用于汇率风险管理的衍生产品货币期权与期权市场.pptxVIP

;; Chapter Overview; A forward obligation; A forward hedge;A forward hedge;An option hedge;An option hedge;Options Contracts: Preliminaries;Options Contracts: Preliminaries;Options Contracts: Preliminaries;Options Contracts: Preliminaries;Currency Options Markets;PHLX Currency Option Specifications;Foreign Currency Options; Currency Futures Options; The functions of Call Option;Breakeven on Call Option;The functions of Put Option;;Payoff profile of a call option at expiration;Payoff profile of a put option at expiration; Forwards, puts, and calls——A Forward by Any Other Name; Forwards, puts, and calls ——A Forward by Any Other Name;A Forward by Any Other Name : Put-call parity; Combinations of options  -A Straddle option; Combinations of options  -A Straddle option;profit/loss on a short straddle; The Determinants of Option Values;Intrinsic Value, Time Value Total Value for a Call Option on British Pounds with a Strike Price of $1.70/￡;;The Intrinsic Value of an Option;; The time value of an option;The time value of an option;The time value of an option;Exchange rate volatility and out-of-the-money call option value; The time value of an option;Exchange rate volatility and at-the-money call option value;The time value of an option;Exchange rate volatility and in-the-money call option value;Intrinsic Value, Time Value Total Value for a Call Option on British Pounds with a Strike Price of $1.70/￡; 货币期权定价的敏感性分析;交易者根据Delta 值对期权分类;2.离到期日的时间（ theta） 期权的价值随离到期日的时间长度而增加，预期期权费的变化与到期日时间变化的比值称为 Option‘s theta：the change in option price with respect to a Change in maturity. Ex: ? =20%, S=$0.72, T=20 days,C0=$0.0288. If T=18 days, C1= $0.0241, compute the theta. theta=(0.0241-0.0288)/(18-20)= 0.00235 值得注意的是， theta值与时间的关系不是线性关系，而是时间的平方根。例如，3个月和1个月的实值期权的期权费关系是： 即3月期的期权费只是1月期期权费的1.73倍， 而不是3倍。离到期日越近，期权价值衰减越厉害！ ;时间价值的衰减对期权交易者来说非常重要。;;3.对波动率的敏感性（Lambda） 期权的波动率定义为基础汇率每日百分比变