OptionsonForeignExchange(国际财务管理,英文版).pptx

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1、Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-0INTERNATIONALFINANCIALMANAGEMENTEUN / RESNICKSecond Edition9Chapter NineFutures and Options on Foreign ExchangeChapter Objective:This chapter discusses exchange-traded currency futures contracts, options cont

2、racts, and options on currency futures. Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-1Chapter OutlinelFutures Contracts: PreliminarieslCurrency Futures MarketslBasic Currency Futures RelationshipslEurodollar Interest Rate Futures ContractslOptions Contra

3、cts: PreliminarieslCurrency Options MarketslCurrency Futures OptionsIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-2Chapter Outline (continued)lBasic Option Pricing Relationships at ExpirylAmerican Option Pricing RelationshipslEuropean Option Pricing Relat

4、ionshipslBinomial Option Pricing ModellEuropean Option Pricing ModellEmpirical Tests of Currency Option ModelsIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-3Futures Contracts: PreliminarieslA futures contract is like a forward contract:nIt specifies that

5、a certain currency will be exchanged for another at a specified time in the future at prices specified today.lA futures contract is different from a forward contract:nFutures are standardized contracts trading on organized exchanges with daily resettlement through a clearinghouse.Irwin/McGraw-Hill C

6、opyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-4Futures Contracts: PreliminarieslStandardizing Features:nContract SizenDelivery MonthnDaily resettlementlInitial Margin (about 4% of contract value, cash or T-bills held in a street name at your brokers).Irwin/McGraw-Hill Copyr

7、ight 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-5Daily Resettlement: An ExamplelSuppose you want to speculate on a rise in the $/ exchange rate (specifically you think that the dollar will appreciate). Currently $1 = 140. The 3-month forward price is $1=150. Currency per U.S. $ e

8、quivalent U.S. $WedTueWedTueJapan (yen)0.0071428570.0071942451401391-month forward0.0069930070.0070422541431423-months forward0.0066666670.0067114091501496-months forward0.006250.006289308160159Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-6Daily Resettle

9、ment: An ExamplelCurrently $1 = 140 and it appears that the dollar is strengthening. lIf you enter into a 3-month futures contract to sell at the rate of $1 = 150 you will make money if the yen depreciates. The contract size is 12,500,000lYour initial margin is 4% of the contract value: 150$1012,500

10、,00.04 $3,333.33 Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-7Daily Resettlement: An ExampleIf tomorrow, the futures rate closes at $1 = 149, then your positions value drops.Your original agreement was to sell 12,500,000 and receive $83,333.33But now 12

11、,500,000 is worth $83,892.62149 $1012,500,0062.892,83$You have lost $559.28 overnight.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-8Daily Resettlement: An ExamplelThe $559.28 comes out of your $3,333.33 margin account, leaving $2,774.05lThis is short of

12、the $3,355.70 required for a new position.149$1012,500,00.04 $3,355.70 lYour broker will let you slide until you run through your maintenance margin. Then you must post additional funds or your position will be closed out. This is usually done with a reversing trade.Irwin/McGraw-Hill Copyright 2001

13、by The McGraw-Hill Companies, Inc. All rights reserved. 9-9Currency Futures MarketslThe Chicago Mercantile Exchange (CME) is by far the largest. lOthers include:nThe Philadelphia Board of Trade (PBOT)nThe MidAmerica commodities ExchangenThe Tokyo International Financial Futures ExchangenThe London I

14、nternational Financial Futures ExchangeIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-10The Chicago Mercantile ExchangelExpiry cycle: March, June, September, December.lDelivery date 3rd Wednesday of delivery month.lLast trading day is the second business d

15、ay preceding the delivery day.lCME hours 7:20 a.m. to 2:00 p.m. CST.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-11CME After HourslExtended-hours trading on GLOBEX runs from 2:30 p.m. to 4:00 p.m dinner break and then back at it from 6:00 p.m. to 6:00 a.

16、m. CST.lSingapore International Monetary Exchange (SIMEX) offer interchangeable contracts.lTheres other markets, but none are close to CME and SIMEX trading volume.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-12Basic Currency Futures RelationshipslOpen I

17、nterest refers to the number of contracts outstanding for a particular delivery month.lOpen interest is a good proxy for demand for a contract.lSome refer to open interest as the depth of the market. The breadth of the market would be how many different contracts (expiry month, currency) are outstan

18、ding.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-13Reading a Futures Quote Open Hi Lo Settle Change Lifetime High Lifetime Low Open Interest Sept .9282 .9325 .9276 .9309 +.0027 1.2085 .8636 74,639 Expiry monthOpening priceHighest price that dayLowest pr

19、ice that dayClosing priceDaily ChangeHighest and lowest prices over the lifetime of the contract.Number of open contractsIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-14 Eurodollar Interest Rate Futures ContractslWidely used futures contract for hedging s

20、hort-term U.S. dollar interest rate risk.lThe underlying asset is a hypothetical $1,000,000 90-day Eurodollar depositthe contract is cash settled.lTraded on the CME and the Singapore International Monetary Exchange.lThe contract trades in the March, June, September and December cycle.Irwin/McGraw-Hi

21、ll Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-15Reading Eurodollar Futures QuotesEURODOLLAR (CME)$1 million; pts of 100% OpenHighLowSettleChgYieldSettle ChangeOpen InterestJuly94.6994.6994.6894.68-.015.32+.0147,417 Eurodollar futures prices are stated as an index number

22、 of three-month LIBOR calculated as F = 100-LIBOR.The closing price for the July contract is 94.68 thus the implied yield is 5.32 percent = 100 98.68The change was .01 percent of $1 million representing $100 on an annual basis. Since it is a 3-month contract one basis point corresponds to a $25 pric

23、e change.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-16Options Contracts: PreliminarieslAn option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today.lCalls vs. Putsn

24、Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today.nPut options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices

25、 agreed upon today.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-17Options Contracts: PreliminarieslEuropean vs. American optionsnEuropean options can only be exercised on the expiration date.nAmerican options can be exercised at any time up to and includ

26、ing the expiration date.nSince this option to exercise early generally has value, American options are usually worth more than European options, other things equal.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-18Options Contracts: PreliminarieslIn-the-mon

27、eynThe exercise price is less than the spot price of the underlying asset.lAt-the-moneynThe exercise price is equal to the spot price of the underlying asset.lOut-of-the-moneynThe exercise price is more than the spot price of the underlying asset.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill C

28、ompanies, Inc. All rights reserved. 9-19Options Contracts: PreliminarieslIntrinsic ValuenThe difference between the exercise price of the option and the spot price of the underlying asset.lSpeculative ValuenThe difference between the option premium and the intrinsic value of the option.Option Premiu

29、m=Intrinsic ValueSpeculative Value+Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-20Currency Options MarketslPHLXlHKFEl20-hour trading day.lOTC volume is much bigger than exchange volume.lTrading is in seven major currencies plus the euro against the U.S.

30、dollar.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-21PHLX Currency Option SpecificationsCurrencyContract SizeAustralian dollarAD50,000British pound31,250Canadian dollarCD50,000Deutsche markDM62,500French francFF250,000Japanese yen6,250,000Swiss francSF6

31、2,500Euro62,500Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-22Currency Futures OptionslAre an option on a currency futures contract.lExercise of a currency futures option results in a long futures position for the holder of a call or the writer of a put.

32、lExercise of a currency futures option results in a short futures position for the seller of a call or the buyer of a put.lIf the futures position is not offset prior to its expiration, foreign currency will change hands.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights

33、reserved. 9-23Basic Option Pricing Relationships at ExpirylAt expiry, an American call option is worth the same as a European option with the same characteristics.lIf the call is in-the-money, it is worth ST E.lIf the call is out-of-the-money, it is worthless.CaT = CeT = MaxST - E, 0Irwin/McGraw-Hil

34、l Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-24Basic Option Pricing Relationships at ExpirylAt expiry, an American put option is worth the same as a European option with the same characteristics.lIf the put is in-the-money, it is worth E - ST.lIf the put is out-of-the-m

35、oney, it is worthless.PaT = PeT = MaxE - ST, 0Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-25Basic Option Profit ProfilesCaT = CeT = MaxST - E, 0profitlossEE+CSTLong 1 callIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights res

36、erved. 9-26Basic Option Profit ProfilesCaT = CeT = MaxST - E, 0profitlossEE+CSTshort 1 callIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-27Basic Option Profit ProfilesPaT = PeT = MaxE - ST, 0profitlossEE - pSTlong 1 putIrwin/McGraw-Hill Copyright 2001 by

37、The McGraw-Hill Companies, Inc. All rights reserved. 9-28Basic Option Profit ProfilesCaT = CeT = MaxST - E, 0profitlossESTShort 1 putE - pIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-29American Option Pricing RelationshipslWith an American option, you ca

38、n do everything that you can do with a European optionthis option to exercise early has value.CaT CeT = MaxST - E, 0PaT PeT = MaxE - ST, 0Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-30Market Value, Time Value and Intrinsic Value for an American CallCaT

39、MaxST - E, 0ProfitlossESTMarket ValueIntrinsic valueST - ETime valueOut-of-the-moneyIn-the-moneyIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-31European Option Pricing RelationshipsConsider two investments1Buy a call option on the British pound futures co

40、ntract. The cash flow today is -Ce2Replicate the upside payoff of the call by 1Borrowing the present value of the exercise price of the call in the U.S. at i$ The cash flow today is E /(1 + i$)2Lending the present value of ST at i The cash flow is - ST /(1 + i)Irwin/McGraw-Hill Copyright 2001 by The

41、 McGraw-Hill Companies, Inc. All rights reserved. 9-32European Option Pricing RelationshipsWhen the option is in-the-money both strategies have the same payoff.When the option is out-of-the-money it has a higher payoff the borrowing and lending strategy. Thus: 0 ,)1 ()1 (max$iEiSCTeIrwin/McGraw-Hill

42、 Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-33European Option Pricing RelationshipsUsing a similar portfolio to replicate the upside potential of a put, we can show that: 0 ,)1 ()1 (max$iSiEPTeIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All right

43、s reserved. 9-34Binomial Option Pricing ModellImagine a simple world where the dollar-euro exchange rate is S0($/ ) = $1 today and in the next year, S1($/ ) is either $1.1 or $.90.$1$.90$1.10S0($/ )S1($/ )Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-35Bi

44、nomial Option Pricing Model$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )lA call option on the euro with exercise price S0($/ ) = $1 will have the following payoffs.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-36$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )Binomial Opt

45、ion Pricing ModellWe can replicate the payoffs of the call option. With a levered position in the euro.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-37$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )Binomial Option Pricing Modeldebt-$.90-$.90portfolio$.20$.00Borrow

46、 the present value of $.90 today and buy 1. Your net payoff in one period is either $.2 or $0.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-38Binomial Option Pricing Model$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )debt-$.90-$.90portfolio$.20$.00lThe portfolio

47、has twice the options payoff so the portfolio is worth twice the call option value.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-39$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )debt-$.90-$.90portfolio$.20$.00Binomial Option Pricing Model The portfolio value today

48、 is todays value of one euro less the present value of a $.90 debt:)1 (90$.1$iIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-40Binomial Option Pricing Model$1$.90$1.10S0($/ )S1($/ )$.10$0C1($/ )debt-$.90-$.90portfolio$.20$.00We can value the option as half

49、 of the value of the portfolio:)1 (90$.1$21$0iCIrwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-41Binomial Option Pricing ModellThe most important lesson from the binomial option pricing model is:lMany derivative securities can be valued by valuing portfolio

50、s of primitive securities when those portfolios have the same payoffs as the derivative securities.Irwin/McGraw-Hill Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 9-42European Option Pricing FormulalWe can use the replicating portfolio intuition developed in the binomial opt