc hp 2r/ 2 v 2/ 2 . S nhn ny s
ln khi nh hoc r ln.
Hnh 5.6: ng cong ng vi hng s q = 1 /(1 1) l hm ca bin r
Kt qu tnh tng i ny ging nh kt qu khi p dng quyn chn mua ti chnh.

Quyn chn u t l tng t vi mt quyn chn mua lin tc mt c phiu c tr c
tc, khi V l gi c phiu, l t l c tc tng ng, v I l gi thc hin ca quyn
chn. Gi tr quyn chn mua c phiu v quy lut thc hin ti u s ph thuc vo
tham s , , v r nh theo cc hnh t 5.1 n 5.5. (14)
Khi dch kt qu tnh tng i nn lu tm ti vic cc tham s khc nhau c v nh
khng c lp tng i. Gi s nh trong trng hp li sut phi ri ro r tng s lm
tng li nhun k vng iu chnh theo li sut . Trong trng hp tc dch
chuyn khng i, th tng s khin tng. Do , tng s c xu hng lm cho
tng, ko theo tng khi khng i. Lu s ph thuc ln nhau ny khi phn tch
nh hng ca mt tham s b th trng tc ng (nh r) ti gi tr ca c hi u t
v lut u t ti u.
Mt lu khc khi thc hin cc th nghim tnh tng i l m hnh ny gi nh
cc tham s , , . . . l cc s c nh. Nu v thay i theo thi gian hoc do tc
ng ca bin trng thi V (c do tin nh hay ngu nhin) th phi tnh n chng
khi xc nh lut u t ti u.
(14)
bit thm chi tit v quyn chn mua ti chnh v trng thi tnh tng i ca chng, xem m
hnh Cox v Rubinstein (1985) v Hull (1989)
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2. NH GI D N V RA QUYT NH U T
2 nh gi d n v ra quyt nh u t
2.1 Chi ph vn hnh v s tr hon tm thi
2.2 nh gi d n khi u ra thay i
Tip tc gi s gi sn phm u ra tun theo chuyn ng Brown hnh hc nh cng
thc 1.1, , , v u xc nh. trng hp tr nn c ngha, > v
> 0. Trong phn ny, chng ta c thm gi nh vic vn hnh d n to ra mt dng
chi ph C. D n c th b tr hon tm thi khi gi sn phm u ra gim xung thp
hn C m khng phi mt thm mt chi ph no khc v vic ti khi ng li d n
khi gi bn sn phm b p chi phi cng khng mt thm chi ph na. Nh vy,
li nhun ca d n l:
(P ) = max[P C, 0]
(2.23)
Mt ln na, chng ta xem xt danh mc u t gm mt n v d n v n = Vp (P )
n v hp ng bn hay th on v trn ti sn thay th hon ho cho gi tr d n P.
Trong khong thi gian rt nh (t, t + dt), ngi gi danh mc ny c th thc thi
quyn chn vn hnh d n khi P > C; v khi li nhun rng s l
(P ) = max[P C, 0]. Ngoi s thay i trn, cc phn cn li ca d n nh li vn,
chi tr c tc vn c tnh ton nh trc. Theo , phng trnh vi phn cho gi tr
d n l:
1 2 2 00
0
P V (P ) + (r )P V (P ) rV (P ) + (P ) = 0
(2.24)
2
Phng php gii khng thay i. Phn thun nht trong nghim thu c l P 1 v
P 1 vn gi nguyn nh trc. Ch c phn khng thun nht l cc h s th s khc
nhau trong tng trng hp.
Nu P < C, ta c (P ) = 0 v nghim tng qut phng trnh vi phn l mt t hp
tuyn tnh ca P 1 v P 1 :
V (P ) = K1 P 1 + K2 P 1
(2.25)
Trong , K1 v K2 xc nh.
Nu P > C, nghim ca phng trnh 2.24 s l mt t hp tuyn tnh khc ca P 1 v
P 1 cng thm mt phn (P/ C/r). C dng:
V (P ) = B1 P 1 + B2 P 1 + P/ C/r
(2.26)
Trong , B1 v B2 cng xc nh.

p dng iu kin bin vo phng trnh 2.26 v ??, ta tnh c gi tr d n nh sau:
{
nuP < C
K 1 P 1
(2.27)
V (P ) =
2
B2 P + P/ C/r nuP > C
tnh gi tr k vng ca d n, cho P = C. Khi , gi tr d n trong hai trng
hp P > C v P < C bng nhau. Kt qu l:
C 11 2 2 1
(
)
1 2 r
(2.28)
C 12 1 1 1
B2 =
(
)
1 2 r
(2.29)
K1 =
DHVP - Empirics.net
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Chin lc ra nhp hoc t b
i vi rt nhiu d n, gi nh khng mt chi ph cho vic tr hon hoc ti khi ng

d n l khng thc t. Thm ch trong mt s trng hp, kh nng tr hon ri ti
khi ng d n sau l khng tn ti. Trong phn ln nhng trng hp khc, d
n c th c tr hon v ti thc hin ch vi mt lng chi ph ng k. Phn ny s
cp n mt m hnh hon ton khc bit vi m hnh trong phn trc. Trong
gi nh rng, nu vic vn hnh d n b tr hon, cng ty s phi gnh chu mt ln
na ton b chi ph u t ban u ti khi ng li d n (15) . Thay v vic tr
hon, mt cng ty nng ng c th cn nhc vic t b d n. ng nhin, cng ty s
khng phi la chn gia vic tr hon hay t b nu dng li nhun t vic thc hin
d n l m (16) . V vic ti khi ng c th tn km, s tn ti mt quyn chn tip
tc duy tr d n v quyt nh t b ch ti u khi cng ty phi chu mt ngng chi
ph ln. Chng ta cng s gi nh rng cng ty vn duy tr c nhng li th th
trng ca mnh khi mi bt u d n v khng b mt i quyn u t nu t b.
Trong phn ln cc trng hp, thc t xy ra nm trong khong gia khng mt chi
ph tr hon tm thi v ton b chi ph b ra b hao mn(17) ton b ngay lp tc. Chi
ph ngm ca d n s mt nu khng c s dng nhng qu trnh ny din ra t t.
My mc hay phng tin s b hao mn theo ng ngha en, hm m b st ln,
ngp nc nu ko c duy tr. Vi nhng ti sn nh khch hng, thng hiu, s
hao mn xy ra lm m nht i thng hiu v mc trung thnh ca khch hng.
Do vy, vic ti khi ng d n s tn km nhng khng tn km bng vic u t
mt d n hon ton mi. V chi ph ti khi ng cng tng nu thi gian tr hon
cng di. m hnh ha vn ny, chng ta phi xem xt c vic ti khi ng d
n cng nh mt quyn chn v s dng thng s thi gian tnh t ln tr hon cui
cng(18) vi vai tr mt bin c tc ng n gi tr ca quyn chn ny (lm trn).
Tt nhin c mt gii php trung gian gii quyt vn ny. S hao mn vn u t
c th c hn ch bng cch thc hin cc bin php bo tr (ngha en vi cc ti
sn hu hnh v ngha bng vi cc ti sn v hnh). Nh u t s khng t b hon
ton d n m duy tr s tn ti ca n bng cch thc hin cc bin php bo hnh
vn nhng khng vn hnh hot ng sn xut. Chng hn vi cc my mc hay
phng tin vn chuyn, nh u t c th a vo cc kho ct gi. Vic ny s lm
pht sinh mt khon chi ph bo tr nhng li duy tr c vn cho nhu cu ti u t
trong tng lai. Nh th s phi thc hin mt s la chn gia hai gii php, la chn
cui cng s ph thuc vo tng quan ln chi ph ca hai gii php ny v kh
nng c th quay li u t khi trong iu kin thch hp.
Ngoi bin ngu nhin (v d, bin gi c) tc ng ti dng li nhun ca d n, kh
nng t b cng l mt bin ngu nhin th hai. y l bin ngu nhin ri rc, nhn
gi tr 1 nu d n c tip tc vn hnh v nhn gi tr 0 nu ngc li. Chin lc
u t ca cng ty s bao gm mt cp quyt nh c iu chnh bi hai quyn chn
trn iu kin lm trn. Mt cng ty nhn ri s thc hin quyn chn c u t.
Vic ny em li cho cng ty cc dng li nhun t d n cng vi gi tr ca quyn
(15)
Chi ph ny nh mt s r r vn v n s mt i nu d n khng c ti khi ng.

V chc chn cng ty s t b
(17)
hay r r nh ch thch trn
(18)
elasped time
(16)
DHVP
78- Empirics.net
c EMISCOM, 4/2006
3. CHIN LC RA NHP HOC T B

chn t b. Nh vy, m hnh s phi a ra c quy lut thc hin ti u ng
thi hai quyn chn xt trn gc bin ngu nhin c s (gi). Tng t, khi a vo
xem xt gii php lu kho bo qun i vi chi ph b ra, s c 3 bin ngu nhin
ri rc v vic chuyn sang trng thi no cho ti u trong tng thi im cng s phi
c tnh ton.
3.1 Chin lc ra nhp v t b hn hp

M hnh gii hn trong trng hp cu tt nh vi gi nh gi c tun theo chuyn
ng Brown hnh hc. Chng ta s duy tr cc gi nh ban u t khi d n c
thnh lp. Quyt nh u t hay t b gi nh l c quyt nh bi mt cng ty
chp nhn gi v gi c vn tun theo chuyn ng Brown hnh hc :
dP = P dt + P dz
(3.30)
Nu cng ty u t (hay, tham gia vo th trng) n s nhn c mt d n sn xut

mt n v sn phm trong mt thi on v c nh vy mi mi hoc cho n khi d
n y b hy b. Bin chi ph vn hnh C bit trc v c nh. Li sut phi ri ro l
bin ngoi sinh v c nh ti r. Chng ta cng gi nh rng s bin ng ngu nhin
ca gi l tp hp gi c nhiu loi hng ha trn th trng (nu khng, bi ton c
th c gii n thun bng quy hoch ng). Do , li sut chit khu c iu
chnh ri ro tnh cho doanh thu ca cng ty u t d n l:
= r + P M
(3.31)
Trong , l gi th trng ca ri ro v P M l h s tng quan gia gi P v danh

mc th trng. Nh cc phn trc, ta t = k hiu cho mt t l thm ht v
gi, v chng ta gi nh rng > 0.
Cng ty phi gnh chu hai loi chi ph: chi ph tr mt ln I (19) u t d n v E
hy b n. E c th bao gm l khon bi thng ct hp ng cho ngi lao ng
(khon chi ny l theo lut) v/hoc chi ph thit lp li mi trng ban u cho
khu sn xut (chng hn nh khu ang d nh hoc ang tin hnh khai m). C th
c nhng trng hp chi ph I khng mt ton b, theo E s mang du m, ngm
nh rng mt phn ca khon u t c th c hi phc li sau khi t b. Nh vy,
iu kin I + E > 0 cn tha mn c ch tin t ca chu trnh u t v hy b c
hp l.
Bng trc quan ta thng kt lun mt cng ty nhn ri(20) s u t khi cc iu kin
v cu sn phm tr nn thun li v mt cng ty nng ng(21) s hy b d khi
cu tr nn bt li. Trn thc t, mt chin lc ti u cho u t v hu b, hay
ni cch khc l nm gi hay thc thi hai quyn chn, s c khong gi tr nghim nm
gia hai ngng, gi s PH v PL vi PH > PL . Mt cng ty nhn ri s vn duy tr tnh
trng nhn ri chng no gi P cn nh hn PH , v s u t ch khi P chm ngng
PH . Mt cng ty ang vn hnh s tip tc khi gi vn cn trn ngng PL v ch hy
b khi gi P xung thp hn mc ny. Nh vy, mt cng ty s duy tr trng thi ban
(19)
a lump-sum cost I: chi ph tr mt ln

cng ty khng thc hin d n
(21)
cng ty ang tin hnh d n
(20)
DHVP - Empirics.net
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u khi gi nm trong khong (PH , PL ) cho d d n c ang vn hnh hay b tr hon.
Nhn thc trc quan ni trn l c c s. Ta tin hnh xc nh hai mc ngng ni
trn thng qua s dng cc d liu ngoi sinh.
3.2
nh gi hai quyn chn
Gi tr ca cng ty l mt hm ca bin ngoi sinh gi P v bin trng thi ri rc nhn

gi tr bng 0 nu l cng ty nhn ri v nhn gi tr bng 1 nu cng ty nng ng. t
V0 P l gi tr quyn chn u t (ca cng ty nhn ri) v V1 P l gi tr quyn chn ca
cng ty nng ng. Ch rng V1 P l tp hp ca hai thnh phn, tng cc lung li
nhun thu c t vic thc hin d n v gi tr quyn chn t b d n khi gi ca
sn phm u ra xung qu thp.
Cng ty nhn ri s tip tc gi quyn chn u t khi gi sn phm cn nm trong
khong (0, PH ). iu kin bin iu kin lm trn s lin kt cc gi tr v vi phn ca
V0 P vi gi tr v vi phn ca V1 P ti PH . Tng t, nu gi sn phm nm ngoi
khong (PL , ), mt cng ty nng ng s tip tc gi quyn chn hy b d n. iu
kin bin v iu kin lm trn s lin kt gi tr v vi phn ca V1 P vi cc gi tr v vi
phn ca V0 P ti PL .
Bt u vi cng ty nhn ri. tm phng trnh vi phn cho V0 P , ta cu to mt
0
danh mc gm mt n v quyn chn u t v mt th on v V0 P sn phm u ra
(22)
. Phng trnh kt qu l:
1 2 2 00
0
P V0 (P ) + ( )P V0 (P ) V0 (P ) = 0
2
(3.32)
Phng trnh c li gii:

V0 (P ) = A1 P 1 + A2 P 2
Trong , A1 , A2 l c nh v xc nh c, v 1 , 2 l s m ca mt phng trnh
vi phn bc hai, c xc nh nh sau:
1
1
2
1 = ( )/ + [( )/ 2 ] + 2/ 2 > 1
2
2
1
1
2 = ( )/ 2 [( )/ 2 ] + 2/ 2 < 0
2
2
Khi vic gi quyn chn u t khng mang li li nhun v dn ti mt gi tr khi gi
P dn ti 0, h s tng quan A2 vi s m 2 tin ti 0. Nn:
V0 (P ) = A1 P 1
(3.33)
V li gii trn ch c hiu lc nu gi dao ng trong khong (0, PM ).

Tip theo, trng hp cng ty nng ng. Tnh ton tng t, ch thay vic duy tr
quyn chn u t trong danh mc s mt chi ph l mt dng tin rng l (P-C)dt.
Theo , ta c:
1 2 2 00
0
P V1 (P ) + ( )P V1 (P ) V1 (P ) + P C = 0
2
(22)
(3.34)
Bn khng V0 P sn phm u ra
DHVP
80- Empirics.net
c EMISCOM, 4/2006
3. CHIN LC RA NHP HOC T B

Li gii cho phng trnh trn l:
V1 (P ) = B1 P 1 + B2 P 2 + P/ C/r
Hai thnh phn sau cng trong cng thc trn l gi tr ca d n khi cng ty yu cu
c tip tc hot ng mi mi bt chp mi tn tht v hai thnh phn u tin l
gi tr ca quyn chn t b. Tnh hp l ca quyt nh t b trong mt tng lai
khng qu bt nh s tr nn rt nh trong trng hp gi P tin ti , nn gi tr
quyn chn t b s tin ti 0 khi P tr nn v cng ln. Theo , h s B1 ng vi s
m 1 dng s tin ti 0. Ta c:
V1 (P ) = B2 P 2 + P/ C/r
(3.35)
Cng thc c ngha khi P nm trong khong (PL , )

Ti ngng u t PH , cng ty u t mt khon chi ph I (23) thc hin quyn chn
u t, t b gi tr V0 (PH ) nhn gi tr V1 (PH ) ca vic thc hin d n. Theo
chng ta c iu kin gi tr ph hp v iu kin lm trn l:
V0 (PH ) = V1 (PH ) I
V0 (PH ) = V1 (PH )
(3.36)
Tng t, ti ngng t b PL , iu kin gi tr ph hp v iu kin lm trn l:

V1 (PL ) = V0 (PL ) E
V1 (PL ) = V0 (PL )
(3.37)
S dng cng thc 3.33 v 3.35 gii V0 (P ) v V1 (P ), phng trnh trn c th c

vit li nh sau:
(3.38)
A1 PH1 + B2 PH2 + PH / C/r = I
1 A1 PH1 1 + 2 B2 PH2 1 + 1/ = 0
(3.39)
A1 PL1 + B2 PL2 + PL / C/r = E
(3.40)
1 A1 PL1 1 + 2 B2 PL2 1 + 1/ = 0
(3.41)
Cc phng trnh trn khng tuyn tnh ti cc ngng u t hoc t b, nn cc

phng php phn tch dng ng l khng th. Tuy nhin, c th chng minh c
rng, li gii l tn ti, duy nht v c ngha kinh t. Khong nghim tha mn s l
0 < PL < PH < v cc h s tng quan ca thi hn quyn chn A1 v B2 l dng.
(23)
Chi ph tr mt ln.
DHVP - Empirics.net
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Chng 6
ng dng phn tch v nh gi
1
nh gi c hi u t khi chi ph u t thay i
1.1
Gii thiu m hnh
D thy rng quy lut gi tr hin ti rng (NPV) c in khng cn ph hp nh

gi c hi u t trong mi trng c ri ro. Nh gii thiu, mt quyt nh u t
c tnh cht tng t nh mt quyn chn mua trong ti chnh. Tuy nhin, gi thc
hin ca quyn chn mua ti chnh l c nh v bit trc (ti thi im k hp ng
mua) nhng gi thc hin mt quyn chn u t th him khi nh vy. Cng ty c th
phng on kh chnh xc chi ph ca quyt nh ti thi im hin ti, nhng s thiu
chnh xc hn nhiu nu l chi ph u t trong tng lai.
H qu l, mt quyn chn thc u t trong tng lai s tng t nh mt quyn
chn t gi hn l mt quyn chn mua thng thng do c s khng chc chn trong
gi thc hin. Vic u t theo s lin quan ti gi ca cc ti sn ri ro, chi ph u
t, v tng gi tr d n. Nh vy, nh gi mt quyn chn u t cn ch ti hai
yu t khng chc chn m c th l hai bin ngu nhin. Nu ch n gin ha vn
bng cch gi nh ch c tng gi tr d n l ngu nhin c th dn ti cc kt qu sai.
Do vy, m hnh Black-Scholes (1973) s khng c s dng nh gi d n vi
nhng tnh cht nh trn.
Mt tronh nhng m hnh nh gi d n vi hai bin ngu nhin l Carr (1988 v
1995). M hnh ca Carr a ra cch nh gi quyn chn t gi kiu M tn ti trong
thi gian xc nh (1) . M hnh l s kt hp ng thi yu t thi gian gii hn, tnh
linh hot trong vic u t ti bt k thi im no cho n khi o hn v tnh ngu
nhin trong c hai bin tng gi tr ca d n v chi ph u t trong mi tng quan
gia chng.
1.2
Phng php
nh gi quyn chn t gi hn hp
M hnh Carr (1988) pht trin m hnh nh gi quyn chn t gi hn hp kiu Chu
u. M hnh cng xut mt phng php xp x nh gi quyn chn t gi hn
(1)
Finite-lived American exchange options (AEOs)

DHVP
82- Empirics.net
1. NH GI C HI U T KHI CHI PH U T THAY I

hp kiu M s dng quy trnh ngoi suy hai m men (2) . Carr (1995) m rng m
hnh nh gi AEOs bng quy trnh ngoi suy vi ba m men.
Phng php ca Carr trong m hnh ny gm ba bc. Bc mt, xc nh gi tr ca
quyn chn t gi kiu Chu u (3) trn ti sn c chia c tc. Gi nh rng V v D
tun theo quy lut ca chuyn ng Brown hnh hc :
dV
= (v v )dt + v dZ
V
(1.1)
dD
= (d d )dt + d dZ
D
Gi tr ca EEO hay e(V, D, t) c xc nh nh sau:
(1.2)
e(V, D, t) = V evt N1 (d1 ) Dedt N1 (d2 )
(1.3)
Trong :
V l Tng gi tr d n;
D l Chi ph u t;
v v d l li nhun k vng ca V v t l tng trng chi ph u t;
v v d l giao ng ca V v D;
dZ l qu trnh Weiner chun ha (dZ = dt, (0, 1));

N1 (d) l phn phi chun ha tch ly;
d1 =
Ln(P et )+ 12 2 t
;
2 t
d2 = d1 t;
P
V
;
D
v d ; v
2 = v2 + d2 2v d , trong l h s tng quan gia thay i ca V v D.
Trong phng trnh 1.1 v 1.2, gi tr hin ti ca V v D bit v gi tr tng lai ca
chng gm 2 thnh phn. Thnh phn th nht xc nh do c tng quan vi s
gia thi gian v thnh phn th 2 l ngu nhin do n c quan h vi mt qu trnh
ngu nhin vi phng sai hm tng tuyn tnh theo thi gian.
Bc 2, xc nh gi tr AEOs gi mo (4) . K hiu t l thi im nh gi v T l ngy
o hn ca quyn chn. Khong thi gian (T-t) c th chia ra l n giai on bng
nhau. t En (T t) l gi tr PAEO, trong (T-t) l khong thi gian cho n khi o
hn v ch s n ni rng quyn chn c th c thc thi ti thi im kt thc ca bt
(2)
moment
European Exchange Option (EEO)
(4)
Pseudo American Exchange Options (PEAO)
(3)
DHVP - Empirics.net
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CHNG 6. NG DNG PHN TCH V NH GI

k giai on no trong n giai on cho ti ngy o hn. Cho n = 1, gi tr thu c
tng t EEO xc nh cng thc 1.3.
Cho n = 2, chng ta c PAEO c th c thc thi ti thi im T/2 v T. Quyn chn
s khng c thc thi nu chi ph c hi ca vic u t vt qu li nhun n mang
li:
V ev T N1 (d1 ) Ded T N1 (d2 ) > V D
(1.4)
Trong T = T /2.
Thay v hai bin ngu nhin (V v D), chng ta s dng P =
V
.
D
Theo :
P ev T N1 (d1 ) ed T N1 (d2 ) > P 1
(1.5)
t P l gi tr duy nht tha mn phng trnh:

P ev T N1 (d1 ) ed T N1 (d2 ) = P 1
(1.6)
Nu ti thi im T/2 P ln hn P , nh u t s thc hin quyn chn v tr 1

khon(V-D). Nu P nh hn P , quyn chn s khng c thc hin. Thc cht, n
tng t nh mt quyn chn kiu Chu u o hn ti T v chi tr max(0, V-D). Phn
li tc ngu nhin ny c th c p ng bi mt danh mc bao gm 3 quyn chn
kiu Chu u nh trong bng 1. Quyn chn th nht l mt EEO o hn vo thi
im T. Quyn chn th hai cng l mt EEO bao gm P n v D thay cho mt n
v V. Quyn chn th ba l mt EEO hn hp gm (P -1) n v D thay cho n v V
u tin v o hn ti T .
PAEO tng t nh mt danh mc u t bao gm hai EEO u vi nhng thi im
o hn tng ng vi ngy thc thi l T v T . Tuy nhin, nu mt quyn chn c
thc thi trc hn, n ng nhin khng th c thc hin vo ngy o hn. y l
l do phi thm vo mt th on v (5) (s hu quyn chn) trong quyn chn hn hp.
Gi tr ca PAEO vi n = 2 tng ng vi gi tr ca danh mc u t ny. Hai quyn
chn u u c th nh gi bi phng trnh 1.3. Quyn chn th s c xc nh
bi phng trnh sau:
c(s(V, D, T ), (P 1)D, T ; v , d ) = V ev T N2 (d2 , d2 ; p)(P 1)Ded T N1 (d 2) (1.7)
Trong :
d1 =
Ln( P e P
)+0.5 2 T
d2 = d1 T
N2 l hm phn phi tch ly chun chun ha nh bin
= T
; v
T
Tt c cc bin c xc nh t trc.
(5)
short position
DHVP
84- Empirics.net
c EMISCOM, 4/2006
1. NH GI C HI U T KHI CHI PH U T THAY I

Bng cch nhm tt c cc quyn chn li, chng ta thu c gi tr ca PAEO nh sau:
P AEO =
V ev T N1 (d1 ) Ded T N1 (d2 ) + V ev T N1 (d1 ) P Ded T N1 (d2 )

[V ev T N2 (d1 , d1 ; ) Ded T N2 (d2 , d2 ; ) (P 1)Ded T N1 (d2 )]
(1.8)
Dng ng thc thng k sau:

N1 (b) N2 (a, b; ) = N2 (a, b; )
n gin ha phng trnh 1.8 v thu c kt qu sau:
P AEO
= V ev T N1 (d1 ) Ded T N2 (d2 , d2 ; ) + V ev T N2 (d1 , d1 ; )

Ded T N2 (d2 , d2 ; )
(1.9)
Bc th ba, s dng quy trnh ngoi suy nh gi AEO. t E1 l gi tr ca EEO v

E2 l gi tr ca PAEO. Gi tr ca AEO c th c c lng bng phng php
ngoi suy Richardson(6) :
AEO E2 +
E2 E1
3
(1.10)
V c ba quyn chn iu c chung cc ti sn c bn v thi im o hn ging nhau

nn E1 v E2 c th c nh gi ring r theo phng trnh 1.3 v 1.9.
p dng vo nh gi quyn chn thc
Do tnh cht by gi hoc khng bao gi ca c hi u t theo phng php NPV
truyn thng nn c hi c nh gi tng ng vi phn chnh lch gia Vt v
Dt , trong Vt v Dt l tng gi tr d n v chi ph u t ti thi im t. Theo ,
vic u t c th t ti u nu Vt > Dt .
Nh nhng nghin cu trc y ch ra, iu kin trn khng cn ng trong mi
trng u t khng chc chn v khi d n c th c tr hon thc hin. L thuyt
quyn chn thc khng ch gii quyt vn ny m cn a ra thi im ti u
u t. Gi tr ca mt c hi u t thc phi bao gm c gi tr NPV tch cc v gi
tr ca s linh hot trong vic tr hon. Theo , gi tr ca d n bng NPV cng vi
gi tr ca mt quyn chn tr hon (DO)(7) .
Trong thc hnh, gi tr ca mt c hi u t (IO)(8) thng c ly l max(AEO,
NPV). D n ch c gi tr bng vi NPV khi DO bng 0.
Thi im thc hin u t cng rt quan trng. Ti mi thi im t, cng ty c gng
ti a ha gi tr IO bng cch chn la gia: (i) thc thi quyn chn v u t ngay lc
, hoc (ii) tr hon u t v ch i thm thng tin v V v D. Cng ty s cn tr
hon khi no gi tr duy tr quyn chn cn ln hn gi tr mang li do thc hin quyn
chn hm nay, tc l khi DO cn dng.
Cng thc ngoi suy nguyn gc cha iu chnh ca Carr: AEO E1 +
Deferment Option
(8)
Investment Opportunity
(6)
(7)
DHVP - Empirics.net
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E2 E1
3
c EMISCOM, 4/2006
2
2.1
nh gi c hi u t khi thi im thc hin

khng xc nh
Gii thiu m hnh
u t ti u, cng ty phi nh i gia li ch mang li t vic tr hon (thu thp

c nhiu thng tin hn, gim thiu ri ro, ...) v chi ph ca vic tr hon u t
(dng tin b mt i nu u t d n). Tuy nhin, trong bi cnh nh vy, cng ty
phi quyt nh hoc d bo tnh hnh thc t cho ti khi n c nng lc tr hon
thc hin d n. Sau thi im , c gi l thi im o hn(9) , quyn chn s
bin mt v cng ty khng cn c hi u t na.
C 3 kh nng: (i) thi im o hn khng xc nh, ngha l cng ty c c hi u t
vnh cu; (ii) k hn xc nh v thi im thc hin bit trc; (iii) trng hp ph
bin nht, thi im o hn xc nh, nhng do mt s l do, vic xy ra l khng
chc chn.
Nhng nghin cu trc y thng ch tp trung gii quyt vn ti u ha thi
im u t v u coi quyn chn u t nh l cc quyn chn kiu Chu u, quyn
chn mua kiu M, quyn chn mua vnh cu (kiu M) hoc quyn chn t gi kiu
M. Trong nhng nghin cu ny, quyn chn u t thng c gi nh l thi
im o hn khng xc nh, hoc nu xc nh th bit chc chn. Trong thc t,
quyn chn thc hin u t khng th tn ti vnh cu cng nh khng th bit trc
thi gian o hn nh quyn chn ti chnh (c ghi r trong hp ng). V vy, tnh
xc nh ca thi im o hn ng mt vai tr rt quan trng trong nh gi quyn
chn thc, c bit khi cc bin c dng u l bin ngu nhin.
V thi im o hn (10) l thi im m sau c hi u t s bin mt, vic nghin
cu nhng yu t tc ng vo s xut hin ca thi im ny v tnh ngu nhin ca
n tr nn rt quan trng. Trong trng hp phi ngu nhin, c th d dng nhn thy
nhng yu t ny l nhng yu t tin nh nh thi gian tm ra ngun ti nguyn u
vo, thi gian pht minh sng ch, ... Ngoi ra, rt him khi trong thc t tn ti quyn
chn vnh cu, thay vo phn ln thi gian o hn ca quyn c la chn u t
khng phi l v nh cng nh khng mang tnh cht xc nh bng hp ng(11) .
Quyn chn u t thng ph thuc vo mt s nhn t ngoi sinh, m khi nhng
nhn t ny tc ng th quyn chn s bin mt. V d, trong mi trng c quyn,
s ra nhp sm hn ca mt s cng ty s ph hy c hi ra nhp ca cc cng ty khc.
Trong thc t, kh nng nh hng ca cc i th cnh tranh v cc yu t bn ngoi
n kt cc u t l rt ln, dn n thi gian o hn ca quyn chn u t c xu
hng ngu nhin. Trong nhng m hnh trc y, kha cnh cnh tranh thng b
b qua v quyn chn u t c gi nh l c c quyn. Tuy nhin, trong thc
t rt t khi mt cng ty c kh nng c quyn mt quyn chn u t nh vy, ngc
li quyn chn u t phn ln l quyn chn chia s (12) .
gii quyt vn ti u ha c hi u t chia s (13) , ta tip cn bng cch gi nh
(9)
maturity date
maturity
(11)
contractual
(12)
shared options
(13)
shared investment opportunities
(10)
DHVP
86- Empirics.net
c EMISCOM, 4/2006
2. NH GI C HI U T KHI THI IM THC HIN KHNG XC NH

th trng ch c th cha N cng ty v khng tn ti c hi u t cho thm bt k
mt cng ty no khc. Tnh cht chia s ca quyn chn u t v tnh ngu nhin ca
thi im o hn m ch rng nu th trng ch cha c N cng ty th thi im
o hn s xy ra ngay khi N cng ty ra nhp th trng. Ngha l, ti mt thi im
ngu nhin no , quyn chn u t s bin mt v cng ty s khng cn c hi
m nhim d n. Hay ni cc khc c hi u t khng cn gi tr.
2.2 M hnh
Cc tnh cht c bn v cc gi nh
Mt cng ty c mt c hi u t vo mt d n. C hi u t ny b chia s vi mt
vi i th cnh tranh (ch rng, c hi tham gia u t ch tr thnh vn khi s
cng ty mun ra nhp th trng ny ln hn s ch sn sng trong th trng). M
hnh gi nh c th cha N cng ty tham gia cng mt cng vic kinh doanh. Nu
N = 1 th th trng l th trng c quyn, nu N = 2 l th trng hai cng ty c
quyn lng on v nu N cng ln th th trng cng cnh tranh. D thy rng, mt
cng ty vn cn c quyn chn u t chia s, ngha l vn cn kh nng tr hon u
t cho n khi N cng ty ra nhp th trng. C ngha l, sau N ln ra nhp (c m
hnh ha nh nhng bc nhy Poisson) th quyn chn u t s tr nn v gi tr v
th trng khng cn ch trng na. y cng chnh l thi im o hn ca
quyn chn. V s ra nhp ca cc cng ty l ngu nhin (s kin Poisson), thi im
o hn cng xy ra ngu nhin.
Vi m t nh vy, quyn chn u t s tng t nh mt quyn chn kiu M vi
mt khc bit quan trng: ti thi im o hn, li tc ca quyn chn s khng phi
l max
V K, 0
. Ti thi im o hn cng ty s khng th u t bi v th trng khng cn ch
trng n ra nhp. Ngha l, quyn chn u t khng hon ton ging quyn chn
kiu M ch n c th u t ti bt k thi im cho ti khi o hn nhng khng
bao gm c thi im o hn v thi im ny l ngu nhin.
S gia nhp ca cc cng ty s c m hnh ha bng bc nhy Poisson v thi im
o hn s xy ra sau N bc nhy. Gi nh l cc bc nhy ny c lp vi nhau v
vi gi tr ca d n, cng nh khng i theo thi gian. Trong m hnh ny, chng ta
cng gi nh rng quyn chn c u t khng lin quan n yu t thi gian. Khi
cng ty cng tin gn n thi im o hn khng c ngha l thi gian ngy cng t
m l cng nhiu bc nhy c thc hin.
Cui cng, th trng c gi nh l ng u. Cc cng ty tham gia th trng u
sn xut v bn mt loi hng ha, dch v ging nhau cng nh tng t nhau v quy
m v kh nng sinh li.
Xy dng m hnh
Mt cng ty vi li tc ri ro trung tnh c c hi u t vo mt d n, bng cch chi
tr mt lng chi ph u t K i li tng gi tr d n V c gi nh l tun theo
DHVP - Empirics.net
87
c EMISCOM, 4/2006

mt chuyn ng Brown hnh hc c bi(14) nh sau:
dV = ( )V dt + V dZ
(2.11)
Trong , l li tc phi ri ro, l t l c tc (tng ng vi chi ph c hi khi tr

hon u t), l dao ng ca V v dZ l s gia ca qu trnh Weiner.
Ngoi ra, nh ni trn, gi tr ca quyn chn u t cng l mt hm ca N (s
ch trng trong th trng) v tun theo qu trnh Poisson c dng:
dN = dq
(2.12)
trong :
{
dq =
1 vi xc sut dt
0 vi xc sut 1 dt
(2.13)
Mi bc nhy ng vi s ra nhp ca mt cng ty mi (mt s kin Poisson) lm

gim s ch trng trong th trng xung 1 n v. iu ny xy ra vi cng ,
trong l t l trung bnh xy ra s kin trong khong thi gian nh dt.
Di mc ri ro trung tnh, gi tr ca quyn chn l mt hm ca V v N sao cho
F (V, N ) FN (V ), phi tha mn iu kin cn bng sau:
(2.14)
FN (V )dt = E[dFN (V )]
Khai trin dFN (V ) theo nh l Ito, ta c phng trnh vi phn 2.15. FN (V ) phi
tha mn phng trnh ny trong sut khong thi gian lin tc, ti mi thi im
V < VN (trong , VN l gi tr ti u ca quyn chn (15) ).
2 2 2 FN (V )
FN (V )
V
+ ( )V
+ [FN 1 (V ) FN (V )] = FN (V )
2
2
V
V
(2.15)
[FN 1 (V ) FN (V )] tin gn n gi tr mt i k vng ca quyn chn thc nu c

thm mt cng ty mi gia nhp trong khong thi gian nh, dt. Nu mt cng tu
tham gia th trng th quyn chn chia s s o hn ti bc nhy th N-1 thay v
bc nhy th N. Kt qu l, gi tr ca quyn chn thc v gi tr quyn chn thc v
gi tr ti u u thp hn sau mi s ra nhp mi. Bin i hai v ca phng trnh
2.15 ta c:
2 2 2 FN (V )
FN (V )
V
+ ( )V
( + )FN (V ) = FN 1 (V )
2
2
V
V
(2.16)
Thay iu kin bin sau y vo phng trnh 1.6:

lim FN (V ) = 0
(2.17)
lim FN (V ) = VN K
(2.18)
V 0
V VN
(14)
(15)
geometric Brownian motion with drift

options trigger value
DHVP
88- Empirics.net
c EMISCOM, 4/2006
lim
V VN
FN (V )
=1
V
(2.19)
iu kin 2.17 khng nh rng quyn chn u t khng c gi tr ti V = 0, iu kin

2.18 l iu kin gi tr ph hp v iu kin 2.19 l iu kin san dy.
Rt t lp phng trnh vi phn c c li gii p trong thc t. May mn l phng
trnh trn c th gii c, mc d qu trnh quy ko di t thi im n = 1 (vi gi
tr F1 (V )), ri tip tc N bc n = 2, 3, ...N (vi tng gi tr F2 (V ), F3 (V ), ..., FN (V )).
Khi n = 1, quyn chn s o hn ti bc nhy tip theo nu th trng l c quyn
hoc nu c N-1 cng ty tham gia th trng. Gi tr quyn chn phi tha mn
phng trnh 1.6. C th trong trng hp N=1, n tr thnh:
2 2 2 F1 (V )
F1 (V )
V
+
(
)V
( + )F1 (V ) = F0 (V )
2
2V
V
viV < V1
(2.20)
Ti n = 0 quyn chn u t khng c gi tr nh ni trn (khi cng ty cui cng

c chp nhn gia nhp th trng, quyn chn s bin mt tng t vi vic
F0 (V ) = 0) phng trnh 2.20 tr thnh:
2 2 2 F1 (V )
F1 (V )
V
+
(
)V
( + )F1 (V ) = 0 viV < V1
2
2
V
V
(2.21)
l mt phng trnh vi phn ng nht Cauchy-Euler, c gii hn bi nhng iu

kin thp hn (trong V1 l gi tr trigger cho quyn chn o hn ti bc nhy tip
theo):
lim F1 (V ) = 0
(2.22)
V 0
lim F1 (V ) = V1 K
V VN
lim
V V1
F1 (V )
=1
V
(2.23)
(2.24)
Li gii cho phng trnh 2.21 l:

F1 (V ) = A1,1 V 1 + A1,2 V 2
(2.25)
trong A1,1 v A1,2 l cc hng s xc nh c v:
2( + )
1
1
+ ( +
)+
>1
(2.26)
1 =
2
2
2
1
1
2( + )
1 =
( +
)+
<0
(2.27)
2
2
2
2
ti iu kin bin 2.22 v A1,2 V 2 + khi V 0 th A1,2 s bng 0. Hai iu
kin cn li dng xc nh A1,1 (hay y l A1 ) v V1 .
Gi tr ca c hi la chn u t o hn ti bc nhy ngay sau , theo , c xc
nh l:
{
A1 V 1 khi V < V1
F1 (V ) =
(2.28)
V K khi V V1
DHVP - Empirics.net
89
c EMISCOM, 4/2006

trong 1 c xc nh nh trong cng thc 2.26 v
1
A1 =
1 V11 1
V1 =
1
K
1 1
(2.29)
(2.30)
D nhn thy cng thc 2.28 n 2.30, gi tr ca quyn chn o hn ti bc nhy

tip theo tng t nh mt quyn chn vnh cu kiu M trn ti sn c bn (v d X)
tun theo hn hp ca chuyn ng Brown v qu trnh bc nhy di dng
dX = Xdt + dZ Xdq.
Khi n = 2, gi tr quyn chn o hn ti bc nhy th hai, F2 (V ) phi tha mn
phng trnh sau:
2 2 2 F2 (V )
F2 (V )
V
+ ( )V
( + )F2 (V ) = F1 (V )
2
2
V
V
viV < V2
(2.31)
rng buc bi cc iu kin:

lim F2 (V ) = 0
(2.32)
lim F2 (V ) = V2 K
(2.33)
V 0
V VN
lim
V V2
F2 (V )
=1
V
(2.34)
Phng trnh 2.31 l phng trnh vi phn Cauchy-Eulerkhng thun nht. Li gii
chung cho phng trnh ny l tng hp cc li gii trong iu kin thun nht. Theo
, gi tr F2 (V ) c xc nh nh sau:
A2 V 1 + a1 (V )V 1 + a2 (V )V 2
khiV < V1
B V 1 + a (V )V 1 + a (V )V 2 +
2
1 1
2 1
F2 (V ) =
V
K
(
+
)
a1 (V1 V 1 V 2 ) khiV [V1 , V2 ]
(1 1)(2 1)
1 2
V K
khiV V2
(2.35)
Trong :
1
log(x)
a1 (x) = A
1 2
A1 1 2
a2 (x) = 1 2 x
v
A2 =
B2 =
a1
a2
x
( 1
+ K )
1
1 2
x
+ K )
( 1
2
beta1 2
x1
x2
1
1 A
1
A1
A1
V 1 1
V 1 1 1 log(V2 )V2 1
(1 2 )2 2
2 1 2
2
1
1
1 V2 1
1 1
1
11 [a1 (V1 )a1 (V1 )]V2

2 [a2 (V1 )a2 (V1 )a2 (V1 )]V2 2 + ( 1)(
1
2 1)
1 1
1 V2
DHVP
90- Empirics.net
c EMISCOM, 4/2006

Vi V2 l nghim ca phng trnh:
V2
A1 1 2 2
V
K
K
V1
V2 ( 1 + )V12 V22 1 (V2 K) = 0
+ )+
2 1 2 1 2
1 2 2
(2.36)
Nh vy l khi cc yu t u vo khng chc chn, nh hng ca chng ln quyt
nh u t ph thuc vo s thay i ca chng. Quyn t do la chn c u t hay
khng l mt quyn chn c gi tr. Vi cc d n c nhiu giai on th ch c th bit
c v yu t khng chc chn khi d n thc hin c mt vi giai on u.
V2 +(
DHVP - Empirics.net
91
c EMISCOM, 4/2006
Ph lc tra cu
nh gi trung lp ri ro, 35, 51
on v-short position, 12, 32, 48
u c, 10, 11
on v, 7
gi im, 6
Gii hn di, 28
Quyn chn khng tr c tc, 28
Quyn chn tr c tc, 30
Gii hn trn, 28
AEOs, 82, 83
alternative stochastic processes, 67
H thc cp i mua bn, 14, 30
Bn khng quyn chn, 12

bc nhy Poisson, 67
in the money, 15
in-the-money, 6
Chi ph ngm, 57
Chi ph tr mt ln, 79
Chin lc, 12
Chin lc kinh doanh kt hp, 23
Chin lc mua bn hn hp, 25
Chin lc mua hng hai, 24
Mua bn chnh lch theo ng cho,
23
Mua bn quyn chn lin hp, 18
Mua bn song hnh, 14
Mua bn song hnh theo chiu ln, 21
Mua bn song hnh theo chiu xung,
21
Mua bn song hnh theo lch, 20
Mua bn song hnh trung lp, 21
Mua bn theo chiu ln, 14
Mua bn theo chiu xung, 16
Mua bn theo lch ngc, 22
Mua bn theo t l, 22
Strips v Straps, 25
Chuyn ng Brown hnh hc c bi, 88
chuyn ng Brown, 67
Chuyn ng Brown hnh hc, 67, 79, 83
chuyn ng Brown hnh hc, 68
Kh nng tr hon, 56, 57

Kinh doanh chnh lch gi, 11
EEO, 83
geometric Brown motion, 68
Li sut ro cn, 57
mean reverting process, 67
optimal investment rule, 67
out of the money, 15
out-of-the-money, 7
PAEO, 83
Phn tch nhu cu ti chnh ngu nhin,
67, 68
phng h, 11
qu trnh bc nhy, 68
qu trnh quy v trung bnh, 68
Quy hoch ng, 67, 68
Quy lut u t ti u, 67
quy lut gi tr hin ti rng, 67
Quyn chn, 6
quyn chn, 10
quyn chn bn, 6
quyn chn kiu Chu u, 7
quyn chn kiu M, 7
quyn chn mua, 6
Quyn chn bn an ton, 13
Quyn chn mua c bo m, 12
DHVP
92- Empirics.net
PH LC TRA CU
sunk cost, 68
Ti sn c s, 6
Tnh khng th o ngc, 56, 57
trng v, 7
Trng v-long position, 12, 32, 48
DHVP - Empirics.net
93
c EMISCOM, 4/2006

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L loi ti sn s c giao trn c s mua hoc bn khi quyn chn

In-the-Money Nu mt quyn chn c gi tr ni ti (8) , n c gi l in-the-money.

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Giao dch quyn chn

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Chin lc mua bn song hnh l chin lc s hu cng mt v th trn hai quyn

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Mt trong nhng chin lc mua bn ph bin nht l chin lc mua bn theo

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