第八章货币期货与期权市场(国际财务管理-JosephFGre.pptx

Multinational Financial Management Alan Shapiro 7th EditionJ.Wiley & SonsPower Points byJoseph F. Greco, Ph.D.California State University, Fullerton1CHAPTER 8货币期货与期权市场2 CHAPTER OVERVIEWI.期货合约II.货币期权3PART I.FUTURES CONTRACTS期货合约I.货币期货A. 背景1.1972: 芝加哥商业交易所 成立了国际货币市场部. (IMM)4FUTURES CONTRACTS2.IMM providesa.为货币投机者和希望减少货币风险者提供了一个交易场所.b. Definition of futures contracts:contracts written requiring 给定货币的特定数量 汇率在合约生效时确定 交割日确定.5FUTURES CONTRACTSc.Available Futures Currencies:1.) British pound5.) Euro2.) Canadian dollar 6.) Japanese yen3.) Deutsche mark7.) Australian dollar4.) Swiss franc6FUTURES CONTRACTSd. 合约金额是标准化的:contract sizes differ for each of the 7 available currencies. Examples:Euro = 125,000 British Pound = 62,5007FUTURES CONTRACTSe.交易费用:payment of commission to a traderf.较高的杠杆作用(P233)1.)Initial margin required isrelatively low (e.g. less than .02% of sterling contract value).8FUTURES CONTRACTSg.限制每日价格变动的最大幅度1.)Contracts set to a daily price limit restricting maximum daily price movements.9FUTURES CONTRACTS2.)If limit is reached, a margincall may be necessary to maintain a minimum margin.10FUTURES CONTRACTSh.Global futures exchanges that are competitors to the IMM:1.)Deutsche Termin Bourse2.)L.I.F.F.E.London International Financial Futures Exchange3.)C.B.O.T. Chicago Board of Trade11FUTURES CONTRACTS4.) S.I.M.E.X.Singapore InternationalMonetary Exchange5.)H.K.F.E. Hong Kong Futures Exchange12FUTURES CONTRACTSB.远期合约与期货合约的基本差异:1. 交易方式 6. 结算2. 管制7. 标价法3. 交割的频率 8. 交易费用4. 合约金额9. 保证金5. 到期日 10. 信用风险235-236 13FUTURES CONTRACTSAdvantages of futures: 1.) Smaller contract size2.) Easy liquidation 3.) Well- organizedand stable market.Disadvantages of futures:1.) Limited to 7 currencies2.) Limited dates of delivery3.) Rigid contract sizes.14PART IICURRENCY OPTIONS货币期权I.OPTIONSA. Currency options 1.获得汇率有利变动所带来的好处.2.费城股票交易所 (PHLX)1983.3.成长速度最快的风险套期市场.15CURRENCY OPTIONS4. Definition:定义a contract from a writer ( the seller) that gives the right not the obligation to the holder (the buyer) to buy or sell a standard amount of an available currency at a fixed exchange rate for a fixed time period.16CURRENCY OPTIONS5.类型:a. Americanexercise date may occur anytime up to the expiration date.b. Europeanexercise date occurs only at theexpiration date.17CURRENCY OPTIONS7. Exercise Price协定价格a. Sometimes known as thestrike price.b.the exchange rate at which the option holder can buy or sell the contracted currency.18CURRENCY OPTIONS8.Status of an optiona.In-the-money实值期权Call:Spot strikePut:Spot strikeb.Out-of-the-money虚值期权Call:Spot strikec.At-the-money平价Spot = the strike19CURRENCY OPTIONS9. 期权费: the price of anoption that the writer charges the buyer.20CURRENCY OPTIONSB.如何使用货币期权1. For the firm hedging foreignexchange riska. With sizable unrealized gains.b. With foreign currency flows forthcoming.21CURRENCY OPTIONS2. For speculators- profit from favorable exchange rate changes.22CURRENCY OPTIONSC.期权定价及其价值1. Value of an option equalsa. 内在价值b. 时间价值23CURRENCY OPTIONS2. 内在价值实值期权的价值量到期日前看涨期权的价值当前即期汇率协定价格3. 时间价值the amount the option is inexcess of its intrinsic value.24CURRENCY OPTIONS4.Other factors affecting the value of an optiona.value rises with longer time to expiration.b.value rises when greater volatility in the exchange rate.25CURRENCY OPTIONS5.Value is complicated by boththe home and foreign interestrates.26CURRENCY OPTIONSD. Using Forward or Futures Contracts:Forward and futures contracts are more suitable for hedging a known amount of foreign currency flow.27CURRENCY OPTIONSE.Market Structure1.Locationa. Organized Exchangesb. Over-the-counter1.) Two levelsretail and wholesale28树立质量法制观念、提高全员质量意识。

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