Part Ⅱ 证券投资 估值
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PartUnit 4 Unit 5 Unit 6
1. 116005191 .94380943802. 200914.571.185215.3331.457411.193. 4. 5. 6. 2009169
12 ST6007111 .794639712. 200810.1720.3830.03840.673. 4. 5. 6. 20095
2. 21 081260181. 6800682. 1003. 14. 2008.9.2285. 2008.10.10
221259601. 650650002. 1003. t12.61t22.91t33.21t43.51t53.814. 2007.5.1455. 2008.5.296. 2007.11.142012.5.137. 29.308. 24.33
Unit 4 1 2k 3 1 2 3
1. 2. 3. 4. 5. 6.
Unit 4.1 1.
tptP0r4.1
Ptr15r10r5r3t41
2. Pt
pv--- Pt--- k--- n--- 124.2
k3k5k10k15Pvt42
3. 14.3A
24.4
34.5tAPv0PvPv00rkrkrk
4. kkk
4.6 rs rl rg rb rc W1...50.20.350.250.10.1
412.255.43.832.21.64k 4.9
k3.68k
Unit 4.2 1. 12344.74.84.94.10PbtPb0rTt
2. Pbv1
n=(T-t)2
4.114.12
3
4
4.134.14
3. 1
24.154.16
3
44.174.18PbmRyb
4. 1
24.194.20
42 200892208126018100189222008102865.18k3.91 Pbm65.18r1Pb0100T8nTt80.17.91360k3.91 14.9
24.13
4.19
34.20
4.17NPbvPbvPbm
41
6765.1867
65.1810879.7780.626.218.333.91
5. 1 2
3 k 4
Unit 4.3 1. PPne
PPn+e
2.
D--- P--- k--- t---
1DDMS DDMS4.214.22
2CAPM 4.24 4.23
3. 1 2
Ps--- Ee--- ---- 4.25 4.26
3
4. 1234
5. 1 Net Present Value 4.27 NPsvPsvPsm
2 Internal Rate of ReturnNPsv0PsvPsm Rsirrk 4.28 Rsirr
- NPsv0 NPsvk Rsirr
43 60000420090.4711.44/2009k3.91BO00.47k3.91Psm11.44 4.24
4.27
NPsv>0 4.28
Rsirr>k
Unit 4.4 1.
Pz--- C--- L--- Q--- P--- 4.29
2. 123
Unit 4.5 1. 1 1 PPFmwPmw 4.30 PPFmwPmw 2
2 1 2
2. 1 1 Pcw---Pt---Px--- Pcw=PtPx 4.31 2 Ppw---Px--- Ppw=PxPt 4.32
2 1 2
3 1 2 3
3. 1 1 Pz---P0--- E--- Pz=P0+E 4.33 PsPx Pk=Pz1kn 4.34 Pk--- n--- k---
2 Pg=rPs 4.35 r=P0Px 4.36 Pg--- Px--- Ps--- r--- 3 Pq=rPsPx 4.37
3 1
2
3 4 5
Unit 4.6 1. 2. 3. 4. 5.
Unit 4.6.1 1. 1Pt
24.37
PT3
2. 1 1 2 3
2 1 2 3 4 5
3 Pm=Pn+Pe+PwPs 4.39
Pm Pn Pe Pw Ps
4PPabW2W1cW3WP---W--S---PaacBcC---
3. 1 1 24.40
2 1 PP2P0P1OBAFDECSWd2Ws1W0Ws2Wd1W
2
3
4. 1 35
2 1
2
Unit 4.6.2 1. 1 2 3 Pm=Pn+PePs 4.41
- 2. 1Pm
3. 1 Pm>P Pm=P Pmyl(n) ym=yl(n) ymk k
Unit 4.6.3 1. 1 2 3 4 Pm=Pn+Pe+PwPs
2. 1
2
3
4
3. 1NPV NPV=P-Pm 4.42
NPV>0 NPV=0 NPV
2IRR Pm=D0/k* 4.43 k*=D0/Pm 4.44
k*>k k*
3 0=1/k 4.45 > 0 < 0 --- 0 ---
4 1 Pa=PT/CT 4.46 PT--- CT--- Pa---/
- Pav=Ea/k 4.47 Pav--- Ea--- Pa>Pav Pa
2 PTM2 4.48 PT M2 0.1 0.7
200620072008
20052006200720080970.150.110.710.260.485.424.7418.935.6811.14
Unit 4.6.4 1. 12
Pm=Pn 4.49 Pm=Pn+Ps 4.50
- 2. 1 2 33. Pn 1Pm>Pn 2Pm
4. 1 2 3
5. 1 2 3 4 5
Unit 4.6.5 1. 1 PmPcPrPs 4.51 PcPr Ps2 PmPTPs 4.52 PT Ps
Introduction to Futures and Options Markets3thEition3 FSerT 4.53 F S R T
4 1 2 3 4
TP
2. 1 PmPcwPtvPs 4.54
Pcw Ptv 2 PmPpwPtvPs 4.55
Ppw
Introduction to Futures and Options Markets3thEition 3Black-Scholes
c T P X Nx--S r 4.564.574.584.59
4 12
PxP0+P0P
PPx0+P0P
3. 1PsPx Pk=Pz1kn 4.60 Pk--- n--- k--- 2 Ps>Px Pk=Pg+Pq+PtvPs 4.61
3
Px100
41 2112345678910
2. 212345678
3120030.21366.31.98%20210810051.5%1088/1096/ k2
41 2
3 20070.240018.33.87%5 2007103010061.%103013.85/2007112610.07/ k5
Unit 5 1 2 3 1 2 3
1. 2. 3. 4.
Unit 5.1 1.
1
2
2.
1 2
3 1 2 3. 123
Unit 5.2 1.
1
2
2. 12 3
3. 12 3 4
4. 1 2 3 4
Unit 5.3 1
2.
1
2
3. 1 2
Unit 5.4 1.
1 2
3
4
2. 12 3 1 2 3
3. 1 2 3
4. 1 2 3
5. 1 2 3
51 21234567
Unit 6 1 2 3 1 2 3
1. 2. 3. 4. 5.
Unit 6.1 1. 12 1 2 3
3
1 2 3 4
2. 1 1 22 1 2 3
3 1 2 3 44 1 2 35
3. 1122
3 1 2 3
4. 1 1 2 32 1 2
5. 1 1 22 1 2 3 4 5
Unit 6.2 1. 1232. 1234
3. 1 1 2 32 1 2
3 1 2 34 1 2 3 4
4. 1234
5. 1236. 12347.
8. 12 1 234 1 2567
Unit 6.3 1. 1232. 123
3. 1 1 A=L+OE 6.1 A(Assets) B(Liabilities) OE(Owner,s Equity)
2 a b c
3 a b c
2 1 2
3
3 1 2 3 4 5
4. =+ 6.2
=++6.3
=++ 6.4
=+ 6.5
5. 1
1 2 3
2 1 2 33 1 2 3 4
6. 1
1 2 3 4
2 1 2 3 4 5
3 1 2 3 4 5 6
4 1 2 3 4 5
Unit 6.4 1. 1 2 3
2. 1 1 2 = 6.6 3 2
2 1 2 = 6.7 3 1
3 1 2 = 6.8 3
4 1 2 = 6.9 =360 6.10 3
3. 1 1 2 = 6.11 3
2 1 2 = 6.12 3
3 1 = 7.13 2 = 7.14 3
4 1 2 = 7.15 3 11.51
4. 1 1 = 7.16 =360 7.17 3
2 1 = 7.18 2
3 1 = 7.19 2
4 1 =[] 100% 7.20 2
5. 1 1 =/100% 7.21 = 7.22 2
2 1 =/100% 7.23 2
3 1 =100% 7.24 =2 7.25 2
4 1 =/100% 7.26 2
6. 1P2012 1 / 100 7.27 2
3
1 /100 7.28 2
4 1 /100 7.29 2
Unit 6.5 1. 1 7.30 7.312 7.323 7.33
2. 1 7.342Unit 5 7.35
3 7.364 7.375 /100 7.38 2 7.39
3. 1 100 7.40 2 100 7.413 7.42
61123456
212345678
Introduction to Futures and Options Markets3thEition
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