ACCAspace
Provided by
ACCA Research Institute
ACCA P4
Advanced Financial Management (AFM)
高级财务管理
ACCA Lecturer: Lily Wang
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com
, P4 Chapter 9 Content
1 Principles of option pricing theory
2 The Black-Scholes option pricing model
3 Identifying real options in investment appraisal
4 Valuing real options
5 Other uses of the Black-Scholes model
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 2
, Chapter Summary
Options pricing theory
Drivers of value Black-Scholes Real options
• Risk-free rate- • Basic model • Types of real options
government bond • Limitations • Valution using
• Volatility-standard • Application to US Black-Scholes
divation of returns options
• Exercise price • Application when
• price of underlying dividends are received
-mid-price
• Time to expiry
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 3
, 1.Principles of option pricing theory
Option terminology
• An option
The right but not an obiligation, to buy or sell a particular good at an
exercise price, at or before a specified date
• Call option
The right but not an obligation to buy a particular good at an exercise
price.
• Put option
The right but not an obligation to sell a particular good at an exercise
price.
• Exercise/ strike price
The fixed price at which the good may be bought or sold
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 4
Provided by
ACCA Research Institute
ACCA P4
Advanced Financial Management (AFM)
高级财务管理
ACCA Lecturer: Lily Wang
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com
, P4 Chapter 9 Content
1 Principles of option pricing theory
2 The Black-Scholes option pricing model
3 Identifying real options in investment appraisal
4 Valuing real options
5 Other uses of the Black-Scholes model
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 2
, Chapter Summary
Options pricing theory
Drivers of value Black-Scholes Real options
• Risk-free rate- • Basic model • Types of real options
government bond • Limitations • Valution using
• Volatility-standard • Application to US Black-Scholes
divation of returns options
• Exercise price • Application when
• price of underlying dividends are received
-mid-price
• Time to expiry
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 3
, 1.Principles of option pricing theory
Option terminology
• An option
The right but not an obiligation, to buy or sell a particular good at an
exercise price, at or before a specified date
• Call option
The right but not an obligation to buy a particular good at an exercise
price.
• Put option
The right but not an obligation to sell a particular good at an exercise
price.
• Exercise/ strike price
The fixed price at which the good may be bought or sold
ACCAspace 中国ACCA特许公认会计师教育平台 Copyright © ACCAspace.com 4
