期权、期货和其他衍生产品.pptxVIP

CHAPTER 5 Determination of Forward and Futures Prices In this chapter we examine how forward prices and futures prices are related to the spot prices of the underling asset. 5.1 INVESTMENTS ASSEETS vs. CONSUMPTION ASSETS 5.2 SHORT SELLING 5.3 ASSUMPTIONS AND NOTATION 5.4 FORWARD PRICE FOR AN INVESTMENT ASSET 5.5 KNOWN INCOME 5.6 KNOWN YIELD 5.7 VALUING FORWARD CONTRACTS 5.8 ARE FORWARD PRICE AND FUTURES PRICE EQUAL? 目录 5.9 FUTURES PRICES OF STOCK INDICES 5.10 FORWARD AND FUTURES CONTRACTS ON CURRENCY 5.11 FUTURES ON COMMODITIES 5.12 THE COST OF CARRY 5.13 DELIVERY OPTIONS 5.14