金融工程英文课件：chapter 8 Principles of pricing forwards, futures and options futures.pptVIP

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2020-10-01 发布于安徽
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金融工程英文课件：chapter 8 Principles of pricing forwards, futures and options futures.ppt

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Principles of pricing forwards, futures and options futures The concept of price versus value The initial value of a futures contract is zero, but it is changing frequently before the expiration date. The price of a futures contract is like the strike price of an option, but this price changes frequently, too. With the price changing, the value alters. The forward price at expiration The value of a forward at expiration The value of a forward contract prior to expiration The futures price at expiration The value before being marked to market The value after being marked to market Forward versus futures price If the interest rate remains constant, the futures price equals to forward price If the interest rate is positively correlated with futures prices, futures price will carry higher prices than forward contracts If the interest rate is negatively correlated with futures prices, futures price will carry lower prices than forward contracts Spot price and expected future price If investors are risk neutral, they are willing to hold the asset without any expectation of receiving a reward for bearing risk. Most investors are risk averse, they would pay a smaller amount. Cost of carry Carry An asset that has a negative cost of carry is said to have positive carry. An asset that has a positive cost of carry is said to have negative carry. For nonstorable goods, supply and demand conditions today and in the future would be independent. The cost of carry would be a meaningless concept. For indefinitely storable goods, spot prices would be set in accordance with current supply and demand conditions, the cost of carry, investors’ expected risk premia, and expected future supply and demand conditions. The theoretical fair price Margin requirement is irrelevant to the pricing of futures. The convenience yield A market in which the futures price lies below the current spot price is referred to as backwardation or sometimes an inverted market. The opposite market is the conta