会计学ChapterOverviewAforwardobligationAforwardhedgeAforwardhedgeAnoptionhedgeAnoptionhedgeOptionsContracts:PreliminariesOptionsContracts:PreliminariesOptionsContracts:PreliminariesOptionsContracts:PreliminariesCurrencyOptionsMarketsPHLXCurrencyOptionSpecificationsForeignCurrencyOptionsCurrencyFuturesOptionsThefunctionsofCallOptionBreakevenonCallOptionThefunctionsofPutOptionPayoffprofileofacalloptionatexpirationPayoffprofileofaputoptionatexpirationForwards,puts,andcalls——AForwardbyAnyOtherNameForwards,puts,andcalls——AForwardbyAnyOtherNameAForwardbyAnyOtherName:Put-callparityCombinationsofoptions-AStraddleoptionCombinationsofoptions-AStraddleoptionprofit/lossonashortstraddleTheDeterminantsofOptionValuesIntrinsicValue,TimeValue&TotalValueforaCallOptiononBritishPoundswithaStrikePriceof$1.70/£TheIntrinsicValueofanOptionThetimevalueofanoptionThetimevalueofanoptionThetimevalueofanoptionExchangeratevolatilityandout-of-the-moneycalloptionvalueThetimevalueofanoptionExchangeratevolatilityandat-the-moneycalloptionvalueThetimevalueofanoptionExchangeratevolatilityandin-the-moneycalloptionvalueIntrinsicValue,TimeValue&TotalValueforaCallOptiononBritishPoundswithaStrikePriceof$1.70/£货币(huòbì)期权定价的敏感性分析交易者根据Delta值对期权(qīquán)分类2.离到期日的时间（theta）期权的价值随离到期日的时间长度而增加，预期期权费的变化与到期日时间变化的比值称为Option‘stheta：thechangeinoptionpricewithrespecttoaChangeinmaturity.Ex:=20%,S=$0.72,T=20days,C0=$0.0288.IfT=18days,C1=$0.0241,computethetheta.theta=(0.0241-0.0288)/(18-20)=0.00235值得注意的是，theta值与时间的关系(guānxì)不是线性关系(guānxì)，而是时间的平方根。例如，3个月和1个月的实值期权的期权费关系(guānxì)是：即3月期的期权费只是1月期期权费的1.73倍，而不是3倍。离到期日越近，期权价值衰减越厉害！时间(shíjiān)价值的衰减对期权交易者来说非常重要。3.对波动率的敏感性（Lambda）期权的波动率定义(dìngyì)为基础汇率每日百分比变化的标准差。波动率对期权价值的重要性是因为如果汇率的波动率增加，期权被行使的风险增加，期权费可能上升。如，期权的年波动率为12.6%，则每日的波动率的百分比为：Option‘sLambda：期权费对波动率1个单位变化的敏感性用表示Ex:=10%,S=$0.72,C0=$0.0266Ifvolatility()risesto20%,C1=$0.0395Lambda=(0.0395-0.0266)/(0.2-0.1)=0.129Lambda:OptionPremiumSensitivitytoVolatilitywhentheSpotRateis$1.70/£4.对利率变化差异的敏感性（Option‘sRhoandPhi