国际财管Chap008.ppt

Call-Buying Importer Consider a British importer who owes €100,000 in one year. The importer can use a money market or forward market hedge to redenominate this into a ￡88,000 liability. He could also use OTC call options on the euro with a pound strike. ￡10,000 ￡7,500 ￡8,000 c1 = ￡2,000 up c1 = ￡0 down c0 = ￡900.43 H = S1 – S1 down up ￡2,000– ￡0 ￡10,000 – ￡7,500 ￡2,000 ￡2,500 4 5 = = = c1 –c1 up down With a hedge ratio of .80 our importer can hedge with a long position in 1 OTC call on €125,000. Option Dealer ￡100,000 Call Buying Importer €125,000 Option Dealer T = 1 Spot Market Buy €100,000 ￡75,000 €100,000 Call Buying Importer S1(￡/€) = ￡0.75/€. In-the-Money Calls: S1(￡/€) = ￡1.00/€ K0(￡/€) = ￡0.80/€ Out-of-the-Money: S1(￡/€) = ￡0.75/€ K0(￡/€) = ￡0.80/€ 1 Call on €125,000 = Perfect Import Hedge Supplier €100,000 Goods The future value of the receivable net of the cost of the call is ￡88,000 = ￡75,000 + ￡13,000 or ￡88,000 = ￡100,000 + ￡13,000 ? ￡25,000 €100,000 Goods T = 1 Spot Market Sell €25,000 S1(￡/€) = ￡1.00/€. €25,000 ￡25,000 Cross-Hedging Minor Currency Exposure The major world currencies are the U.S. dollar, Canadian dollar, British pound, euro, Swiss franc, Mexican peso, and Japanese yen. Everything else is a minor currency (for example, the Swedish krona). It is difficult, expensive, and sometimes even impossible to use financial contracts to hedge exposure to minor currencies. Cross-Hedging Minor Currency Exposure Cross-hedging involves hedging a position in one asset by taking a position in another asset. The effectiveness of cross-hedging depends upon how well the assets are correlated. An example would be a U.S. importer with liabilities in Swedish krona hedging with long or short forward contracts on the euro. If the krona is expensive when the euro is expensive, or even if the krona is cheap when the euro is expensive, it can be a good hedge. But they need to co-vary in a predictable way. Hedging Recurrent Exposur