MultinationalBusinessFinance C01 VI

Chng 8
Phi Sinh Ngoi

T
Copyright 2010 Pearson Prentice Hall. All rights reserved.
Phi Sinh Ngoi T

Nh qun l ti chnh cc cng ty a quc gia
trong th k 21 cn quan tm n cng c ti
chnh phi sinh
Nhng cng c phi sinh ny, c t tn nh
vy bi v gi tr ca chng bt ngun t cc ti
sn c bn khc l mt cng c mnh m c s
dng trong kinh doanh ngy nay.
Cc cng c ny c th c s dng cho hai mc
tiu qun l rt khc bit:
- u c - s dng cc cng c phi sinh t c mong
i v li nhun
- T bo him - s dng cc cng c phi sinh gim ri
ro lin quan vi vic qun l dng tin hng ngy ca
doanh nghip
8-2
Phi Sinh Ngoi T

Cng c phi sinh c s dng bi cc cng
ty t c mt trong nhng li ch sau
y:
- Cho php cng ty t c phn thng (li nhun)

m h s khng th t c nu khng dng cng c
phi sinh, hoc ch c th t c vi chi ph ln hn
- Bo him nhng ri ro m nhng cch lm khc khng
th lm c
- Lm th trng c bn tr nn hiu qu hn
- Gim bin ng li nhun t c phiu
- Gim thiu bin ng thu nhp
- Gim ngha v thu
- Thc y vic qun l (tc ng ca thuyt ngi i
din)
8-3
Hp ng Tng Lai Ngoi T

Mt hp ng tng lai ngoi t l mt thay th
cho hp ng k hn i vi mt s ngoi t tiu
chun ti mt thi im, a im v gi c c
nh.
N tng t nh hp ng tng lai tn ti i vi
cc mt hng khc nh gia sc, g x, li tin gi,
vng
Ti M, th trng quan trng nht ca hp ng
tng lai ngoi t l th trng tin t quc t
(IMM), mt b phn ca Chicago Mercantile
Exchange.
8-4

Chi tit hp ng c thit lp bi sn
chng khon ni hp ng tng lai c
giao dch.
Cc c im chnh c chun ha l:
-
Kch thc hp ng
Phng php thng bo t gi hi oi
Ngy o hn
Ngy giao dch cui
Ti sn th chp v phm vi bo tr
Thanh ton
Hoa hng
S dng phng thanh ton b tr (clearing
house) nh mt i tc
8-5
Hp ng tng lai ngoi t khc vi hp ng mua trc c k hn

mt s im quan trng:
- Hp ng tng lai c chun ha v kch thc trong khi hp
ng k hn c ty chnh
- Hp ng tng lai c nh k hn trong khi hp ng k hn c
th c bt k o hn no (c hai loi thng c k hn t mt
nm hoc t hn)
- Giao dch hp ng tng lai din ra trn cc sn c t chc trong
khi hp ng k hn c giao dch gia cc c nhn v ngn hng
- Hp ng tng lai c k qu ban u vi gi tr c nh gi li
hng ngy trong khi hp ng k hn ch yu cu nh gi vi
ngn hng
- Hp ng tng lai him khi c trao i ngoi t thc s khi
thanh ton trong khi hp ng k hn thng c trao i khi n
hn thanh ton
8-6
Quyn chn Ngoi T

Mt quyn chn ngoi t l mt hp ng
cho ngi mua la chn quyn, nhng khng
phi ngha v, mua hoc bn mt lng
ngoi t mt t gi c nh trong mt
khong thi gian quy nh (cho n ngy o
hn).
C hai loi quyn chn c bn, put v call.
-
Call l mt quyn chn mua ngoi t

Put l mt quyn chn bn ngoi t
8-7
Quyn Chn Ngoi T

Ngi mua quyn chn c gi l ngi
nm gi, trong khi ngi bn quyn chn
c gi l ngi chp nhn.
Mi quyn chn u c ba yu t gi c khc
nhau:
-
Gi thi hnh - t gi hi oi c th c mua

(call) hoc bn (put)
Mc ph - chi ph, gi c, hoc gi tr ca bn
thn cc quyn chn
T gi hi oi thc t trn th trng
8-8
Quyn Chn Ngoi T
Quyn chn kiu M cho php ngi

mua quyn thc hin quyn chn ti
bt k thi im no gia ngy pht
hnh v ngy o hn.
Quyn chn kiu chu u ch c th
c thc hin vo ngy o hn ca
n, khng th trc.
Mc ph, hay gi ca quyn chn, cng
l chi ph ca cc quyn chn .
8-9
Quyn Chn Ngoi T

Mt quyn chn c gi thi hnh ging t gi
giao ngay ca ng tin c s dng th gi
l ha vn (ATM).
Mt quyn chn s c li nhun, khng bao
gm mc ph, nu thi hnh ngay lp tc
c gi l c li (ITM).
Mt quynf chn khng c li nhun, cng
khng bao gm mc ph, nu thi hnh ngay
lp tc c gi l b l (OTM)
8-10
Quyn Chn Ngoi T

Trong ba thp k qua, vic s dng cc
quyn chn ngoi t nh mt cng c bo
him ri ro v cho mc ch u c pht
trin thnh mt hot ng trao i ngoi t
chnh.
Cc quyn chn trn th trng phi tp trung
(OTC) c thay i cho ph hp cc nhu cu
c th ca cc cng ty, nhng cng khin h
i mt vi ri ro i tc.
Quyn chn trn cc sn giao dch c t chc
c chun ha, gip ri ro i tc c
8-11
gim thiu ng k.
u C Ngoi T
u c l mt n lc tm kim li nhun bng
cch kinh doanh da trn nhng k vng v
gi c trong tng lai.
Cc nh u c c th hot ng trong:
- Th trng giao ngay khi nh u c tin rng

ng ngoi t s tng gi
- Th trng k hn khi nh u c tin rng gi
giao ngay ti mt s ngy trong tng lai s
khc vi gi k hn hm nay cho cng mt
thi im
- Th trng quyn chn - s khc bit ln v
yu t ri ro ph thuc vo mua hoc bn put
v call
8-12
u C Ngoi T
Mua mt call:
-
Gi s mua call thng tm franc Thy S vi gi

thi hnh 58 ($0.5850/SF), v mc ph l
$0.005/SF
tt c cc t gi giao ngay thp hn gi thi
hnh 58.5, ngi mua quyn chn s chn vic
khng thc thi v s r hn nu mua SF trn th
trng m
tt c cc t gi giao ngay cao hn gi thi
hnh, ngi mua quyn chn s thc hin quyn
chn, mua SF theo gi thi hnh v bn chng ra
th trng cht li nhun (tr i mc ph ca
quyn chn)
8-13
Exhibit 8.4 Buying a Call Option on

Swiss Franc
8-14
u C Ngoi T
Bn mt call:
-
Khi ngi mua quyn chn mua, ngi chp

nhn s thu li lc k hp ng
Li nhun ti a m cc ngi chp nhn cc
quyn chn call ch gii hn trong mc ph
Nu ngi chp nhn bn quyn chn trn tri,
l khng s hu tin t, h by gi s phi
mua tin t ti mc gi giao ngay v chu khon
l sinh ra ti gi thi hnh
S tin thit hi nh vy l khng gii hn v
tng ln khi gi tin t c bn tng ln
Ngay c khi ngi chp nhn s hu tin t, h
vn mt mt chi ph c hi
8-15
Exhibit 8.5 Selling a Call Option on

Swiss Franc
8-16
u C Ngoi T
Mua mt put:
-
Cc iu kin c bn ca v d ny tng t nh nhng g

minh ha vi call
Ngi mua mt quyn chn put, tuy nhin, mun bn tin
t c bn gi thi hnh khi gi th trng ca ng tin
gim xung (khng tng, nh trong trng hp ca cc
quyn chn call)
Nu gi giao ngay gim xung $0.575/SF, ngi mua put s
cung cp franc cho ngi chp nhn v nhn c
$0.585/SF
Ti bt k t gi cao hn gi thi hnh 58.5, ngi mua put
s khng thc hin cc ty chn, v s ch mt mc ph
0.05/SF
Ngi mua put (nh ngi mua call) khng bao gi c th
mt nhiu hn so vi mc ph tr trc
8-17
Exhibit 8.6 Buying a Put Option on

Swiss Franc
8-18
u C Ngoi T
Bn mt put:
- Trong trng hp ny, nu gi giao ngay

ca franc gim xung di 58.5 cent mi
franc, quyn chn ny s c thi hnh
- Di mc gi 58.5 cent mi franc, ngi
chp nhn s mt nhiu hn so vi mc
ph nhn c t vic bn quyn chn
(gim xung di im ha vn)
- Nu gi giao ngay trn $0.585/SF, quyn
chn s khng c thc hin v ngi
chp nhn quyn chn s b ti ton b
mc ph
8-19
Exhibit 8.7 Selling a Put Option on

Swiss Franc
8-20
Gi Quyn Chn v Vic nh Gi
Vic nh gi bt k quyn chn

tin t no l s kt hp su yu
t:
- T gi giao ngay hin ti

- Thi gian n ngy o hn
- T gi k hn ph hp vi thi gian
o hn
- Li sut la M
- Li sut ngoi t
- Bin ng ( lch chun ca bin
8-21
ng gi giao ngayhng ngy)
Gi Quyn Chn v Vic nh Gi

Tng gi tr (mc ph) ca mt quyn chn l bng gi tr ni
ti cng vi gi tr thi gian.
Gi tr ni ti l khon tng ti chnh nu la chn c thi
hnh ngay lp tc.
-
i vi mt quyn chn call, gi tr ni ti bng khng khi gi thi

hnh cao hn gi th trng
Khi gi giao ngay tng ln trn gi thi hnh, gi tr ni ti tr
thnh dng
Quyn chn put din ra theo cch ngc li
Vo ngy o hn, mt la chn s c gi tr bng vi gi tr ni
ti ca n (khng thi gian cn li ngha l khng c gi tr thi
gian)
Gi tr thi gian ca mt la chn tn ti bi v gi ca cc loi

tin t c bn, t gi giao ngay, c kh nng di chuyn xa hn
gia thi gian hin ti v ngy o hn ca quyn chn.
8-22
Nhy Gi ca Quyn Chn Ngoi

T
Nu quyn chn ngoi t c s dng

c hiu qu, hoc cho cc mc ch u
c, qun l ri ro, cc nh kinh doanh c
nhn cn phi bit lm th no cc gi
tr quyn chn mc ph - phn ng vi
cc thnh phn khc nhau ca n.
8-23

T
nhy ca t gi k hn:
-
Quyn chn ngoi t tiu chun c gi xung

quanh t gi k hn v t gi giao ngay hin ti
v c li sut trong nc v nc ngoi u c
bao gm trong tnh ton mc ph quyn chn
Cng thc nh gi quyn chn tnh ton phn b
xc sut ch quan tp trung vo t gi k hn
Cch tip cn ny khng c ngha l th trng
k vng t gi k hn bng t gi giao ngay
trong tng lai, n ch n gin l kt qu chnh
lch gi c ca cu trc cc ty chn
8-24

T
nhy t gi giao ngay (delta):
- nhy mc ph quyn chn i vi

mt thay i nh trong t gi giao
ngay c gi l delta
premium
delta =
spot rate
- Delta cng cao, xc sut quyn chn

o hn c li cng cao
8-25

T
Thi gian n khi o hn gi tr v
s suy gim gi tr (theta):
- Gi tr quyn chn tng theo thi gian n

ngy o hn
theta = premium
time
- Mt nh u t thng thng tin rng
quyn chn cn hn lu hn s c gi tr
tt hn, iu gip cho cc nh kinh doanh
c kh nng thay i v tr quyn chn m
khng b suy gim ng k gi tr thi
gian
8-26
Bng 8.11 Theta: S Suy Gim Gi

Tr Thi Gian ca Mc Ph Quyn
Chn
8-27

T
nhy ca bin ng (lambda):
- Bin ng quyn chn c nh ngha l

lch chun ca phn trm thay i
hng ngy trong t gi hi oi c bn
- Bin ng quan trng i vi gi tr quyn
chn v kh nng nhn thc ca t gi hi
oi di chuyn vo hoc ra phm vi m
quyn chn s c thc hin
lambda = premium
volatility
8-28
Nhy Gi ca Quyn Chn Ngoi T

Bin ng c xem xt theo ba cch:
-
Lch s
D on
Ng
Bi v cc bin ng l thnh phn suy xt duy nht m

ngi chp nhn quyn chn phi nh gi, chng ng
mt vai tr quan trng trong vic nh gi quyn chn.
Tt c cc cp tin t u c chui lch s ng gp vo
s hnh thnh nhng k vng ca cc nh chp nhn
quyn chn.
Cui cng, cc nh chp quyn chn thc s ti nng l
nhng ngi c trc gic v ci nhn su sc n gi
trong tng lai mt cch hiu qu.
Nhng ai tin rng bin ng s gim ng k trong ngn
hn s bn quyn chn by gi, hy vng mua chng
tr li kim mt li nhun ngay lp tc khi bin ng
gim, khin mc ph quyn chn gim.
8-29

T
nhy vi s thay i ca chnh lch li sut (rho

v phi):
-
Gi c v gi tr quyn chn ngoi t tp trung vo t gi k

hn
T gi k hn n lt da trn l thuyt Ngang bng Li
sut
Thay i t l li sut ca bt c ng tin no cng s lm
thay i t gi k hn, do s lm thay i mc ph hoc
gi tr ca ty chn
Mt ngi mua mt call ngoi t nn lm nh vy

trc khi li sut trong nc tng. Thi gian ny s
cho php h mua cc quyn chn trc khi gi ca
n tng ln.
8-30

T
S thay i d kin trong mc ph quyn
chn t mt thay i nh trong li sut
trong nc (ng ni t) l rho.
rho =
premium
US $ interest rate
S thay i d kin trong mc ph quyn

chn t mt thay i nh trong li sut
nc ngoi (ng ngoi t) c gi l
phi.
phi =
premium
foreign interest rate
8-31
Bng 8.13 Chnh Lch Li Sut v

Mc Ph Quyn Chn Call
8-32

T
Yu t th su v cui cng quan
trng xc nh gi tr quyn chn l
vic la chn cc gi thi hnh thc t.
Mt cng ty phi la chn gi thi hnh
theo mong mun s dng trong
vic to ra mt quyn chn (th trng
OTC).
Cn phi cn nhc n s nh i
gia gi thi hnh v mc ph.
8-33
Bng 8.14 Mc Ph Quyn Chn i

vi cc Gi Thi Hnh Khc Nhau
8-34
Bng 8.15 Tm Tt cc Thnh Phn

ca Quyn Chn
8-35
Mini-Case Questions: Warren Buffetts

Love-Hate Relationships with Derivatives
In his 2002 letter to shareholders,

what does Warren Buffett seem to fear
most about financial derivatives?
In his 2007 letter to shareholders,
what does Warren Buffett admit that
he and Charlie had done?
Do you think there is an underlying
consistency in his viewpoint on the
proper use of derivatives?
8-36
Chapter 8
Additional
Chapter
Exhibits
Exhibit 8.1 Mexican Peso Futures,

US$/Peso (CME)
8-38
Exhibit 8.2 Currency Futures and

Forwards Compared
8-39
Exhibit 8.3 Swiss Franc Option

Quotations (U.S. cents/SF)
8-40
Exhibit 8.8
Analysis of
Call Option
on British
Pounds
with a
Strike Price
= $1.70/
8-41
Exhibit 8.9 The Intrinsic, Time, and Total Value

Components of the 90-Day Call Option on British
Pounds at Varying Spot Exchange Rates
8-42
Exhibit 8.10 Decomposing Call Option

Premiums: Intrinsic Value and Time
Value
8-43
Exhibit 8.12 Foreign Exchange Implied

Volatility for Foreign Currency Options,
January 30, 2008
8-44
Chapter 8
Appendix
Currency Option
Pricing Theory
Exhibit 8.A1
8-46
Exhibit 8.A1 (cont.)
8-47
1. Currency volatilities. The single unobservable variable in currency option pricing is volatility,
volatility inputs are the expected standard deviation of the daily spot rate for the coming period of
the option's maturity. Use the New York Federal Reserve Web site to obtain current currency
volatilities.
Federal Reserve Bank of New York http://www.ny.frb.org/markets/impliedvolatility.html
(updated URL)
2. Currency options and futures exchanges. Currency options and futures are traded on many
exchanges (bolsas, bourses, etc.) around the world. Using the following list of exchange Web
sites as a starting point, determine exactly which currencies are traded on exchanges in the forms
of futures or options.
London Stock Exchange http://www.londonstockexchange.com/ (updated URL)
Tokyo Stock Exchange http://www.tse.or.jp/english/ (updated URL)
SBF-Paris Bourse http://www.bourse-de-paris.fr/bourse/sbf/homesbf-gb.html
Singapore Exchange http://www.ses.com.sg/ (updated URL)

Or, for a wider spectrum of global markets:
Investor Map http://investormap.com/global.htm (updated URL)
8-48

MultinationalBusinessFinance C01 VI

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Chng 8

Phi Sinh Ngoi

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Phi Sinh Ngoi T

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Phi Sinh Ngoi T

- Cho php cng ty t c phn thng (li nhun)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Hp ng Tng Lai Ngoi T

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Hp ng Tng Lai Ngoi T

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Hp ng Tng Lai Ngoi T

Hp ng tng lai ngoi t khc vi hp ng mua trc c k hn

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Quyn chn Ngoi T

Call l mt quyn chn mua ngoi t

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Quyn Chn Ngoi T

Gi thi hnh - t gi hi oi c th c mua

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Quyn Chn Ngoi T

Quyn chn kiu M cho php ngi

Quyn Chn Ngoi T

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Quyn Chn Ngoi T

- Th trng giao ngay khi nh u c tin rng

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Gi s mua call thng tm franc Thy S vi gi

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Exhibit 8.4 Buying a Call Option on

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Khi ngi mua quyn chn mua, ngi chp

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Exhibit 8.5 Selling a Call Option on

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Cc iu kin c bn ca v d ny tng t nh nhng g

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Exhibit 8.6 Buying a Put Option on

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- Trong trng hp ny, nu gi giao ngay

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Exhibit 8.7 Selling a Put Option on

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Gi Quyn Chn v Vic nh Gi

Vic nh gi bt k quyn chn

- T gi giao ngay hin ti

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Gi Quyn Chn v Vic nh Gi

i vi mt quyn chn call, gi tr ni ti bng khng khi gi thi

Gi tr thi gian ca mt la chn tn ti bi v gi ca cc loi

Nhy Gi ca Quyn Chn Ngoi

Nu quyn chn ngoi t c s dng

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Nhy Gi ca Quyn Chn Ngoi

Quyn chn ngoi t tiu chun c gi xung

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Nhy Gi ca Quyn Chn Ngoi

nhy t gi giao ngay (delta):

- nhy mc ph quyn chn i vi

- Delta cng cao, xc sut quyn chn

Nhy Gi ca Quyn Chn Ngoi

- Gi tr quyn chn tng theo thi gian n