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Ella · 2024年02月17日

能详细说下金融期权与实物期权都区别吗

NO.PZ2023090506000009

问题如下:

Which of the following statements about real options is true?

选项:

A.

Using option pricing models estimates an option’s value with the highest accuracy.

B.

Real options allow companies to abandon an investment project if its profitability is poor.

C.

Real options would allow a refinery to hedge future prices of crude oil needed for production.

解释:

B is correct. An abandonment option is a type of real option, which allows a company to abandon the investment after it is undertaken.

A is incorrect because even though real options can be priced using option pricing models, the estimates require multiple unobservable inputs, such as probabilities of events and timing of their occurrence. The complexity does not necessarily improve accuracy.

C is incorrect because real options provide companies with flexibility with regard to future decisions; however, they do not allow the hedging of commodity prices. The risk of crude oil price changes can be hedged using financial options, not real options.

以C选项为例

2 个答案

王琛_品职助教 · 2024年02月19日

嗨,努力学习的PZer你好:


解释下什么是石油的实物期权

1

我理解同学问的是实物期权中基本面期权 Fundamental Option

这种期权,一般基础资产针对的都是大宗商品

期权投资的回报,取决于基础资产的价格

2

比如:油井或炼油厂的投资价值,取决于石油的价格;金矿的价值则取决于黄金的价格

如果油价低,你可能不会钻井。只有当油价高的时候,才会选择去钻井

所以是否选择做项目,要看基础资产的价格

3

比如经典题 M5 的 4.2 题

题干说了,只有铜价高于 2.75,才会启动项目,所以属于 fundamental option

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王琛_品职助教 · 2024年02月18日

嗨,爱思考的PZer你好:


1

金融期权的细节,咱们会在衍生品 Derivatives 学科中详细介绍

这里咱们只要把握,金融期权和实物期权的底层资产是不同的即可

2

实物期权的底层资产是机器设备等实物,是在资本分配的背景下介绍的,涉及的是资本项目的投资决策

而金融期权的底层资产是金融资产,比如股票等,是在衍生品的背景下介绍的

3

选项 C 的对冲原油价格,其实是金融期权的作用,而不是实物期权的作用

请参考基础班讲义墨迹版 P290

同学不用担心,等同学学完衍生品,再回看这道题就会很简单了哈

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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