I.H.65.Warren Buffett.Black-Scholes models for options

1、《2002-05-04 Berkshire Hathaway Annual Meeting》

56. The problem with how Black-Scholes values options

Black-Scholes估值模型的弊端

WARREN BUFFETT: Number 3?

沃伦·巴菲特：第三个问题？

AUDIENCE MEMBER: Hello, my name is Joseph Lepre (PH). I’m a shareholder from Minneapolis, Minnesota, and I’d like to thank you for this opportunity to ask a question.

听众：您好，我叫Joseph Lepre（音译），是来自明尼苏达州明尼阿波利斯的股东，非常感谢您给我机会提问。

Mr. Buffett, you mentioned earlier today that you’d be willing to sell insurance in exchange for stock options. If possible, could you please describe a methodology for the valuation of stock options, particularly in cases where there is no market pricing data available for the option being valued?

沃伦·巴菲特：巴菲特先生，您今天早些时候提到，您愿意以股票期权交换保险。如果可能的话，您能否描述一下股票期权的估值方法，特别是当没有市场定价数据可供参考时？

WARREN BUFFETT: Yeah, I would — I could figure out what I would pay for an option on a private business. I could figure out what I could pay for an option on a public business. It might be a little easier. I could figure out what I’d pay for an option on an apartment house or a farm.

沃伦·巴菲特：是的，我可以——我可以计算我愿意为私人企业的期权支付多少。我也能计算我为上市公司的期权支付多少，可能稍微容易一些。我也可以计算我愿意为一栋公寓或一块农田的期权支付多少。

I had a friend, I mean, when I was 20 years old, we developed a big plan and we were going to go out and option out — option farms, you know, outside of what were then the city limits of Omaha.

我有一个朋友，我记得在我20岁的时候，我们有一个大计划，要去外面给农场提供期权，你知道，就在当时奥马哈的市区外。

And we figured that if we offered a farmer a modest amount, which would be annual income to him, to option his farm at double the price it was bringing then, that it would, you know, he would be happy to sell for double the price that year, and maybe we could do something. And it might have worked out OK.

我们算计，如果我们给农民提供一笔适中的金额，相当于他的年收入，来让他把农场的期权定价为当时价格的两倍，那他可能会很高兴地以两倍的价格出售，并且我们也许能做些什么。这可能最终会顺利进行。

Every option has value. You know, I’ve got a house worth X. If you offer me a few dollars to give you an option at 2X for 10 years, I’m not going to take it, because there are all kinds of possibilities in terms of inflation.

每个期权都有价值。你知道，我有一栋房子，价值X。如果你给我几美元，让我给你一个价值2X、期限为10年的期权，我是不会接受的，因为通货膨胀等因素会有很多变数。

All options have value. And people that get options usually understand that better than people that give options. I’m not talking about stock options now, but in other arenas.

所有期权都有价值。获得期权的人通常比给出期权的人更能理解这一点。我现在说的不是股票期权，而是其他领域的期权。

So we would be happy, you know. I mean, what I could get — let’s say — we’ll just pull one out of the air. Let’s take an untraded company like Mars, Inc.

所以，我们很高兴，知道吗。比如我可以拿到——我们随便举个例子。假设是一家没有上市的公司，像Mars公司。

Would I be happy to have an option, a 10-year option on a piece of Mars, Inc. at some given price?

如果我能得到一份10年期的Mars公司期权，以某个价格购买一部分股权，我会感到高兴吗？

Sure, I would. And there’s an amount I would take for that — I would take in lieu of getting cash if I was writing a big insurance policy with Mars, Inc. They’re not going to do this with me, but that —

当然会。而且我会接受一定的金额——如果我为Mars公司写一份大额保险合同，我会选择用期权代替现金。他们不会和我做这个，但这是——

And I would be happy, you know, instead of if you buy homeowner’s insurance from me, if you want to give me an option on your house for 10 years, I’ll take that in lieu of the premium.

我会很高兴，如果你不是购买房主保险，而是愿意给我10年期的房产期权，我会接受它代替保险费用。

I’ll make my own calculation as to value. It won’t be Black-Scholes, although that might be the best arrangement under many circumstances, but I would probably crank into — in my own case.

我会自己计算价值。它不会是Black-Scholes模型，尽管在许多情况下它可能是最好的安排，但我可能会根据自己的情况来调整。

We’ve bought and sold options some. And as a matter of fact, on June 3rd, Berkshire Hathaway will receive $60 million if the S&P 500 closes at 1150-something or below.

我们曾经买卖过一些期权。事实上，如果标准普尔500指数在6月3日收盘时低于1150点，伯克希尔·哈撒韦将收到6000万美元。

And two years ago, when the S&P was 14-something, we agreed for — on that June 3rd option, or whatever it was — $400 million nominal value, where, in effect the counter party would get the profit above 2,000 and something, 42 percent up from the current cash price. And we got the profit between 5 and 20 percent on the downside on a put.

两年前，当标准普尔指数在1400多点时，我们为6月3日的期权达成协议，名义价值为4亿美元，在这种情况下，交易对方将在超过2000点时获得利润，而我们则获得了在下跌5%到20%之间的利润。

People who were calculating the values of options at that time, under traditional methods, felt that that was a cashless transaction — that the value of the call that we gave was equal to the value of the put that we received. You know, I decided differently.

当时计算期权价值的人，按照传统方法认为那是无现金交易——我们给出的看涨期权的价值等于我们收到的看跌期权的价值。你知道，我做了不同的决定。

So, we don’t accept, blindly, option values as determined by the calculations of people who win Nobel Prizes. Instead, you know, we actually put an aspect of judgment into some.

所以，我们不会盲目接受诺贝尔奖得主计算出来的期权价值。相反，我们实际上在某些情况下加入了自己的判断。

影响Black-Scholes模型的波动率和价值投资者的看法有比较大的差异。

There would be businesses that would come out with identical Black-Scholes values on options for 10 years, and we would pay a different amount for one than the other, maybe a significantly different amount.

有些公司可能会发布相同的Black-Scholes期权价值，但我们为其中一个支付的金额可能会比另一个高，甚至相差很大。

But we would pay something for just about any option. And you know, it is the nature of prices in this world to change, and economic conditions to change. And an option is a chance to participate in a change without giving up anything other than that original premium you pay.

但几乎任何期权我们都会支付一定的金额。你知道，世界上的价格会变化，经济条件也会变化。而期权则是参与变化的机会，除了你支付的原始溢价外，并不需要放弃任何东西。

Many people just don’t seem to grasp that, but believe me, the people who are getting options on stock do grasp that.

许多人似乎并没有理解这一点，但相信我，获得股票期权的人完全理解这一点。

And the people who are giving them, which are the shareholders, you know, represented by a group like this, who don’t have any real voice in giving it, but they sometimes don’t fully realize what’s being given away.

而那些给出期权的人，也就是股东，像这样代表股东的群体，他们并没有实际的话语权去授予期权，但有时他们并没有完全意识到自己正在放弃什么。

Imagine, you know, going up a few miles away from here and having two farms for sale. And you say to the guy, “How much do you want for them?” and they both say a thousand dollars an acre, but the one guy says, “But every year, I want you to option, you know, I want you to give me 2 percent of the place back at a thousand. So, you know, at the end of 10 years, 20 percent of the upside belongs to me, but you’ve got all the downside.” I mean, which farm are you going to buy? The one without the options or the one with the options? It’s not very complicated.

想象一下，离这里几英里远有两块待售的农场。你问卖家：“你想卖多少钱？”他们都说每英亩1000美元，但其中一个卖家说：“但是每年，我希望你给我2%的期权，按照1000美元的价格。所以，10年后，20%的增值属于我，而你负责承担全部的亏损。”那么，你会选择买哪个农场？没有期权的那个，还是有期权的那个？其实不复杂。

And we will — we are dead serious when we say we will take options in lieu of cash. Incidentally, the company that gives us those options in lieu of cash for an insurance premium has to record the expense in terms of the fair value of the option they’ve given us.

我们说我们会以期权代替现金，这是认真的。顺便提一句，提供期权代替现金支付保险费的公司，必须根据期权的公允价值来记录这一费用。

The only item for which they don’t have to record that as expense is compensation. But if they give it to us for their light bill, or if they give it to us for their insurance premium, or they give it to us for their rent, they have to call it a cost.

唯一不需要作为费用记录的是薪酬。但如果他们用期权支付我们的电费，或者支付我们的保险费，或者租金，他们必须将其作为成本。

But only when it comes to the CEO’s compensation, and other people like it, do they not have to record it as a cost, and that’s because they’ve been able to get Congress to bow to their will and to their campaign contributions.

但只有在涉及CEO薪酬等人群时，他们才不需要将其作为成本记录，而这正是因为他们能够让国会屈服于他们的意愿和政治献金。

CHARLIE MUNGER: Yeah, the Black-Scholes crowd really did get a Nobel Prize for inventing this formula to value options, not executive stock options, but just options generally.

查理·芒格：是的，Black-Scholes团队确实凭借发明这个期权定价公式获得了诺贝尔奖，当然，不是针对执行股票期权，而是一般期权。

And if you don’t know anything about the company, except the past price history of stock transactions —

而如果你对公司一无所知，只知道过去的股票交易价格历史——

WARREN BUFFETT: And dividends.

沃伦·巴菲特：还有股息。

CHARLIE MUNGER: — and if the option is over a very short term, it’s a very good way of approximating the value of the option.

查理·芒格：——如果期权是短期的，那么这就是一种非常好的近似期权价值的方法。

But if it’s a long-term option and you think you know something, it’s an insane way to value the option.

但如果是长期期权，而你认为自己知道些什么，那么这就是一种疯狂的期权估值方法。

And Wall Street is full of people with IQs of 150 that are using Black-Scholes to value options that shouldn’t be tortured into the model.

而华尔街充满了IQ达到150的人，他们用Black-Scholes模型来估值那些根本不该被套入这个模型的期权。

And all of corporate — of America is using Black-Scholes to price stock options in the footnotes of the accounting statements, and they do that because it comes up with the lowest cost number.

美国的所有企业都在使用Black-Scholes模型来为财务报表附注中的股票期权定价，他们这么做是因为它能得出最低的成本数字。

WARREN BUFFETT: Well, they not only do that, but they assume the term is less than the actual term of the option. And I mean, they’ll do everything they can, and I’ve been in on these discussions. They’ll do everything they can to make the number look as low as possible. It’s that simple.

沃伦·巴菲特：他们不仅这么做，还假设期权的期限短于实际期限。我是说，他们会尽一切努力，我也参与过这些讨论。他们会尽一切努力让数字看起来尽可能低，事实就是这么简单。

CHARLIE MUNGER: And they’re using a phony process to determine the number in the first place. So, it’s a Mad Hatter’s tea party, and the only thing that’s consisting — consistent — in it is that the whole thing is disgusting. (Laughter and applause)

查理·芒格：而他们最初用的是一种虚假的方法来确定这个数字。所以，这就像疯狂帽子先生的茶话会，唯一的一致性就是——整个过程让人反感。（笑声与掌声）

2、《2003-05-03 Berkshire Hathaway Annual Meeting》

16. Black-Scholes option pricing model is “insane”

Black-Scholes期权定价模型是“疯狂的”

WARREN BUFFETT: Let’s go to number 3.

沃伦·巴菲特：我们来看第 3 个。

AUDIENCE MEMBER: Good morning, gentleman. My name is Hugh Stephenson (PH). I’m a shareholder from Atlanta.

观众成员：早上好，先生们。我的名字是休·史蒂芬森（音）。我是一名来自亚特兰大的股东。

You had indicated in the past that you did not think that the volatility base to Black-Scholes models for options pricing was correct.

您过去曾表示，您认为用于期权定价的Black-Scholes模型的波动率基础是不正确的。

Would you share with us how you would evaluate those options as you use them in the business or see them in the marketplace?

您能否与我们分享一下您在业务中使用这些期权或在市场上看到这些期权时会如何评估它们？

And also if you would update us on your thoughts on the asbestos tort situation, given the recent development of national settlement trusts, et cetera?

另外，鉴于最近国家和解信托等的发展，您能否更新我们关于石棉侵权情况的看法？

WARREN BUFFETT: Yeah, we — Charlie and I have thought about options all our life. I mean, my guess is Charlie was thinking about that in grade school.

沃伦·巴菲特：是的，我和查理一辈子都在考虑期权。我猜查理在小学时就已经在考虑这个问题了。

And — (laughter) — you know, and I — you have to understand— you don’t have to understand Black-Scholes at all — but you have to understand the utility and, in a general sense, the value of options. And you have to understand the cost of issuing options, which is very unpopular subject in certain quarters.

而且——（笑声）——你知道，我——你必须理解——你完全不需要理解Black-Scholes模型——但你必须理解期权的效用，以及一般意义上期权的价值。你还必须理解发行期权的成本，这在某些方面是个非常不受欢迎的话题。

Any option has value. I mean, I bought a house in 1958 for $31,500. And let’s assume the seller of that house had said to me, “I’d like an option on it, good in perpetuity, at $200,000.” Well, that wouldn’t have seemed like it’d cost me much if I’d give it to him, but an option has value.

任何选择权都有价值。我的意思是，我在 1958 年以 31,500 美元买了一栋房子。假设那时房子的卖家对我说：“我想要一个选择权，可以永久有效，以 20 万美元的价格。”如果我给他这个期权，这对我来说看似成本不高，但期权是有价值的。

Any option has value, and that’s why some people who are, you know, kind of slick in business matters sometimes get options for very little or for nothing. I’m not talking about stock options. I’m just talking about an option to purchase anything.

任何选择权都有价值，这就是为什么有些在商业事务上很精明的人有时能以很低的价格甚至免费获得选择权。我不是在谈论股票期权。我只是说购买任何东西的选择权。

They get options for far less than, really, a market value would be. Black-Scholes is an attempt to measure the market value of options, and it cranks in certain variables.

他们获得的期权远低于市场价值。布莱克-舒尔斯模型试图衡量期权的市场价值，并引入某些变量。

But the most important variable it cranks in that might be subject — well, might be a case where if you had differing views you could make some money — but it’s based upon the past volatility of the asset involved. And past volatilities are not the best judge of value.

但它引入的最重要变量可能是——嗯，可能是一个如果你有不同观点就可以赚钱的情况——但这是基于所涉及资产的过去波动性。而过去的波动性并不是评估价值的最佳标准。

I mean, if you had looked at a five-year option at — on Berkshire stock — at various times Berkshire stock’s had a fairly low beta, as they call it. Beta is a measure that — people in academia always like to give Greek names to things that are fairly simple, and so that they have sort of a priesthood. (Laughter)

我的意思是，如果你在不同时间点查看伯克希尔股票的五年期期权，伯克希尔股票的贝塔值相对较低。贝塔值是一个衡量标准——学术界的人总是喜欢给相对简单的事物起希腊名字，这样他们就有了一种类似祭司的地位。（笑声）

You know, it’s — so it’s like priests talking in Latin or something. I mean, it kind of cows the laity.

你知道，这就像是牧师用拉丁语说话之类的。我是说，这有点让俗人感到畏惧。

But they — beta is a measure of past volatility. Berkshire’s had a low volatility, but that didn’t mean that the option value of it, to anybody that really understood the business, was lower than a stock with a higher beta.

但它们——贝塔是衡量过去波动性的一种指标。伯克希尔的波动性较低，但这并不意味着对任何真正了解该业务的人来说，其期权价值低于贝塔较高的股票。

And I think Charlie — what Charlie said is that — last year, is that for over — that for longer-term options in particular, Black-Scholes can give some silly results.

我认为查理——查理去年说的是——对于长期期权，布莱克-斯科尔斯模型可能会给出一些荒谬的结果。

I mean, it misprices things, but it’s a mechanical system. And any mechanical system in securities markets is going to misprice things from time to time, and that’s —

我的意思是，它会错误定价，但它是一个机械系统。任何证券市场中的机械系统都会时不时地错误定价，那就是——

We made one — as I mentioned last year — we made one large commitment that basically was — had somebody on the other side of it using Black-Scholes and using market prices — took the other side of it and we made $120 million last year.

正如我去年提到的——我们做过一笔大投资，基本上是有某人在使用Black-Scholes模型并基于市场价格来做出相应的决策，而我们则采取了相反的立场，最终赚了1.2亿美元。

And we love the idea of other people using mechanistic formulas to price things, because they may be right 99 times out of 100 but we don’t have to play those 99 times. We just play the one time when we have a differing view.

我们喜欢其他人使用机械化公式来定价的想法，因为他们可能在 100 次中有 99 次是对的，但我们不必参与那 99 次。我们只在我们有不同看法的那一次参与。

Charlie, do you want to comment on —?

查理，你想评论一下——？

CHARLIE MUNGER: Yeah, Black-Scholes is a — what I would call a know-nothing value system.

查理·芒格：是的，Black-Scholes是一个我称之为一无所知的价值体系。

If you don’t know anything at all about value compared with price — in other words, if price is teaching you all that can be known — then Black-Scholes, on a very short-term basis, is a pretty good guess, you know, for what a 90-day option may be worth in some stock or another.

如果你对价值与价格的比较一无所知——换句话说，如果价格教会了你所有可以知道的东西——那么在非常短期的基础上，Black-Scholes模型是一个相当不错的猜测，你知道，对于某只股票的 90 天期权可能值多少钱。

The minute you get into longer-term options, or you don’t have the know-nothing factor so extreme, it’s crazy to use Black-Scholes. People use it just because they want some kind of a mechanical system.

一旦你进入长期期权，或者你对无知因素没有那么极端，使用Black-Scholes模型就很疯狂。人们使用它只是因为他们想要某种机械系统。

But at Costco, for instance, within a fairly short period, we issued stock options at 30, and we also issued stock options at 60. And Black-Scholes valued the options we issued at 60 as the strike price way higher than the options we issued at 30. Well, this is insane.

但在好市多（Costco）内部，在相对短的时间内，我们以30美元发行了股票期权，也以60美元发行了股票期权。而Black-Scholes将我们以60美元的行权价格发行的期权估值远高于以30美元行权价格的期权。这简直是疯狂的。

WARREN BUFFETT: But we like a certain amount of insanity. (Laughter)

沃伦·巴菲特：但我们喜欢一定程度的疯狂。（笑声）

CHARLIE MUNGER: Yeah, well, it’s good for Warren who picked up this extra $120 million. But —

查理·芒格：是的，对沃伦来说很好，他多赚了这 1.2 亿美元。但是——

WARREN BUFFETT: I mean —

沃伦·巴菲特：我的意思是——

CHARLIE MUNGER: — so he’s fonder of this kind of insanity than I am. (Laughter)

查理·芒格：——所以他比我更喜欢这种疯狂。（笑声）

WARREN BUFFETT: No, we will pay you real money if you will deliver to our offices at Kiewit Plaza somebody who wants to use the Black-Scholes model and is willing to price 100 options for three years, willing to — using the Black-Scholes model — and letting us pick and choose among those.

沃伦·巴菲特：不，我们确实会支付您真正的钱，如果您能把一个愿意使用Black-Scholes模型并愿意为100个3年期期权定价的客户送到我们的办公室，然后让我们从中挑选。

Because, as Charlie says, it’s a know-nothing affair. And we are know-nothing guys, in respect to an awful lot of things, but every now and then we find something where we think we know something, and anybody that’s using a mechanistic formula is going to get in trouble in that situation.

因为，正如查理所说，这完全是无知的。我们在很多事情上都是无知的人，但偶尔我们会发现一些我们认为自己知道的事情，而任何使用机械公式的人在那种情况下都将陷入麻烦。

But options have value. I mean, we issued options, in a sense, last year when we when we sold those — the 400 million of bonds. And we know what we’re giving up when we sell those bonds.

但期权是有价值的。我的意思是，去年我们在出售那些——4 亿债券时，某种意义上我们发行了期权。我们知道在出售这些债券时我们放弃了什么。

I mean, we may have gotten, what — a negative coupon of sorts, but that’s because we gave up option value. And it, you know, it wasn’t — it isn’t truly a negative cost instrument at all, because options have value.

我的意思是，我们可能得到了某种负收益券，但那是因为我们放弃了期权价值。而且，你知道，这根本不是真正的负成本工具，因为期权是有价值的。

I.H.65.Warren Buffett.Black-Scholes models for options

I.H.65.Warren Buffett.Black-Scholes models for options

1、《2002-05-04 Berkshire Hathaway Annual Meeting》

2、《2003-05-03 Berkshire Hathaway Annual Meeting》

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