第二章远期合约和期货合约价格的性质.pptVIP

在得到远期价格的同时，合成构造了远期合约。(The cash-and carry strategy) (1) buy the stock through borrowing (cash) (2) hold it until the delivery date of the forward contract (carry) This strategy replicates the forward contract’s cash flows at the deliver date. It generates total ownership of the stock at the delivery date when the borrowing is paid off. The “purchase price” at maturity is determined at the strategy is initiated. 一般公式 远期价格 和现货价格 之间的关系为 This is called the cash-and -carry relationship between the spot and forward price, an implication of which is that when there are no cash flows on th