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1、Chapter 3,Derivative Securities for Currency Risk Management Currency Options and Options Markets,圣经故事。在圣经创世记第29章曾经提到过，大约在公元前1700年，雅克布用七年的劳动购买了一个准许他与拉班的女儿拉结结婚的期权。但是后来，拉班违约了，他强迫雅克布与自己的大女儿利亚结了婚。雅克布照办了，但是，他深爱的仍然是拉结。于是，他购买了另一个期权，即再劳动七年以换得与拉结结婚。这一次，拉班没有食言。最后，雅克布娶了两个老婆，生了12个儿子。,圣经故事、橄榄压榨机与荷兰郁金香,橄榄压榨机故事。古希
2、腊的数学家和哲学家泰利斯在橄榄丰收之前利用期权获得了低价使用橄榄压榨机的权利。 据说，他是第一个利用期权交易致富的人。泰利斯生活在公元前580年左右古希腊的米利塔斯市，位于今天土耳其的西南海岸。泰利斯运用自己的天文知识在冬季就预测到橄榄在来年春天将获得丰收。虽然没有什么钱，然而他用自己所有的积蓄在冬季淡季就以低价取得了春季旺季所有压榨机的使用权。 当然，他支付的价格也很低，因为当时没有人认为有必要为了这些压榨机来竞价。当春天橄榄获得大丰收时，每个人都想找到压榨机。这时，泰利斯执行他的权利，将压榨机以高价出租，结果赚了一大笔钱。,圣经故事、橄榄压榨机与荷兰郁金香,荷兰郁金香故事。在17世纪30年
3、代的“荷兰郁金香热”时期，郁金香的一些品种堪称欧洲最为昂贵的稀世花卉。 1635年，那些珍贵品种的郁金香球茎供不应求，加上投机炒作，致使价格飞涨20倍，成为最早有记载的泡沫经济。 这股投机狂潮却开启了期权交易的大门。郁金香交易商向种植者收取一笔费用，授予种植者按约定最高价格向该交易商出售郁金香球茎的权利（卖权）。 同时，郁金香交易商通过支付给种植者一定数额的费用，以获取以约定的最低价格购买球茎的权利（买权）。 这种交易对于降低郁金香交易商和种植者的风险十分有用。,圣经故事、橄榄压榨机与荷兰郁金香,Chapter Overview,What is an option Option payoff
4、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$/ = FT$/ = $1.45/. The expected amount due o
5、n this forward obligation is ECFT$ = (ECFT )(EST$/ ) = (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 $50,000.,A forward
6、 hedge,This forward exposure can be hedged by buying pound sterling in the forward market, which in this case means simultaneously selling dollars forward. Buy 1 million in the forward market at the forward price F1$/ = $1.45/ The cash flow time line and the payoff profile of the forward contract ar
7、e shown on the slide based on the forward rate of exchange is FT$/ = $1.45/. If the actual exchange rate is ST$/ = $1.50/, then purchasing 1,000,000 at the forward price of FT$/ = $1.45/ will save you $50,000 and offset your loss on the underlying exposure. Conversely, if the pound falls to $1.40/,
8、you will gain $50,000 on the underlying obligation but lose $50,000 on the forward contract.,A forward hedge,Wouldnt it be nice to own an insurance policy against a rise in the exchange rate without a corresponding loss if exchange rates fall?,An option hedge,A currency option is like one-half of a
9、forward contract the option holder gains if pound sterling rises the option holder does not lose if pound sterling falls,Long pound call (option to buy pound sterling),An option hedge,Options are used for two purposes: Hedging Speculation Hedging is by far the more common use by corporate financial
10、managers. In this example, a call option on pound sterling acts as an insurance policy (a hedge) against a rise in the value of the pound. If the actual exchange rate rises to ST$/ = $1.50/ at expiration, then the option provides a payoff of (1,000,000)($0.05/) = $50,000. If the actual exchange rate
11、 falls to ST$/ = $1.40/, then the option is out-of-the-money and is not exercised. Of course, this insurance policy does not come free. The cost of the option is called the option premium. The option holder pays the option premium when the option is purchased.,Options Contracts: Preliminaries,A fore
12、ign currency option is a contract giving the option purchaser (the buyer) the right, but not the obligation, to buy or sell a given amount of foreign exchange at a fixed price per unit for a specified time period (until the maturity date). The buyer of an option is termed the holder, while the selle
13、r of the option is referred to as the writer or grantor. Every option has three different price elements: The exercise or strike price the exchange rate at which the foreign currency can be purchased (call) or sold (put) The premium the cost, price, or value of the option itself The underlying or ac
14、tual spot exchange rate in the market,Options Contracts: Preliminaries,An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today. Calls vs. Puts Call options gives the holder the right, but not the obligation,
15、 to buy a given quantity of some asset at some time in the future, at prices agreed upon today. Put options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today.,Options Contracts: Preliminaries,European vs
16、. American options European options can only be exercised on the expiration date. American options can be exercised at any time up to and including the expiration date. Since this option to exercise early generally has value, American options are usually worth more than European options, other things equal.,Options Contracts: Preliminaries,Intrinsic Value The difference between the exercise price of the option and the spot price of the un
