金融工程引论期末复习课件.pptxVIP

知识点1 Forward Contract Definition: A forward contract is an agreement to buy or sell an asset on a fixed date in the future, called the delivery time, for a price specified in advance, called the forward price.No payment is made by either party at time 0, when the forward contract is exchanged.Payoff at time T:Long=S(T)-F(0,T)Short=F(0,T)-S(T) 知识点2Forward PricePaying no dividendsF(t, T) = S(t)exp[r(T-t)]Paying dividendsF(t, T) = [S(t)-div0]exp[r(T-t)]Paying dividends continuously at a rate rdivF(t, T) = S(t) = S(0)exp[(r-rdiv)(T-t)]知识点3Value of a Forward ContractFor any t such that 0 6 t 6 T t