CHNG 6

NH GI K HN V GI GIAO SAU

I. Ti sn u t v ti sn tiu dng

II. nh gi k hn
III. nh gi giao sau

Investment assets vs. Consumption assets

Ti sn u t: ti sn c nm gi v mc ch

u t bi mt s lng ln cc nh u t Vd: c phiu, tri phiu(vng, bc ?) Ti sn tiu dng: ti sn c nm gi c bn cho tiu dng Vd: ng, du Ch xc nh gi k hn v giao sau /v investment assets t gi giao ngay ca chng v cc bin khc quan st c trn th trng 2

Short selling_Bn khng

Bn khng lin quan n vic bn chng khon

m bn khng s hu Nh mi gii ca bn s mn chng khon t khch hng khc v bn chng trn th trng nh thng thng Vo mt lc no , bn phi mua li chng khon lp vo ti khon ca khch hng bn mn Bn phi tr c tc v cc li ch khc cho ngi 3 ch c phiu trong thi gian bn khng

GI NH
- Khng c chi ph giao dch
- Nh u t chu cng mc thu trn mc

li nhun thun t c t cc giao dch - Nh u t c th vay v cho vay mc li sut phi ri ro - Nh u t c th kim li t vic mua i bn li (arbitrage) khi chng xut hin
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K HIU
T (nm): thi gian n ngy giao hng

trong hp ng k hn hoc giao sau S0: gi ca TS c s trong H k hn hoc giao sau ngy hm nay F0: gi k hn hoc giao sau hm nay r: li sut phi ri ro khng tr c tc hng nm, ghp li lin tc cho khon u t n hn ti ngy giao hng
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GI K HN TI SN U T
(Non-dividend-paying stocks and zero-coupon bonds)

F0 = S0erT
Nu F0 > S0erT : cc nh mua i bn li c th mua TS v bn hp ng k hn Nu F0< S0erT : bn khng TS v mua hp ng k hn

V d minh ha
Xem xt mt hp ng k hn mua mt CP khng tr c tc vo 3 thng ti, gi CP hin ti l $40, li sut phi ri ro 3 thng l 5% mi nm? Gi k hn trong trng hp ny s l bao nhiu? Hy tnh ton li nhun arbitrage nu gi k hn l $43 v $39. p dng cng thc ta c: F0= S0erT = 40e0,05*0.25= $40.50
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Trng hp gi k hn c nh gi tng i cao ($43)

- Vay $40 ti mc r = 5% trong 3 thng (n

lc o hn phi tr 40e0,05*0.25= $40.50) - Mua mt n v c phiu - Bc vo H k hn bn CP trong 3 thng ti vi gi $43 n lc o hn:

Bn CP vi gi $43 Dng $40.5 tr khon n gc v li sut Li ca chin lc: $43 - $40.5 = $2.5

Trng hp gi k hn c nh gi tng i thp ($39)

- Bn khng mt n v CP v nhn $40 - K gi s tin ny ti mc 5% trong 3 thng - Bc vo mt H k hn mua CP trong 3 thng ti vi gi $39
n lc o hn: Nhn $40.5 t khon k gi Mua CP vi gi $39, ng v tr bn khng Li ca chin lc: $40.5 - $39 = $1.5 S khng c arbitrage nu gi KH l $40.5

GI K HN TI SN U T
(Dividend-paying stocks and Coupon-bearing bonds)

F0 =

rT (S0-I)e

Vi I l gi tr ca cc khon thu nhp trong i sng ca mt H k hn - Nu F0>(S0-I)erT : nh mua i bn li (arbitrageur) c th mua TS v bn hp ng k hn - Nu F0< (S0-I)erT : bn khng TS v mua hp ng k hn
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V d minh ha
Xem xt mt hp ng k hn mua mt tri phiu tr li tc o hn trong 9 thng na, gi TP hin ti l $900, gi s TP s tr $40 tin li sau 4 thng. Gi nh rng li sut phi ri ro 4 v 9 thng tng ng l 3% v 4% mi nm? Gi k hn trong trng hp ny s l bao nhiu? Hy tnh ton li nhun arbitrage nu gi k hn l $910 v $870.
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Gi l thuyt cu H k hn
p dng cng thc ta c: F0= (S0-I)erT Bi v I = 40e -0.03*(4/12)= $39.6 Do F0= (900-39.6)e0,04*(9/12)= $886.60
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Trng hp gi k hn c nh gi tng i cao ($910)

Hnh ng hin ti: - Vay $900, trong $39.6 trong 4 thng vi r = = 3% v $860.40 trong 9 thng vi r = 4% - Mua mt n v tri phiu - Bc vo H k hn bn TP trong 9 thng ti vi gi $910
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Trng hp gi k hn c nh gi tng i cao ($910)_tt

Hnh ng thng th t: - Nhn $40 li tri phiu - Dng $40 tr c gc v li ca khon vay th nht (39.6e 0.03*(4/12)= $40) n lc o hn:
Bn tri phiu vi gi $910 Dng $886.60 tr khon c gc v li ca khon vay th hai (860.40e0.04*0.75)=886.60) Li ca chin lc: $910 - $886.60 = $23.40

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Trng hp gi k hn c nh gi tng i thp ($870)

Hnh ng hin ti: - Bn khng mt n v tri phiu v nhn $900 - K gi $39.6 trong 4 thng (3%) v $860.40 trong 9 thng (4%) - Bc vo mt H k hn mua TP trong 9 thng ti vi gi $870
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Trng hp gi k hn c nh gi tng i thp ($870)_tt

Hnh ng thng th t: - Nhn $40 t khon k gi trong 4 thng - Dng $40 tr khon li trn tri phiu bn khng n lc o hn:
Nhn $886.60 t khon u t trong 9 thng Mua CP vi gi $870, ng v tr bn khng Li ca chin lc: $886.60 - $870 = $16.60
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Bi tp p dng
Gi s bn mua mt hp ng k hn 10 thng trn mt c phiu, gi hin ti ca CP ny l $50. Gi nh rng li sut phi ri ro, ghp li lin tc, l 8% mi nm cho tt c cc ngy o hn. ng thi, khon c tc $2 ca c phiu ny mong i c tr vo cui thng 5. Tm gi k hn ca hp ng ny? Hy tnh ton li nhun t arbitrage nu gi k hn thc t ca hp ng k hn ny ln lt l $53 v $49?
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Ti sn u t tr mt khon li sut c bit trc (a known yield)

F0 = S0 e(rq )T
Trong q l mc li sut trung bnh trong sut i sng ca hp ng (ghp li lin tc). Lc ny c tc c din t nh l phn trm ca gi ti sn ti thi im c tc c tr.
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Gi giao sau trn ch s chng khon (Stock Index)

C th c xem nh l mt ti sn u t

tr li sut (a dividend yield) Mi quan h gia gi giao sau v gi giao ngay l : F0 = S0 e(rq )T Trong , q l mc li sut trung bnh trn danh mc u t c i din bi ch s CK trong sut i sng ca hp ng
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Hp ng giao sau v k hn trn tin t

(phng din US investors)

K hiu: - r l li sut phi ri ro ca M - rf l mc li sut phi ri ro ca ngoi t - S0 l gi giao ngay th hin bng s dollars ca mt n v ngoi t - F0 l gi k hn hoc giao sau (dollars/ngoi t)
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Hp giao sau v k hn tin t (phng din US investors)

- Ngoi t ging nh mt chng khon c tr li sut (a dividend yield), ghp li lin tc - Ch : /v mt s t gi hi oi chnh nh bng Anh, Euro, dollar c v dollar New Zealand gi giao ngay hoc gi k hn thng c nim yt bng s n v ngoi t trn mt dollar M - Cng thc tnh: F0 = S0e(rrf)T (ngang gi li sut) 21

Hai cch chuyn i 1000 n v ngoi t sang dollar M

1000 units of foreign currency at time zero

Mua tri phiu mnh gi ngoi t

1000 e
rf T

Bn ngoi t trn TT giao ngay

1000S0 dollars at time zero

units of foreign currency at time T

Mua H k hn bn s tin thu c r T Khi khng c c hi 1000 F0 e dollars at time T arbitrage, hai s tin ny phi bng nhau
f

K gi
1000 S 0 e rT
dollars at time T
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V d minh ha
Gi s rng li sut thi hn 2 nm c v M tng ng l 5% v 7%, ghp li lin tc. T gi giao ngay gia dollar c (AUD) v dollar M (USD) l 0.6200 USD mi AUD. Tm t gi k hn 2 nm trong trng hp ny. Hy xem xt c hi arbitrage khi t gi ny l 0.6300 hoc 0.6600. p dng cng thc ta c: F0=S0e(rrf)T=0.62e(0.07-0.05)2=0.6453 (USD/AUD) 23

Trng hp t gi k hn nh hn gi tr l thuyt (0.63)

Vay 1000AUD ta mc 5%/nm trong 2

nm (phi tr 1000e0.05*2=1.105,17AUD sau 2 nm), i sang USD ti t gi giao ngay c $620 (1000*0.62) v u t s tin ny ti mc 7% (s thu c 620e0.07*2=$713.17 sau 2 nm) Bc vo mt H k hn mua 1.105.17AUD (vi gi 0.63 thu c 1.105,17*0.63=696.26USD sau 2 nm)

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Trng hp t gi k hn nh hn gi tr l thuyt (0.63)_tt

Lc o hn: Bn nhn c $713,17 k gi. Vi s tin ny, bn s dng $696,26 mua 1.105,17AUD trong H k hn tr c gc v li ca 1000AUD mn lc ban u. Li ca chin lc ny l: 713,17-696,26 = $16.91
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Trng hp t gi k hn ln hn gi tr l thuyt (0.66)

Vay 1000USD ta mc 7%/nm trong 2

nm (phi tr 1000e0.07*2=1.150,27USD sau 2 nm), i sang AUD ti t gi giao ngay c 1.162,90AUD (1000/0,62) v u t s tin ny ti mc 5% (s thu c 1.162,90e0.05*2=1.782,53AUD sau 2 nm) Bc vo mt H k hn bn 1.782,53AUD (vi gi 0,66 thu c 1.782,53*0.66=1.176,47 USD sau 2 nm) 26

Trng hp t gi k hn ln hn gi tr l thuyt (0.66)_tt

Lc o hn: Bn nhn c 1.782,53AUD k gi. Bn thc hin H k hn vi t gi 0.66 i s tin ny sang 1.782,53*0.66=1.176,47 USD. Vi s USD thu c, bn dng 1.150,27USD tr c gc v li cho khon vay ban u. Li ca chin lc ny l: 1.176,47- 1.176,47= $26,2
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Hp ng giao sau hng ha

Trng hp hng ha l ti sn u t (vng,

bc) - Trng hp khng c chi ph lu tr (storage costs) v thu nhp (income), gi giao sau l: F0 = S0erT - Chi ph lu tr c xem nh l khon thu nhp m (negative income) : F0 = (S0+U )erT, trong U l hin gi ca 28 cc chi ph lu tr

Hp ng giao sau hng ha_tt

Nu chi ph lu tr pht sinh ti bt c thi im no di dng t l i vi gi hng ha th chng c th c xem nh l t l sinh li m (negative yield) F0 = S0 e(r+u )T Trong u l chi ph lu tr mi n v, di dng phn trm gi tr ti sn
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Hp ng giao sau hng ha_tt

Trng hp hng ha tiu dng: nh u

t nm gi hng ha trong kho bi v gi tr tiu dng ca n, h do d khi bn hng ha v bc vo H giao sau hoc k hn (cc H ny khng tiu dng c) Do /v hng ha tiu dng l:

F0 S0 e(r+u)T F0 (S0+U)erT

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Thut ng gi c so vi gi tr
- Trong th trng hiu qu, gi c ca bt k mt ti sn no cui cng ri cng phi bng gi tr kinh t thc ca chng. - Gi c l mt con s c th, bn tr khi mua TS - Khi nm gi TS bn b chim dng tin v bn ch nm gi TS khi gi tr ca n t nht phi bng vi gi c ca n. - Gi tr th tru tng hn, l hin gi ca dng tin nhn c trong tng lai (sut chit khu 31 phn nh c hi ph + phn b ri ro)

NH GI MT HP NG K HN (Valuing a forward contract)

Gi s rng: - K l gi giao hng trong H k hn - F0 l gi k hn s c p dng cho hp ng ngy hm nay - f l gi tr mt hp ng k hn ngy hm nay
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NH GI MT HP NG K HN (Valuing a forward contract)

Gi tr ca H giao ti thi im k kt

bng Zero. Sau , K vn khng thay i (bi v l mt phn quy nh trong hp ng) nhng F0 thay i gi tr f c th tr thnh dng hoc m
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NH GI MT HP NG K HN (Valuing a forward contract)

Gi tr ca mt hp ng k hn v th

mua = (F0 K)erT=(S0erT K) erT = S0 - KerT Gi tr ca mt hp ng k hn v th bn f = (K F0)erT= KerT- S0

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NH GI MT HP NG K HN (Valuing a forward contract)

Gi tr ca mt hp ng k hn v th

mua, trng hp TS c s tr c tc: = S0 - I - KerT Gi tr ca mt hp ng k hn v th mua, TS c s tr mt mc ls bit trc q f = S0eqT - KerT

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V d minh ha
Xt v th mua i vi mt H k hn o hn trong 6 thng na trn c phiu khng tr c tc. Gi CP l $25, li sut ghp li lin tc l 10% mi nm, gi giao hng l K=$24. Tnh ton gi tr H k hn ny? Gi H k hn 6 thng: F0 = S0erT = 25e0.1*0.5=$26.8 Gi tr H k hn l: = (F0 K)erT = (26.8 24)e0.1*0.5= $2.17

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