chap007尤恩,國際財(cái)務(wù)管理,英文第五版-展示頁
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【正文】 inaries ? European versus American options: – European options can only be exercised on the expiration date while American options can be exercised at any time up to and including the expiration date. – American options are usually worth more than European options, other things equal. ? Moneyness – If immediate exercise is profitable, an option is “in the money.” – Out of the money options can still have value. 715 PHLX Currency Option Specifications Currency Contract Size Australian dollar AUD 10,000 British pound GBP 10,000 Canadian dollar CAD 10,000 Euro EUR 10,000 Japanese yen JPY 1,000,000 Mexican peso MXN 100,000 New Zealand dollar NZD 10,000 Norwegian krone NOK 100,000 South African rand ZAR 100,000 Swedish krona SEK 100,000 Swiss franc CHF 10,000 716 Basic Option Pricing Relationships at Expiry ? At expiry, an American option is worth the same as a European option with the same characteristics. ? If the call is inthemoney, it is worth ST – E. ? If the call is outofthemoney, it is worthless. CaT = CeT = Max[ST – E, 0] ? If the put is inthemoney, it is worth E – ST. ? If the put is outofthemoney, it is worthless. PaT = PeT = Max[E – ST, 0] 717 Basic Option Profit Profiles E ST Profit Loss –c0 E + c0 If the call is inthemoney, it is worth ST – E. If the call is outofthemoney, it is worthless, and the buyer of the call loses his entire investment of c0. Inthemoney Outofthemoney 718 Basic Option Profit Profiles E ST Profit Loss – p0 E – p0 Long 1 put E – p0 If the put is inthemoney, it is worth E – ST. The maximum gain is E – p0. If the put is outofthemoney, it is worthless, and the buyer of the put loses his entire investment of p0. Outofthemoney Inthemoney Short 1 put 719 Market Value, Time 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 outofthemoney option has value—time value. Intrinsic value Time value Inthemoney Outofthemoney 720 European Option Pricing Relationships Consider two investments: 1 Buy a European call option on the British pound futures contract. The cash flow today is –Ce. 2 Replicate the upside payoff of the call by: ? Borrowing the present value of the dollar, exercise price of the call in the . at i$ , the cash flow today is ? Lending the present value of ST at i163。) – 721 European Option Pricing Relationships Ce Max ST E (1 + i163。) (1 + i$) – , 0 722 Binomial Option Pricing Model Imagine a world where the spot exchange rate is S0($/€) = $€ today and in the next year S1($/€) is either $€ or $€. €10,000 will change from $15,000 to either $18,000 or $12,000. A call option on €10,000 with strike price S0($/€) = $ will payoff either $3,000 or zero. If S1($/€) = $€ the option is inthemoney since you can buy €10,000 (worth $18,000 at S1($/€) = $€ ) for only $15,000. $15,000 $18,000 = €10,000 $ € $12,000 = €10,000 $ € C1up = $3,000 C1down = $0 723 Binomial Option Pricing Model We can replicate the payoffs of the call option by taking a long position in a bond with FV = €5,000 along with the right amount of
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