【正文】 Chapter 3 Derivative Securities for Currency Risk Management —— Currency Options and Options Markets —— 圣經(jīng)故事。在 《 圣經(jīng) 創(chuàng)世記 》 第 29章曾經(jīng)提到過，大約在公元前 1700年，雅克布用七年的勞動購買了一個準(zhǔn)許他與拉班的女兒拉結(jié)結(jié)婚的期權(quán)。但是后來，拉班違約了，他強(qiáng)迫雅克布與自己的大女兒利亞結(jié)了婚。雅克布照辦了，但是，他深愛的仍然是拉結(jié)。于是，他購買了另一個期權(quán)，即再勞動七年以換得與拉結(jié)結(jié)婚。這一次，拉班沒有食言。最后，雅克布娶了兩個老婆，生了 12個兒子。 圣經(jīng)故事、橄欖壓榨機(jī)與荷蘭郁金香 —— 橄欖壓榨機(jī)故事。古希臘的數(shù)學(xué)家和哲學(xué)家泰利斯在橄欖豐收之前利用期權(quán)獲得了低價使用橄欖壓榨機(jī)的權(quán)利。 據(jù)說，他是第一個利用期權(quán)交易致富的人。泰利斯生活在公元前 580年左右古希臘的米利塔斯市，位于今天土耳其的西南海岸。泰利斯運(yùn)用自己的天文知識在冬季就預(yù)測到橄欖在來年春天將獲得豐收。雖然沒有什么錢，然而他用自己所有的積蓄在冬季淡季就以低價取得了春季旺季所有壓榨機(jī)的使用權(quán)。 當(dāng)然，他支付的價格也很低，因為當(dāng)時沒有人認(rèn)為有必要為了這些壓榨機(jī)來競價。當(dāng)春天橄欖獲得大豐收時，每個人都想找到壓榨機(jī)。這時，泰利斯執(zhí)行他的權(quán)利，將壓榨機(jī)以高價出租，結(jié)果賺了一大筆錢。 圣經(jīng)故事、橄欖壓榨機(jī)與荷蘭郁金香 —— 荷蘭郁金香故事。在 17世紀(jì) 30年代的“荷蘭郁金香熱”時期，郁金香的一些品種堪稱歐洲最為昂貴的稀世花卉。 1635年，那些珍貴品種的郁金香球莖供不應(yīng)求，加上投機(jī)炒作，致使價格飛漲 20倍，成為最早有記載的泡沫經(jīng)濟(jì)。 這股投機(jī)狂潮卻開啟了期權(quán)交易的大門。郁金香交易商向種植者收取一筆費用，授予種植者按約定最高價格向該交易商出售郁金香球莖的權(quán)利（賣權(quán)）。 同時，郁金香交易商通過支付給種植者一定數(shù)額的費用，以獲取以約定的最低價格購買球莖的權(quán)利（買權(quán)）。 這種交易對于降低郁金香交易商和種植者的風(fēng)險十分有用。 圣經(jīng)故事、橄欖壓榨機(jī)與荷蘭郁金香 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 . pany has a forward obligation of 163。1 million due at time T in four months. Current spot and forward rates are S0$/163。 = FT$/163。 = $163。. ? The expected amount due on this forward obligation is E[CFT$] = (E[CFT163。 ])(E[ST$/163。 ]) = (163。1,000,000)($163。) = $1,450,000. ? If the actual exchange rate is $163。, then this 163。1 million obligation will cost CFT$ = (CFT163。 )(ST$/163。 ) = (163。1,000,000)($163。)= $1,500,000. ? In this case, the . pany has an unexpected loss of $50,000. Underlying transaction 163。1,000,000 Currency exposure DV$/163。 DS$/163。 A forward hedge ? This forward exposure can be hedged by buying pound sterling in the forward market, which in this case means simultaneously selling dollars forward. ? Buy 163。1 million in the forward market at the forward price F1$/163。 = $163。 ? The cash flow time line and the payoff profile of the forward contract are shown on the slide based on the forward rate of exchange is FT$/163。 = $163。. － If the actual exchange rate is ST$/163。 = $163。, then purchasing 163。1,000,000 at the forward price of FT$/163。 = $163。 will save you $50,000 and offset your loss on the underlying exposure. － Conversely, if the pound falls to $163。, you will gain $50,000 on the underlying obligation but lose $50,000 on the forward contract. A forward hedge ? Wouldn’t it be nice to own an insurance policy against a rise in the exchange rate without a corresponding loss if exchange rates fall? Long pound forward +163。1,000,000 $1,450,000 Exposure of forward contract DV$/163。 DS$/163。 An option hedge ? A currency option is like onehalf of a forward contract ? the option holder gains if pound sterling rises ? the option holder does not lose if pound sterling falls Long pound call (option to buy pound sterling) DS$/163。 DV$/163。 An option hedge ? Options are used for two purposes: Hedging Speculation Hedging is by far the more mon use by corporate financial managers. ? In this example, a call option on pound sterling acts as an insurance policy (a hedge) against a rise in the value of the pound. If the actual exchange rate rises to ST$/163。 = $163。 at expiration, then the option provides a payoff of (163。1,000,000)($163。) = $50,000. If the actual exchange rate falls to ST$/163。 = $163。, then the option is outofthemoney and is not exercised. ? Of course, this insurance policy does not e 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 foreign 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). ? T