第二章远期合约和期货合约价格的性质.pptVIP

? 构造策略：以利率7%借入25元买一份股票，以 为交割价格写一份6个月到期的远期合约 成本为0 6个月后 股票 S(0.5) 远期合约 -[S(0.5)- ] 还贷 -25 第三十页，共七十八页。 ? 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. 第三十一页，共七十八页。 ? 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. 第