OptionsonForeignExchange(国际财务管理,英文版).pptx
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OptionsonForeignExchange(国际财务管理,英文版).pptx
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,INTERNATIONALFINANCIALMANAGEMENT,EUN/RESNICK,SecondEdition,9,ChapterNine,FuturesandOptionsonForeignExchange,ChapterObjective:
Thischapterdiscussesexchange-tradedcurrencyfuturescontracts,optionscontracts,andoptionsoncurrencyfutures.,ChapterOutline,FuturesContracts:
PreliminariesCurrencyFuturesMarketsBasicCurrencyFuturesRelationshipsEurodollarInterestRateFuturesContractsOptionsContracts:
PreliminariesCurrencyOptionsMarketsCurrencyFuturesOptions,ChapterOutline(continued),BasicOptionPricingRelationshipsatExpiryAmericanOptionPricingRelationshipsEuropeanOptionPricingRelationshipsBinomialOptionPricingModelEuropeanOptionPricingModelEmpiricalTestsofCurrencyOptionModels,FuturesContracts:
Preliminaries,Afuturescontractislikeaforwardcontract:
Itspecifiesthatacertaincurrencywillbeexchangedforanotherataspecifiedtimeinthefutureatpricesspecifiedtoday.Afuturescontractisdifferentfromaforwardcontract:
Futuresarestandardizedcontractstradingonorganizedexchangeswithdailyresettlementthroughaclearinghouse.,FuturesContracts:
Preliminaries,StandardizingFeatures:
ContractSizeDeliveryMonthDailyresettlementInitialMargin(about4%ofcontractvalue,cashorT-billsheldinastreetnameatyourbrokers).,DailyResettlement:
AnExample,Supposeyouwanttospeculateonariseinthe$/exchangerate(specificallyyouthinkthatthedollarwillappreciate).,Currently$1=140.The3-monthforwardpriceis$1=150.,DailyResettlement:
AnExample,Currently$1=140anditappearsthatthedollarisstrengthening.Ifyouenterintoa3-monthfuturescontracttosellattherateof$1=150youwillmakemoneyiftheyendepreciates.Thecontractsizeis12,500,000Yourinitialmarginis4%ofthecontractvalue:
DailyResettlement:
AnExample,Iftomorrow,thefuturesrateclosesat$1=149,thenyourpositionsvaluedrops.Youroriginalagreementwastosell12,500,000andreceive$83,333.33Butnow12,500,000isworth$83,892.62,Youhavelost$559.28overnight.,DailyResettlement:
AnExample,The$559.28comesoutofyour$3,333.33marginaccount,leaving$2,774.05Thisisshortofthe$3,355.70requiredforanewposition.,Yourbrokerwillletyouslideuntilyourunthroughyourmaintenancemargin.Thenyoumustpostadditionalfundsoryourpositionwillbeclosedout.Thisisusuallydonewithareversingtrade.,CurrencyFuturesMarkets,TheChicagoMercantileExchange(CME)isbyfarthelargest.Othersinclude:
ThePhiladelphiaBoardofTrade(PBOT)TheMidAmericacommoditiesExchangeTheTokyoInternationalFinancialFuturesExchangeTheLondonInternationalFinancialFuturesExchange,TheChicagoMercantileExchange,Expirycycle:
March,June,September,December.Deliverydate3rdWednesdayofdeliverymonth.Lasttradingdayisthesecondbusinessdayprecedingthedeliveryday.CMEhours7:
20a.m.to2:
00p.m.CST.,CMEAfterHours,Extended-hourstradingonGLOBEXrunsfrom2:
30p.m.to4:
00p.mdinnerbreakandthenbackatitfrom6:
00p.m.to6:
00a.m.CST.SingaporeInternationalMonetaryExchange(SIMEX)offerinterchangeablecontracts.Theresothermarkets,butnoneareclosetoCMEandSIMEXtradingvolume.,BasicCurrencyFuturesRelationships,OpenInterestreferstothenumberofcontractsoutstandingforaparticulardeliverymonth.Openinterestisagoodproxyfordemandforacontract.Somerefertoopeninterestasthedepthofthemarket.Thebreadthofthemarketwouldbehowmanydifferentcontracts(expirymonth,currency)areoutstanding.,ReadingaFuturesQuote,Expirymonth,Openingprice,Highestpricethatday,Lowestpricethatday,Closingprice,DailyChange,Highestandlowestpricesoverthelifetimeofthecontract.,Numberofopencontracts,EurodollarInterestRateFuturesContracts,Widelyusedfuturescontractforhedgingshort-termU.S.dollarinterestraterisk.Theunderlyingassetisahypothetical$1,000,00090-dayEurodollardepositthecontractiscashsettled.TradedontheCMEandtheSingaporeInternationalMonetaryExchange.ThecontracttradesintheMarch,June,SeptemberandDecembercycle.,ReadingEurodollarFuturesQuotes,Eurodollarfuturespricesarestatedasanindexnumberofthree-monthLIBORcalculatedasF=100-LIBOR.,TheclosingpricefortheJulycontractis94.68thustheimpliedyieldis5.32percent=10098.68,Thechangewas.01percentof$1millionrepresenting$100onanannualbasis.Sinceitisa3-monthcontractonebasispointcorrespondstoa$25pricechange.,OptionsContracts:
Preliminaries,Anoptiongivestheholdertheright,butnottheobligation,tobuyorsellagivenquantityofanassetinthefuture,atpricesagreedupontoday.Callsvs.PutsCalloptionsgivestheholdertheright,butnottheobligation,tobuyagivenquantityofsomeassetatsometimeinthefuture,atpricesagreedupontoday.Putoptionsgivestheholdertheright,butnottheobligation,tosellagivenquantityofsomeassetatsometimeinthefuture,atpricesagreedupontoday.,OptionsContracts:
Preliminaries,Europeanvs.AmericanoptionsEuropeanoptionscanonlybeexercisedontheexpirationdate.Americanoptionscanbeexercisedatanytimeuptoandincludingtheexpirationdate.Sincethisoptiontoexerciseearlygenerallyhasvalue,AmericanoptionsareusuallyworthmorethanEuropeanoptions,otherthingsequal.,OptionsContracts:
Preliminaries,In-the-moneyTheexercisepriceislessthanthespotpriceoftheunderlyingasset.At-the-moneyTheexercisepriceisequaltothespotpriceoftheunderlyingasset.Out-of-the-moneyTheexercisepriceismorethanthespotpriceoftheunderlyingasset.,OptionsContracts:
Preliminaries,IntrinsicValueThedifferencebetweentheexercisepriceoftheoptionandthespotpriceoftheunderlyingasset.SpeculativeValueThedifferencebetweentheoptionpremiumandtheintrinsicvalueoftheoption.,OptionPremium,=,IntrinsicValue,SpeculativeValue,+,CurrencyOptionsMarkets,PHLXHKFE20-hourtradingday.OTCvolumeismuchbiggerthanexchangevolume.TradingisinsevenmajorcurrenciesplustheeuroagainsttheU.S.dollar.,PHLXCurrencyOptionSpecifications,62,500,CurrencyFuturesOptions,Areanoptiononacurrencyfuturescontract.Exerciseofacurrencyfuturesoptionresultsinalongfuturespositionfortheholderofacallorthewriterofaput.Exerciseofacurrencyfuturesoptionresultsinashortfuturespositionforthesellerofacallorthebuyerofaput.Ifthefuturespositionisnotoffsetpriortoitsexpiration,foreigncurrencywillchangehands.,BasicOptionPricingRelationshipsatExpiry,Atexpiry,anAmericancalloptionisworththesameasaEuropeanoptionwiththesamecharacteristics.Ifthecallisin-the-money,itisworthSTE.Ifthecallisout-of-the-money,itisworthless.CaT=CeT=MaxST-E,0,BasicOptionPricingRelationshipsatExpiry,Atexpiry,anAmericanputoptionisworththesameasaEuropeanoptionwiththesamecharacteristics.Iftheputisin-the-money,itisworthE-ST.Iftheputisout-of-the-money,itisworthless.PaT=PeT=MaxE-ST,0,BasicOptionProfitProfiles,CaT=CeT=MaxST-E,0,profit,loss,E,E+C,ST,Long1call,BasicOptionProfitProfiles,CaT=CeT=MaxST-E,0,profit,loss,E,E+C,ST,short1call,BasicOptionProfitProfiles,PaT=PeT=MaxE-ST,0,profit,loss,E,E-p,ST,long1put,BasicOptionProfitProfiles,CaT=CeT=MaxST-E,0,profit,loss,E,ST,Short1put,E-p,AmericanOptionPricingRelationships,WithanAmericanoption,youcandoeverythingthatyoucandowithaEuropeanoptionthisoptiontoexerciseearlyhasvalue.CaTCeT=MaxST-E,0PaTPeT=MaxE-ST,0,MarketValue,TimeValueandIntrinsicValueforanAmericanCall,CaTMaxST-E,0,Profit,loss,E,ST,MarketValue,Intrinsicvalue,ST-E,Timevalue,Out-of-the-money,In-the-money,EuropeanOptionPricingRelationships,ConsidertwoinvestmentsBuyacalloptionontheBritishpoundfuturescontract.Thecashflowtodayis-CeReplicatetheupsidepayoffofthecallbyBorrowingthepresentvalueoftheexercisepriceofthecallintheU.S.ati$ThecashflowtodayisE/(1+i$)LendingthepresentvalueofSTatiThecashflowis-ST/(1+i),EuropeanOptionPricingRelationships,Whentheoptionisin-the-moneybothstrategieshavethesamepayoff.Whentheoptionisout-of-the-moneyithasahigherpayofftheborrowingandlendingstrategy.Thus:
EuropeanOptionPricingRelationships,Usingasimilarportfoliotoreplicatetheupsidepotentialofaput,wecanshowthat:
BinomialOptionPricingModel,BinomialOptionPricingModel,$.10,$0,C1($/),AcalloptionontheeurowithexercisepriceS0($/)=$1willhavethefollowingpayoffs.,BinomialOptionPricingModel,Wecanreplicatethepayoffsofthecalloption.Withaleveredpositionintheeuro.,BinomialOptionPricingModel,debt,-$.90,-$.90,portfolio,$.20,$.00,Borrowthepresentvalueof$.90todayandbuy1.Yournetpayoffinoneperiodiseither$.2or$0.,BinomialOptionPricingModel,Theportfoliohastwicetheoptionspayoffsotheportfolioisworthtwicethecalloptionvalue.,BinomialOptionPricingModel,Theportfoliovaluetodayistodaysvalueofoneeurolessthepresentvalueofa$.90debt:
BinomialOptionPricingModel,Wecanvaluetheoptionashalfofthevalueoftheportfolio:
BinomialOptionPricingModel,Themostimportantlessonfromthebinomialoptionpricingmodelis:
thereplicatingportfoliointuition.,Manyderivativesecuritiescanbevaluedbyvaluingportfoliosofprimitivesecuritieswhenthoseportfolioshavethesamepayoffsasthederivativesecurities.,EuropeanOptionPricingFormula,Wecanusethereplicatingportfoliointuitiondevelopedinthebinomialoptionpricingformulatogenerateafaster-to-usemodelthataddressesamuchmorerealisticworld.,EuropeanOptionPricingFormula,Themodelis,WhereC0=thevalueofaEuropeanoptionattimet=0,r$=theinterestrateavailableintheU.S.r=theinterestrateavailableintheforeigncountryinthiscasetheU.K.,EuropeanOptionPricingFormula,Findthevalueofasix-m
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- OptionsonForeignExchange 国际 财务管理 英文