OptionsonForeignExchange(国际财务管理,英文版)

Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition9ChapterNineFuturesandOptionsonForeignExchangeChapterObjective:Thischapterdiscussesexchange-tradedcurrencyfuturescontracts,optionscontracts,andoptionsoncurrencyfutures.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.ChapterOutlineFuturesContracts:PreliminariesCurrencyFuturesMarketsBasicCurrencyFuturesRelationshipsEurodollarInterestRateFuturesContractsOptionsContracts:PreliminariesCurrencyOptionsMarketsCurrencyFuturesOptionsIrwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.ChapterOutline(continued)BasicOptionPricingRelationshipsatExpiryAmericanOptionPricingRelationshipsEuropeanOptionPricingRelationshipsBinomialOptionPricingModelEuropeanOptionPricingModelEmpiricalTestsofCurrencyOptionModelsIrwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.FuturesContracts:PreliminariesAfuturescontractislikeaforwardcontract:Itspecifiesthatacertaincurrencywillbeexchangedforanotherataspecifiedtimeinthefutureatpricesspecifiedtoday.Afuturescontractisdifferentfromaforwardcontract:Futuresarestandardizedcontractstradingonorganizedexchangeswithdailyresettlementthroughaclearinghouse.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.FuturesContracts:PreliminariesStandardizingFeatures:ContractSizeDeliveryMonthDailyresettlementInitialMargin(about4%ofcontractvalue,cashorT-billsheldinastreetnameatyourbrokers).Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.DailyResettlement:AnExampleSupposeyouwanttospeculateonariseinthe$/¥exchangerate(specificallyyouthinkthatthedollarwillappreciate).Currently$1=¥140.The3-monthforwardpriceis$1=¥150.CurrencyperU.S.$equivalentU.S.$WedTueWedTueJapan(yen)0.0071428570.0071942451401391-monthforward0.0069930070.0070422541431423-monthsforward0.0066666670.0067114091501496-monthsforward0.006250.006289308160159Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.DailyResettlement:AnExampleCurrently$1=¥140anditappearsthatthedollarisstrengthening.Ifyouenterintoa3-monthfuturescontracttosell¥attherateof$1=¥150youwillmakemoneyiftheyendepreciates.Thecontractsizeis¥12,500,000Yourinitialmarginis4%ofthecontractvalue:?50$10?2,500,00.04$3,333.33Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.DailyResettlement:AnExampleIftomorrow,thefuturesrateclosesat$1=¥149,thenyourposition’svaluedrops.Youroriginalagreementwastosell¥12,500,000andreceive$83,333.33Butnow¥12,500,000isworth$83,892.62?49$10?2,500,0062.892,83$Youhavelost$559.28overnight.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.DailyResettlement:AnExampleThe$559.28comesoutofyour$3,333.33marginaccount,leaving$2,774.05Thisisshortofthe$3,355.70requiredforanewposition.?49$10?2,500,00.04$3,355.70Yourbrokerwillletyouslideuntilyourunthroughyourmaintenancemargin.Thenyoumustpostadditionalfundsoryourpositionwillbeclosedout.Thisisusuallydonewithareversingtrade.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CurrencyFuturesMarketsTheChicagoMercantileExchange(CME)isbyfarthelargest.Othersinclude:ThePhiladelphiaBoardofTrade(PBOT)TheMidAmericacommoditiesExchangeTheTokyoInternationalFinancialFuturesExchangeTheLondonInternationalFinancialFuturesExchangeIrwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.TheChicagoMercantileExchangeExpirycycle:March,June,September,December.Deliverydate3rdWednesdayofdeliverymonth.Lasttradingdayisthesecondbusinessdayprecedingthedeliveryday.CMEhours7:20a.m.to2:00p.m.CST.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CMEAfterHoursExtended-hourstradingonGLOBEXrunsfrom2:30p.m.to4:00p.mdinnerbreakandthenbackatitfrom6:00p.m.to6:00a.m.CST.SingaporeInternationalMonetaryExchange(SIMEX)offerinterchangeablecontracts.There’sothermarkets,butnoneareclosetoCMEandSIMEXtradingvolume.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.BasicCurrencyFuturesRelationshipsOpenInterestreferstothenumberofcontractsoutstandingforaparticulardeliverymonth.Openinterestisagoodproxyfordemandforacontract.Somerefertoopeninterestasthedepthofthemarket.Thebreadthofthemarketwouldbehowmanydifferentcontracts(expirymonth,currency)areoutstanding.Irwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.ReadingaFuturesQuoteOpenHiLoSettleChangeLifetimeHighLifetimeLowOpenInterestSept.9282.9325.9276.9309+.00271.2085.863674,639ExpirymonthOpeningpriceHighestpricethatdayLowestpricethatdayClosingpriceDailyChangeHighestandlowestpricesoverthelifetimeofthecontract.NumberofopencontractsIrwin/McGraw-HillCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.EurodollarInterestRateFuturesContractsWidelyusedfuturescontractforhedgingshort-termU.S.dollarinterestrat