Trong trường hợp cực đoan, nơi có thị trường không biến động và giá trị không có thời gian (hoặc tương đương, chúng ta muốn giá trị của tài sản cơ bản), thì giá trị của cuộc gọi là thúc đẩy chủ yếu bởi giá giao ngay tài sản cơ bản. | 72 PRODUCTS CASH FLOWS AND CREDIT In the extreme case where there is zero market volatility and no time value or equivalently we want today s value of the underlying asset then the value of the call is driven primarily by the underlying asset s spot price. Specifically it is the maximum of zero or the difference between the spot price and the strike price. Figure places these relationships in the context of our triangle. In summary the Achilles heel of an option is volatility without it an option becomes a forward and without volatility and time an option becomes spot. FIGURE Applying Black-Scholes to the interrelated values of spot forwards and options. Credit Products Issuers Cash flows This chapter builds on the concepts presented in Chapters 1 and 2. Their importance is accented by their inclusion in the credit triangle. Simply put credit considerations might be thought of as embodying the likelihood of issuers making good on the financial commitments implied and explicit that they have made. The less confident we are that an entity will be able to make good on its commitments the more of a premium we are likely to require to compensate US for the added risk we are being asked to bear. Issuers There are hundreds and upon thousands of issuers entities that raise funds by selling their debt or equity into the marketplace and each with its own unique credit risk profile. To analyze these various credit risks larger investors . large-scale fund managers often have the benefit of an inhouse credit research department. Smaller investors as with individuals may have to rely on what they can read in the financial press or pick up from the Internet or personal contacts. But even for larger investors the task of 73 74 PRODUCTS CASH FLOWS AND CREDIT following the credit risk of so many issuers can be daunting. Thankfully rating agencies organizations that sell company-specific research exist to provide a report card of sorts on many types of issuers around .
