Đang chuẩn bị liên kết để tải về tài liệu:
Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options phần 9

Không đóng trình duyệt đến khi xuất hiện nút TẢI XUỐNG Tải xuống

Vấn đề là cấp tính với các tài sản tại các thị trường ít chất lỏng dễ bay hơi có thể giao dịch với lây lan rất cao giá mua / bán. Perfect thanh khoản. Mô hình này giả định rằng các nhà văn của một tùy chọn có thể tiếp tục giao dịch tài sản cơ bản để quản lý rủi ro đồng bằng mà không | 184 Derivatives Demystified Table 17.5 The bond structure Bond issue price 100 Maturity 3 years Mandatorily exchangeable for ABC shares ABC share price at issue 100 Share dividend yield 0 p.a. Exchange ratio If the ABC share price is below 100 at maturity the investor receives one share per bond. At share prices between 100 and 125 the investor receives a quantity of shares worth 100. At share prices above 125 the investor receives 0.8 shares per bond Coupon rate 5 p.a. Figure 17.3 Capital gains losses on a mandatorily exchangeable at maturity the bond for shares at maturity using an exchange ratio formula that can produce a lower rate of participation in any rise in the share price compared to purchasing the actual shares in the first instance. For example a deal might be structured along the lines shown in Table 17.5. The solid line in Figure 17.3 shows the capital gain or loss an investor would make on this ME at maturity for a range of different possible share prices. The assumption is that the investor has purchased a bond for 100 when it was issued. The dotted line shows the capital gains and losses the investor would have achieved if he or she had used the 100 to buy one ABC share in the first instance. A few examples will help to explain the ME bond values in the graph. Share price at maturity 75. The investor receives one share worth 75 and the capital loss on the bond is 25. Share price at maturity 100. The investor receives one share worth 100 and there is no capital gain or loss on the bond. Share price at maturity is between 100 and 125. The investor receives shares to the value of 100. The capital gain on the bond is zero. Share price at maturity 150. The investor receives 0.8 shares worth 120 and the capital gain on the bond is 20. This is 30 less than the gain would have been if the investor had purchased one ABC share for 100 in the first instance. Convertible and Exchangeable Bonds 185 Share price at maturity 200. The investor receives 0.8 shares