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1、CHAPTER7FuturesandOptionsonForeignExchangeFuturesContracts:SomePreliminariesCurrencyFuturesMarketsInternationalFinanceinPractice:CMERampingUpFOREXSupport,TargetsOTCBusinessBasicCurrencyFuturesRelationshipsEurodollarInterestRateFuturesContractsOptionsContracts:SomePrel
2、iminariesCurrencyOptionsMarketsCurrencyFuturesOptionsBasicOption-PricingRelationshipsatExpirationAmericanOption-PricingRelationshipsEuropeanOption-PricingRelationshipsBinomialOption-PricingModelEuropeanOption-PricingFormulaEmpiricalTestsofCurrencyOptionsSummaryMINICAS
3、E:TheOptionsSpeculatorFuturesContracts:SomePreliminaries1ACMEcontracton€125,000withSeptemberdeliverya)Isanexampleofaforwardcontractb)Isanexampleofafuturescontractc)Isanexampleofaputoptiond)IsanexampleofacalloptionAnswer:b)Rationale:optionstradeontheCBOE2Yesterday,youe
4、nteredintoafuturescontracttobuy€62,500at$1.20per€.Supposethatthefuturespriceclosestodayat$1.16.Howmuchhaveyoumade/lost?a)Dependsonyourmarginbalanceb)Youhavemade$2,500.00c)Youhavelost$2,500.00d)Youhaveneithermadenorlostmoney,yet.Answer:c)Rationale:Youhavelost$0.04,62,5
5、00timesforatotallossof$2,500=$0.04/€×€62,5003Inreferencetothefuturesmarket,a“speculator”a)attemptstoprofitfromachangeinthefuturespriceb)wantstoavoidpricevariationbylockinginapurchasepriceoftheunderlyingassetthroughalongpositioninthefuturescontractorasalespricethrougha
6、shortpositioninthefuturescontractc)standsreadytobuyorsellcontractsinunlimitedquantityd)b)andc)Answer:a)89Eun/Resnick4eComparing“forward”and“futures”exchangecontracts,wecansaythat:a)Theyareboth“marked-to-market”daily.b)Theirmajordifferenceisinthewaytheunderlyingassetis
7、pricedforfuturepurchaseorsale:futuressettledailyandforwardssettleatmaturity.c)Afuturescontractisnegotiatedbyopenoutcrybetweenfloorbrokersortradersandistradedonorganizedexchanges,whileforwardcontractistailor-madebyaninternationalbankforitsclientsandistradedOTC.d)b)andc
8、)Answer:d)2Comparing“forward”and“futures”exchangecontracts,wecansaythata)Deliveryoftheunderlyingassetisseldommadeinfuturesco
