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? ;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 FUTURES PRICES AND EXPECTED FUTURE SPOT PRICES ;An investment asset is an asset that is held for investment purpose by significant numbers of investors.(eg. Stocks and bonds ,gold and silver) Note that investment assets do not have to be held exclusively for investment. A consumption asset is an asset that is held primarily for consumption(copper, oil ,pork bellies).;Short selling ,usually simply reffered to as “shorting”,involves selling an asset that is not owned. Example in page100.;In this chapter we will assume that the following are all true for some market participants: 1.The market participants are subject to no transaction costs when they trade. 2. The market participants are subject to the same tax rate on all net trading profits. 3.The market participants can borrow money at the same risk-free rate of interest as they can lend money. 4. The market participants take advantage of arbitrage opportunities as they occure. ;The following notation will be used throughout this chapter: T: Time until delivery date in a forward or futures contract . :Price of the asset underlying the forward or futures contract today. :Forward or futures price today r:Zero-coupon risk-free rate of interest per annum,expressed with continuous compounding ,for an Investment maturing at the delivery date. ;We consider a forward contract on an investment asset wit