期权、期货和其他衍生品英文课件：Ch05 Determination of Forward and Futures Prices.pptVIP

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期权、期货和其他衍生品英文课件：Ch05 Determination of Forward and Futures Prices.ppt

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* 18 19 20 * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 5Determination of Forward and Futures Prices Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Consumption vs Investment Assets Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Short Selling (103) Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Short Selling (continued) At some stage you must buy the securities so they can be replaced in the account of the client You must pay dividends and other benefits the owner of the securities receives There may be a small fee for borrowing the securities Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example You short 100 shares when the price is $100 and close out the short position three months later when the price is $90 During the three months a dividend of $3 per share is paid What is your profit? What would be your loss if you had bought 100 shares? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Notation for Valuing Futures and Forward Contracts Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * S0: Spot price today F0: Futures or forward price today T: Time until delivery