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你好 欢迎来到中南财经政法大学的
Welcome to the MOOC classroom of valuation of Internet companies

慕课互联网企业估值的课堂
in Zhongnan University of Economics and Law

在前面的课程内容中
In the previous course content，

魏老师和陈老师跟大家分析了
Wei and Chen analyzed the application of

相对估值法和绝对估值法
relative valuation method and absolute valuation method

在企业价值评估中的应用
in enterprise value evaluation

今天就由我来继续跟大家讨论B-S期权定价法
Today let me discuss B-S option pricing method with everyone

以及在DCF方法中
And some common calculation methods

就是折现率的一些常用的计算方法
for the discount rate in the DCF method

以及在企业价值评估中
And some of the issues that should be noted

所有这些方法的应用
in the application of all these methods

应该注意的一些问题
in enterprise value evaluation,

它的一些前提条件
some of its preconditions,

一些注意要素等等
some attention factors ,etc

首先呢我们一起来学习一下B-S期权定价法
First let's learn B-S option pricing method together

在现实中呢我们经常会看到很多同学
In reality, we often see many students,

尤其是一些硕士研究生
especially some graduate students

为了完成他的毕业论文
In order to complete his thesis

经常会选用B-S期权定价法来选题
They often use the B-S option pricing method to select topics

但是什么样的资产
But what kind of assets

什么样的企业可以用B-S期权定价法
and what kind of enterprises can use the B-S option pricing method,

有很多人其实还没有搞清楚
many people have not yet figured out

那首先呢我们就来了解一下这个方法的一个背景
First let’s take a look at the background of this method

B-S期权定价法是1972年
The B-S option pricing method was founded in 1972

由美国的金融学家FisherBlack和MyronScholer创立
by American financial scientists FisherBlack and MyronScholer

那么在很多领域得到了推广和应用
It has been promoted and applied in many fields,

出现了各种各样的变形和新的形势
and various transformations and new situations have emerged

那通常来说
Generally speaking,

如果一项资产的报酬
if the return of an asset depends on

取决于这个资产的标的资产价值
the underlying asset value of the asset,

我们就可以把它当做期权来进行估值
we can use it as an option to make a valuation

期权它是一种金融的合约
An option is a financial contract that

它赋予持有人在特定的时间以确定的条件
gives the holder the right to purchase or sell an asset

购买或者出售某项资产的权利
at a specified time and at a certain condition

与其它的金融合约相比
Compared with other financial contracts

期权的特殊性在于它赋予其持有者
the particularity of an option is that it gives its holder

做某项事情的权利
the right to do something,

而不是义务
not the obligation

也就是说在这个行权期到来的时候
That is to say, when the exercise period comes,

这个持有人可以选择做这个事
the holder can choose to do it

也就是行权
That is exercise his power

也可以选择不行权
or choose not to do it

他不是必须要去完成这项事情的
He does not have to do this

那么具有期权特征的资产有两个特点
Assets with option characteristics have two characteristics

第一个就是这种资产通常是
The first is that such assets are usually

从其他资产的价值中派生出它的价值
derived from the value of other assets

第二个就是资产的现金流
The second is the cash flow of assets,

它有一种相机性的特点
which has a discretionary character

而且这种相机性取决于
and this discretionary character depends on

特定事件的发生
the occurrence of specific events,

比如说像专利
such as, patents,

还有没有开发的矿产资源等等
developed mineral resources, etc

这样一些资产就具有期权的特征
Such assets have the characteristics of options

所以对于这类资产的估值
So for the valuation of such assets,

我们就可以尝试使用期权定价法
we can try to use the option pricing method

那么大家知道专利
Well ,everyone knows that patents

是很多高新技术企业最核心的无形资产
are the core intangible assets of many high-tech enterprises

所以很多初创期的高新技术企业的估值
So many valuations of start-up high-tech companies

就会尝试着使用期权定价法
will try to use option pricing method

因为在这个时候
Because at this time,

常规的现金流折现方法
the conventional cash flow discounting method

无法对这个企业的未来的收益、折现率、
cannot make decisions and predictive analysis

它的存续期限等等这样一些关键参数作出决策
on the key parameters of the company's future earnings,

作出这样的一个预测分析
discount rate ,duration and so on

所以那我们就使用B-S期权定价法来对
So we use the B-S option pricing method

这种具有期权特征的资产或者是企业进行估值
to evaluate this asset or company with option characteristics

根据这个标的资产到底是金融资产
According to whether the underlying asset is a financial asset

还是实物资产
or a physical asset

金融资产通常来说主要是股票债券
Financial assets are usually mainly stock bonds

实物资产主要是商品、
Physical assets are mainly commodities,

房地产、投资项目等等
real estate, investment projects ,etc

我们可以把期权分成一般的期权
We can divide the options into general options

或者是金融期权和实物期权
or financial options and real options

这个一般的期权我们就叫做option
This general option is called option

实物期权我们就叫realoption
The real option is called realoption

首先我们来一起学习一下期权的一些基本概念
First let's learn some basic concepts of options

期权可以分成看涨期权和看跌期权
Options can be divided into call options and put options

看涨期权的英文叫做calloption
The call option is called calloption in English

它代表了持有人购买某种资产的权利
It represents the holder’s right to purchase an asset

看跌期权的英文叫做putoption
The put option is called putoption in English

它代表了持有人出售某项资产的权利
It represents the holder’s right to sell an asset

第三个概念叫做执行价格
The third concept is the execution price,

英文呢是叫做strikepriceorexerciseprice
which is called strikepriceorexerciseprice in English

那么它代表的是这个期权
Then it represents a value paid to

被执行时支付给资产的一个价值
the asset when the option is executed

第四个概念叫做
The fourth concept is called

到期的购买价格或者是期权费premium
the expiring purchase price or the premium

那么第五个要素就是到期日他代表的
The fifth element is the last date on which the option

这个期权被执行的一个最后日期
he represents is executed on the expiration date

欧式期权通常在只有到期的时候才能被执行
European options are usually executed only when they expire,

而美式期权可以在到期之前的
while American options can be executed

任何时间执行
at any time before they expire

我们要了解一下
We need to understand that

影响期权的因素是非常多的
there are many factors that affect options

主要来说有六个关键的影响因素
Basically,there are six key influencing factors

第一个就是标的资产的价值
The first one is the value of the underlying asset,

我们用S来表示
which we use S to represent

第二个是它的约定的执行价格
The second is the agreed execution price,

我们用X来表示
which we use X to represent

第三个呢就是我们刚才讲的期权的有效时间
The third is the effective time of the option,

我们用T来表示
which we use T to represent

第四个就是标的资产的价值方差
The fourth is the value variance of the underlying asset

第五个就是无风险利率
The fifth is risk-free interest rate

第六个是股票的这个红利
The sixth is the dividend of the stock

我们一起来学习一下B-S期权定价模型的公式
Let's learn the formula of the B-S option pricing model

这个公式看起来很复杂实则很简单
This formula looks complicated but very simple actually

他的意思就是说
What he means is that

这个期权的价值是由两种正态分布的概率
the value of an option is determined by the difference

和相应的这个期权的价格状态的
between the probability of two normal distributions

差额来决定的
and the price of the corresponding option

那么其中呢这个C0就代表了期权的价值
Then the C0 represents the value of the option,

S0是我们刚才说的当前的这个股票的价格
and S0 is the current price of the stock we just said,

然后呢X是我们这个期权的执行的价格
X is the price at which the option is executed,

这代表了两个时期不同的价格
which represents a different price for two periods,

然后呢N（d1）代表的是
N(d1) represents the probability of a normal distribution

在第一这个参数状态下的一个正态分布的概率
in the first state of this parameter,

N（d2）是代表了在d2这个参数状态下的一个正态分布
N(d2) represents the normal distribution in the state of d2

然后e代表的是自然的对数的这个数值
Then e represents the value of the natural logarithm

然后我们要对它进行一个取对数的处理
Then we have to do a logarithmic process on it,

最后我们还有一个方差
and finally we have a variance

好 然后如果我们知道了
Well,then if we know the six parameters mentioned above

前面所说的六个参数
we can find the parameters of

我们就可以求出d1、d2这两个概率分布的参数
the two probability distributions d1 and d2

然后分别去计算它们的正态分布概率
Then calculate their normal distribution probability separately

最后再把它带到这个B-S期权定价模型
Finally bring it into the calculation formula

计算公式之中
of this B-S option pricing model,

就可以得出这个期权的价值
and you can get the value of this option

空口无凭
There must be a basis for doing things

我们一起来看一个案例把这个公式应用一遍
Let's look at a case and apply this formula again,

所以大家可以通过这个案例的应用
so you can have an in-depth understanding

对这个B-S期权定价模型
of this B-S option pricing model

有一个深入的理解
through the application of this case

比如说我们来看
For example,

2001年的3月6号 美国的思科公司
On March 6, 2001, Cisco’s stock trading price

它的股票交易价格是13.62美元
in the United States was $13.62

那么我们需要评估它
Then we need to evaluate the value of

在2001年6月20号到期的
the call option with an execution price

一个执行价格为15美元的看涨期权的价值
of $15 that expires on June 20, 2001

当天它在美国芝加哥期权交易所的
On the same day, it traded at US$2

交易价是2美元
on the Chicago Board Options Exchange

重要的一些参数如下
Some important parameters are as follows

首先这个股票的年化标准差
First, the annual standard deviation

是等于81%
First, the annual standard deviation
of this stock is equal to 81%

是等于81%
of this stock is equal to 81%

它的期权到期日也就是从现在3月6日
Its option expiration date is 103 days

到它的行权日6月20号一共有103天
from now March 6th to its exercise date on June 20th

那么整个期权的寿命就剩103天除以365天
The life of the entire option is 103 days divided by 365 days

等于0.282
equal to 0.282

对应的国库券的年化利率
The annualized interest rate of the corresponding

是4.63%
treasury bill is 4.63%

在前面的课程中我们的陈老师已经给大家讲过
In the previous course teacher Chen has already told you

我们经常是用国库券的利息率
We often use the interest rate of Treasury bills

作为一个无风险利率的代名词
as a synonym for risk-free interest rates

那最后一个就是股票的现价它是13.62美元
The current price of the stock is $13.62,

股票的行权价格是15美元
and the exercise price of the stock is $15

好 那我们把上面的这样一些参数
Then we put some of the above parameters

代到d1和d2的计算公式里面去
into the calculation formulas of d1 and d2

可以得到d1这个参数的结果是0.0212
The result of getting the parameter d1 is 0.0212

d2这个参数的结果是-0.4091
The result of d2 this parameter is -0.4091

然后我们分别求这两个参数
We separately find the result of the normal distribution

对应的正态分布的结果得到
corresponding to these two parameters

N（d1）是0.5085 N（d2）是0.3412
Obtain that N(d1) is 0.5085 and N(d2) is 0.3412

那么这样的话我们就可以计算出来
It can be calculated that the result of

思科公司的看涨期权计算的结果是1.87美元
Cisco’s call option calculation is $1.87

那么比市场对它的一个交易价格2美元
It is lower than the market price of

相比较而言的话要略低
its transaction price of 2 US dollars

这也就意味着目前市场对于这个期权
This means that the current market valuation

它的估值是略微高估了一些的
of this option is slightly higher

好 那么通过对于这个案例的分析
Through the analysis of this case,

我希望大家可以learnbydoing
I hope everyone can learn by doing

在干中学 用中学
Learn in the process of doing and learn in the process of using

把B-S期权定价法放在
Put the B-S option pricing method in the context

特定的具有期权特征的资产
of a specific asset with option characteristics

或者是企业的价值评估的背景之下
or a valuation of the company

再来理解这个模型的运用的条件
Then understand the conditions,

运用的方法和路径
methods and paths of application of this model

那么你现在get到了B-S期权定价法的终极含义了吗
So, are you getting the ultimate meaning of B-S option pricing method

我们这节课的内容就到这里结束
The content of our class ends here