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1、INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition9ChapterNineFuturesandOptions onForeignExchangeChapterObjective:Thischapterdiscussesexchange-tradedcurrencyfuturescontracts,optionscontracts,andoptionsoncurrencyfutures.ChapterOutlineFuturesContracts:Preli
2、minariesCurrencyFuturesMarketsBasicCurrencyFuturesRelationshipsEurodollarInterestRateFuturesContractsOptionsContracts:PreliminariesCurrencyOptionsMarketsCurrencyFuturesOptionsChapterOutline(continued)BasicOptionPricingRelationshipsatExpiryAmericanOptionPricingR
3、elationshipsEuropeanOptionPricingRelationshipsBinomialOptionPricingModelEuropeanOptionPricingModelEmpiricalTestsofCurrencyOptionModelsFuturesContracts:PreliminariesAfuturescontractislikeaforwardcontract:Itspecifiesthatacertaincurrencywillbeexchangedforanotherat
4、aspecifiedtimeinthefutureatpricesspecifiedtoday.Afuturescontractisdifferentfromaforwardcontract:Futuresarestandardizedcontractstradingonorganizedexchangeswithdailyresettlementthroughaclearinghouse.FuturesContracts:PreliminariesStandardizingFeatures:ContractSize
5、DeliveryMonthDailyresettlementInitialMargin(about4%ofcontractvalue,cashorT-billsheldinastreetnameatyourbrokers).DailyResettlement:AnExampleSupposeyouwanttospeculateonariseinthe$/¥exchangerate(specificallyyouthinkthatthedollarwillappreciate).Currently$1=¥140.The
6、3-monthforwardpriceis$1=¥150.DailyResettlement:AnExampleCurrently$1=¥140anditappearsthatthedollarisstrengthening.Ifyouenterintoa3-monthfuturescontracttosell¥attherateof$1=¥150youwillmakemoneyiftheyendepreciates.Thecontractsizeis¥12,500,000Yourinitialmarginis4%o
7、fthecontractvalue:DailyResettlement:AnExampleIftomorrow,thefuturesrateclosesat$1=¥149,thenyourposition’svaluedrops.Youroriginalagreementwastosell¥12,500,000andreceive$83,333.33Butnow¥12,500,000isworth$83,892.62Youhavelost$559.28overnight.DailyResettlement:AnExa
8、mpleThe$559.28comesoutofyour$3,333.33marginaccount,leaving$2,774.05Thisisshortofthe$3,355.70requiredforanewposition.Yourbrokerwillletyouslideuntilyourunthroughyourmaintenanc
