85 lines
2.1 KiB
Plaintext
85 lines
2.1 KiB
Plaintext
312 • Index
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Market conditions (continued)
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time-to-expiration assumptions, 64–67
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and types of volatility, 59–60
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volatility assumptions, 60–64
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Market efficiency, 32–34, 40–43
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Market makers, 147, 281
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Market risk, 263–265
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Matching, 302n1 (Appendix B)
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Maximum return, 225
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Mergers and acquisitions:
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strike prices selection and, 195–196
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tenor and, 191–192
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Merton, Robert, 8–9
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Miletus, 6–7
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Mispriced assets, 274–277
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Mispriced options, 143–162
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deltas of, 151–155
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reading option quotes, 144–151
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and valuation risk, 266
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and valuation vs. BSM range, 155–162
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Moneyness of options:
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calls, 13–14
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puts, 16–17
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Morningstar, 132
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Most likely (term), 38
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Motorola Mobility Systems, 84
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Mueller Water, 148–149, 154, 158–160
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Multiples-based valuation, 99–100
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Mutual funds, 132–133, 136
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n
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Nominal GDP growth:
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owners’ cash profit vs., 104–108
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as structural constraint, 104
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Normal distribution, 32, 36, 40, 43–45
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Notional amount of position, 173
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Notional exposure, 173
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O
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OCC (Options Clearing
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Corporation), 8
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OCP (see Owners’ cash profit)
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Operating assets, 110
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Operating leverage (operational
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leverage):
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defined, 282–284
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and level of investment leverage,
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197–199
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and profitability, 101
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Operational details of companies,
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xiii–xiv, 110–111
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Option investing:
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choices in, 22–24
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conditions favoring BSM, 269–273
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conditions not favoring BSM, 273–281
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flexibility in, 20–28
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long-term strategies, 1
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misconceptions about, 1
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risk in, 268
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shortcuts for valuation in, 93–97
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stock vs., 21–22
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strategies for, 142 (See also specific
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types of strategies)
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structural impediments in, 131–139
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three-step process, xiv
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valuation in, 75
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Option pricing, 29–47, 49–74
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and base assumptions of BSM, 40–47
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market conditions in, 59–74
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predicting future stock prices from,
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32–39
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and ranges of exposure, 50–56
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theory of, 30–32
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time vs. intrinsic value in, 56–59
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Option pricing models:
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base assumptions of, 40–47
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history of, 8–9
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operational details of companies in,
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xiii–xiv
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predicting future stock prices with,
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32–39
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ranges of exposure and price
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predictions from, 50–56
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(See also Black-Scholes-Merton
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[BSM] model)
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Option quotes, 144–151 |