第五章johnhull期权与期货市场基本原理第七版.pptVIP

Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright ? John C. Hull 2010 Futures on Consumption Assets(Page 122) F0 ? S0 e(r+u )T where u is the storage cost per unit time as a percent of the asset value. Alternatively, F0 ? (S0+U )erT where U is the present value of the storage costs. * Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright ? John C. Hull 2010 The Cost of Carry (Page 123) The cost of carry, c, is the storage cost plus the interest costs less the income earned For an investment asset F0 = S0ecT For a consumption ass