Ch0Introduction资料.pptVIP

1. Oil: An Arbitrage Opportunity? Suppose that: The spot price of oil is US$70 The quoted 1-year futures price of oil is US$80 The 1-year US$ interest rate is 5% per annum The storage costs of oil are 2% per annum Is there an arbitrage opportunity?假设：石油现货价格是70美元所报的1年的石油期货价格是80美元1年期美元利率为每年5％石油储存成本是每年2％有套利机会呢？ * 2 3 4 7 8 9 10 11 * * 16 17 18 20 21 Introduction Derivatives * The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables衍生工具是一种工具，其价值取决于其他更基本的变量的值 * Examples of Derivatives Futures Contracts Forward Contrac