用于汇率风险管理的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 exchan