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国际金融期权的问题supposeyouarethetreasurerofaU.S.multinationalfirmthatwantstohedgetheforeignexchangeriskassociatedwithyourfirm'ssaleofequipmenttoaSwissfirmworthCHF1,000,000.Thereceivableisdueinsixmonths.y
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国际金融期权的问题
suppose you are the treasurer of a U.S. multinational firm that wants to hedge the foreign exchange risk associated with your firm's sale of equipment to a Swiss firm worth CHF1,000,000.The receivable is due in six months.you want to ensure that Swiss francs are worth at least$0.70 when the francs are received so you want a strike price of $0.70 .一家美国公司卖给瑞士公司价值1000000瑞士法郎的货物,六个月以后才能收钱,为了确保六个月以后瑞士法郎价格最低在0.7美元,期权合同中的成交价为0.70美元.需要几份期权合同?要看涨期权还是看跌期权?什么时候行使期权合同?什么时候让合同到期?
suppose you are the treasurer of a U.S. multinational firm that wants to hedge the foreign exchange risk associated with your firm's sale of equipment to a Swiss firm worth CHF1,000,000.The receivable is due in six months.you want to ensure that Swiss francs are worth at least$0.70 when the francs are received so you want a strike price of $0.70 .一家美国公司卖给瑞士公司价值1000000瑞士法郎的货物,六个月以后才能收钱,为了确保六个月以后瑞士法郎价格最低在0.7美元,期权合同中的成交价为0.70美元.需要几份期权合同?要看涨期权还是看跌期权?什么时候行使期权合同?什么时候让合同到期?
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答案和解析
半年后收到瑞士法郎,将卖出瑞士法郎换取美元,要锁定美元收益,所以这是个卖出瑞士法郎的期权,防止瑞士法郎贬值,所以是个瑞士法郎的看跌期权.总金额是一百万瑞士法郎,所以要看一份合约的面值是多少,才能决定购买多少份...
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