求助MFE 6.11 9th edition

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看了答案也不懂这道题

An American company expects to receive 500,000 pounds from sales in England at the end of the 6 months. The recent exchange rate is $1.6/pound. The company would ganrantee that it will get at least this rate when it receives the pounds, so that it will receive at least $800,000.

You are given:
1) The continuously compounded risk-free interest rate in dollars is 4%.
2) The continuously compounded risk-free interest rate in pounds is 7%.
3) Relative volatility of the currencies is 0.1.
4) A 2-period Cos-Ross-Rubinstein binomial tree is used to determine the price of the options.

Determine the cost of an option, in dollars, which will guarantee the current exchange rate at the end of 6 months.


答案说公司应该买put,我不明白这点，觉得应该是call
http://www.actuary.ca/actuarial_discussion_forum/showthread.php?p=5832209
这个链接里别人也问了同样的问题，有人说“You want to lock in a price to sell at right? That's what a put is.”
但是这个公司是希望汇率不下降啊，the underlying "asset" is not what the company sales but the exchange rate and the company receives dollars which depends on the exchange rate. In addition, the company benefits if the exchange rate rises so it should protect itself against loss from the decline in exchange rate. 我是这么想的

求高人指点,谢谢。

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关键词：Edition editio dition Edit TIO receives exchange interest company dollars

First, consider what kind of option you would buy to insure against loss due to change in exchange rate.

1)  If you lose money when the exchange rate goes up, you buy a call.
2)  If you lose money when the exchange rate goes down, you buy a put.

In your question, you would like to receive at least $800,000.  (500,000 pounds * $1.6/pound = $800,000)  Therefore, you want to buy the right to sell at least $1.6/pound at the end of 6 months.  -> Scenario 2

eddiechen 发表于 2013-1-6 09:58
First, consider what kind of option you would buy to insure against loss due to change in exchange r ...

懂了，thank you very much.

eddiechen 发表于 2013-1-6 09:58
First, consider what kind of option you would buy to insure against loss due to change in exchange r ...

I am still a little confused. Below is what I think.
People buy a call in the hope that the price of the underlying asset will rise. When the price of the underlying asset declines, the call buyer can choose not to exercise the call, therefore, protecting himself against the loss from price decline.
Similarly, the put buyer can choose not to exercise the put when the price of the underlying asset increases to the extent that K-S(t)<0, which is S(t)-K>0. Therefore, when S(t) rises too much, the put will be of no use. So, a put option protect against the loss from the increase in price.
For my question, there will be no loss if the exchange rate increases.......

Thank you very much if you can shed more light onto this problem.

SZYMJ 发表于 2013-1-6 17:52
I am still a little confused. Below is what I think.
People buy a call in the hope that the price ...

Yes, options are not forced to exercise.  But the put option is to protect against loss from the decrease in price which is the decrease in exchange rate in this question.

1) When S(t) >= $1.6/pound, the pounds received from sales will be equal to or greater than $800,000. We won't execrise the put option.

2) When S(t) < $1.6/pound, the pounds will be less than $800,000.  If we exerise the put option, we will receive $800,000 which is the objective in this question.

I think you mixed up the defiinition of call and put options.

u guys are smart
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