用于汇率风险管理的衍生产品货币期权与期权市场.pptVIP

Chapter 3 Derivative Securities for Currency Risk Management ——Currency Options and Options Markets Chapter Overview What is an option Option payoff profiles Combinations of options The determinants of currency option values Hedging with currency options A forward obligation Suppose a U.S. company has a forward obligation of ￡1 million due at time T in four months. Current spot and forward rates are S0$/￡ = FT$/￡ = $1.45/￡. The expected amount due on this forward obligation is E[CFT$] = (E[CFT￡ ])(E[ST$/￡ ]) = (￡1,000,000)($1.45/￡) = $1,450,000. If the actual exchange rate is $1.50/￡, then this ￡1 million obligation will cost CFT$ = (CFT￡ )(ST$/￡ ) = (￡1,000,000)($1.50/￡)= $1,500,000. In this case, the U.S. company has an unexpected loss of $50,000. A forward hedge This forward exposure can be hedged by buying pound sterling in the forward market, which in this case means simultaneously selling dollars forward. Buy ￡1 million in the forward market at the forward price F1$/￡ = $1.45/￡ The cash flow time line and the payoff profile of the forward contract are shown on the slide based on the forward rate of exchange is FT$/￡ = $1.45/￡. －If the actual exchange rate is ST$/￡ = $1.50/￡, then purchasing ￡1,000,000 at the forward price of FT$/￡ = $1.45/￡ will save you $50,000 and offset your loss on the underlying exposure. －Conversely, if the pound falls to $1.40/￡, you will gain $50,000 on the underlying obligation but lose $50,000 on the forward contract. A forward hedge Wouldn’t it be nice to own an insurance policy against a rise in the exchange rate without a corresponding loss if exchange rates fall? An option hedge A currency option is like one-half of a forward contract the option holder gains if pound sterling rises the option holder does not lose if pound sterling falls An option hedge Options are used for two purposes: Hedging Speculation Hedging is by far the more common use by corporate financial managers. In