股指期货定价创新.ppt

* * * * 书p111 * * * * * * * * * * * * * * * * * * * * * * * * * 。 * * * * * * * * * * * * * * * * * * * * * * * Continued This is the forward price for an investment asset providing a known cash income (present value I). * Reexamine The Formula The short party still has no risk (ignoring credit risk) in the forward contract, as a result they should still only earn the risk-free rate for being the short party. The benefits that accrue to holding the underlying asset would reduce the amount that the long would have to pay the short to induce them to enter into the contract. F0=K=(S-I)erT * 2.3 forward price for an investment asset providing a Known Dividend Yield Some securities such as stock indices and currencies essentially have a continuous dividend yield instead of a discrete dividend. Thus you can think of the asset as paying a continuous dividend at rate q, based on the value of the security. 该投资性资产按照q的百分比率，持续不断地产生股利支付，而该股利支付被立即用于连续复利的再投资——即该资产会按照q的连续复利率不断增值。 * 2.3 forward price for an investment asset providing a Known Dividend Yield Again consider two portfolios at time zero: Portfolio A: One long forward contract and cash equal to Ke-rT. Portfolio B: e-qT units of the security with all income being reinvested in the security. Thus at time T you will once again have one unit of the security, which is worth ST. Clearly A and B once again have the same payoffs at time T, and so once again, setting them equivalent:? f0+Ke-rT = S0e-qT Or f0 = S0e-qT - Ke-rT setting f to 0 and solving for K leads to: K = F0 = S0e(r-q)T * 2.3 forward price for an investment asset providing a Known Dividend Yield Thus, the formula for determining the forward price is: F0 = S0e(r-q)T where q is the dividend yield, expressed in annual terms. 变量S代表以人民币表示的一单位外汇（美元）的即期价格(1$＝？￥) 美元持有人能获得美国的无风险利率rf的收益（债券或存款）；人民币的持有人也能获得中国的无风险利率r的收益。都以连续复利计息。 1、购买 　　单位的即期外汇 2、卖空一单位外汇的一个远期合约（在T时刻将一单位外汇以F的价格卖出） ——利率平价关系 A foreign currency can be rega