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1、INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,期货合同：预备知识,期货合同（futures contract）类似于远期合约（forward contract）: 特兹公司是一家位于芝加哥的跨国公司，将在90天后需要100万新加坡元来没够从新加坡进口的货物。即期汇率0.5美元，90天的远期汇率是0.5美元；（1）如果90天后的即期汇率是0.6美元（2）90天后的即期汇率是0.47，与其你合同锁定汇率地点机会成本.,期货合约不同于远期合约：: 合约规模 交割月份 逐日结算,芝加哥商品交易所的货币期货合同,逐日结算:
2、 An Example,考虑CME EUR期货合约中的多头头寸，合同规模是125,000，到期日是3个月，期货合约结算价格是 $1.30 初始账户保证金余额为$6,500. 就远期合约而言，若3个月后欧元汇率为$1.24,投资者损失多少？ 如果到期后欧元值 $1.35 ，投资者收益多少,Daily Resettlement: An Example,Over the first 3 days, the euro strengthens then depreciates in dollar terms:,$1,250,$1,250,$1.31,$1.30,$1.27,$3,750,Gain/Los
3、s,Settle,$7,750,$6,500,$2,750,Account Balance,= $6,500 + $1,250,On third day suppose our investor keeps his long position open by posting an additional $3,750.,+ $3,750 = $6,500,Daily Resettlement: An Example,Over the next 2 days, the long keeps losing money and closes out his position at the end of
4、 day five.,$1,250,$1,250,$1.31,$1.30,$1.27,$1.26,$1.24,$3,750,$1,250,$2,500,Gain/Loss,Settle,$7,750,$6,500,$2,750 + $3,750 = $6,500,$5,250,$2,750,Account Balance,= $6,500 $1,250,计算投资的损益： 几种方法 $7,500 = $1,250 $1,250 $3,750 $1,250 $2,500 $7,500 = ($1.24/ $1.30/) 125,000 $7,500 = $2,750 ($6,500 + $3,75
5、0),货币期货市场,The Chicago Mercantile Exchange (CME) is by far the largest. Others include: The Philadelphia Board of Trade (PBOT) The MidAmerica commodities Exchange The Tokyo International Financial Futures Exchange The London International Financial Futures Exchange,芝加哥商业交易所,Expiry cycle: March, June,
6、 September, December. Delivery date third Wednesday of delivery month. Last trading day is the second business day preceding the delivery day. CME hours 7:20 a.m. to 2:00 p.m. CST.,读懂外汇期货合约报价,1.3170,1.3193,1.3126,1.3140,-.0025,1.3699,1.1750,Jun,10,096,Highest price that day,Lowest price that day,Clo
7、sing price,Daily Change,Highest and lowest prices over the life of the contract.,Number of open contracts,Expiry month,Opening price,Reading Currency Futures Quotes,Notice that open interest is greatest in the nearby contract, in this case March, 2005.,In general, open interest typically decreases w
8、ith term to maturity of most futures contracts.,期权合约：预备知识,期权是一种合约，它赋予所有者一种选择的权利（而不是义务），即拥有在未来一定时间内以一定的价格出售或购买一定数量的标的物的权利。 分为看涨期权和看跌期权 Call options：赋予持有人未来以固定价格购买标的资产的选择权。 Put options：赋予持有人未来以固定价格出售标的资产的选择权。.,Options Contracts: Preliminaries,欧式期权和美式期权 欧式期权只有到 合约的到期日才可以被执行。 美式期权可以在合约有效期内的任何一天被执行。 因此，美
9、式期权通常比欧式期权更有价值。,Options Contracts: Preliminaries,Exercise price：预先规定的标的物买卖价格。 对于看涨期权 In-the-money 价内 执行价格低于标的资产的即期价格. At-the-money平价 执行价格等于标的资产的即期价格The exercise price is equal to the spot price of the underlying asset. Out-of-the-money价外 执行价格高于标的资产的即期价格.,货币期权市场,PHLX费城股票交易所 HKFE香港期货交易所 OTC volume is
10、much bigger than exchange volume. Trading is in six major currencies against the U.S. dollar.,PHLX Currency Option Specifications,期权到期时基本定价关系,在到期日，有同样执行价格的欧式期权与美式期权的价值相同。 对于看涨期权，有基本关系为： CaT = CeT = MaxST - E, 0,对于看跌期权，基本定价关系为： PaT = PeT = MaxE - ST, 0,Basic Option Profit Profiles,E,ST,Profit,loss,c0
11、,E + c0,Long 1 call,If the call is in-the-money, it is worth ST E. If the call is out-of-the-money, it is worthless and the buyer of the call loses his entire investment of c0.,Basic Option Profit Profiles,ST,Profit,loss,c0,short 1 call,If the call is in-the-money, the writer loses ST E. If the call
12、 is out-of-the-money, the writer keeps the option premium.,Basic Option Profit Profiles,ST,Profit,loss, p0,long 1 put,E p0,If the put is in-the-money, it is worth E ST. The maximum gain is E p0 If the put is out-of-the-money, it is worthless and the buyer of the put loses his entire investment of p0
13、.,Basic Option Profit Profiles,ST,Profit,loss,p0,short 1 put, E + p0,If the put is in-the-money, it is worth E ST. The maximum loss is E + p0 If the put is out-of-the-money, it is worthless and the seller of the put keeps the option premium of p0.,例7-3,122,ST,Profit,loss,4.41,多头视角,考虑PHLX122Sep EUR看涨
14、期权 期权费为每欧元4.41美分 执行价格122美分 到期日为2010.9.18 若到期日的即期价格为122美分.,Example7-4,122,ST,Profit,loss,3.88,118.12,多头视角,考虑看跌期权PHLX122Sep EUR 期权费为每欧元3.88美分 执行价格122美分 若到期日的即期价格为120.07美分.,美式期权定价关系,美式看涨期权或者看跌期权可以在到期前的任何时候执行。因此，在理性市场上，美式期权在到期日前的时点t满足如下关系：: CaT CeT = MaxST - E, 0 PaT PeT = MaxE - ST, 0,Market Value, Tim
15、e Value and Intrinsic Value for an American Call,E,ST,Profit,loss,Long 1 call,The red line shows the payoff at maturity, not profit, of a call option. Note that even an out-of-the-money option has valuetime value.,Intrinsic value,Time value,Market Value,Empirical Tests,The European option pricing model works fairly well in pricing American currency options. It works best for out-of-the-money and at-the-money options. When options are in-the-money, the European option pricing model tends to underprice American options.,End Chapter Seven,
