Question

期权计算题

1) Zero PLC is a British medium-sized manufacturing company selling tractors mainly in the USA, Africa and Europe. The treasury department expects to receive a substantial sum of money in March 2017, expected to be €10,000,000 representing the sale of one of its factories in France. The company is concerned that the Euro (€) will weaken against the pound (£), although there is a lack of consensus among the analysts in the whole treasury department on how the exchange rate will change. However, all analysts agree that a currency hedge would be sensible. It is now October 1st 2016 and the treasury department of Zero PLC is contemplating a hedging strategy using currency options. Currently, the spot price is EUR 1.37584 per GBP 1.00. The following data is available to the treasury department to help them make a decision: Requireda) Provide advice to Zero PLC on a suitable option hedging strategy assuming that the Euro will weaken. (15 marks) b) Assuming that Zero PLC has successfully sold its factory in France, illustrate the result of the recommended hedging strategy if the €/£ spot exchange rates at the end of March 2017 are as follows:Spot €/£ 1.23826 Spot €/£ 1.51342

Answer 1

这就是外汇期权保值问题啊，很简单。