Ch007 Futures and Options

《Ch007 Futures and Options》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、Eun&Resnick4eCHAPTER7FuturesandOptionsonForeignExchangeFuturesContracts:SomePreliminariesCurrencyFuturesMarketsInternationalFinanceinPractice:CMERampingUpFOREXSupport,TargetsOTCBusinessBasicCurrencyFuturesRelationshipsEurodollarInterestRateFuturesContractsOp

2、tionsContracts:SomePreliminariesCurrencyOptionsMarketsCurrencyFuturesOptionsBasicOption-PricingRelationshipsatExpirationAmericanOption-PricingRelationshipsEuropeanOption-PricingRelationshipsBinomialOption-PricingModelEuropeanOption-PricingFormulaEmpiricalTes

3、tsofCurrencyOptionsSummaryMINICASE:TheOptionsSpeculatorFuturesContracts:SomePreliminaries1ACMEcontracton€125,000withSeptemberdeliverya)Isanexampleofaforwardcontractb)Isanexampleofafuturescontractc)Isanexampleofaputoptiond)IsanexampleofacalloptionAnswer:b)Rat

4、ionale:optionstradeontheCBOE2Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.20per€.Supposethatthefuturespriceclosestodayat$1.16.Howmuchhaveyoumade/lost?a)Dependsonyourmarginbalanceb)Youhavemade$2,500.00c)Youhavelost$2,500.00d)Youhaveneithermadenorl

5、ostmoney,yet.Answer:c)Rationale:Youhavelost$0.04,62,500timesforatotallossof$2,500=$0.04/€×€62,5003Inreferencetothefuturesmarket,a“speculator”a)attemptstoprofitfromachangeinthefuturespriceb)wantstoavoidpricevariationbylockinginapurchasepriceoftheunderlyingass

6、etthroughalongpositioninthefuturescontractorasalespricethroughashortpositioninthefuturescontractc)standsreadytobuyorsellcontractsinunlimitedquantityd)b)andc)Answer:a)89Eun/Resnick4eComparing“forward”and“futures”exchangecontracts,wecansaythat:a)Theyareboth“ma

7、rked-to-market”daily.b)Theirmajordifferenceisinthewaytheunderlyingassetispricedforfuturepurchaseorsale:futuressettledailyandforwardssettleatmaturity.c)Afuturescontractisnegotiatedbyopenoutcrybetweenfloorbrokersortradersandistradedonorganizedexchanges,whilefo

8、rwardcontractistailor-madebyaninternationalbankforitsclientsandistradedOTC.d)b)andc)Answer:d)2Comparing“forward”and“futures”exchangecontracts,wecansaythata)Deliveryoftheunderlyingassetisseldomma