期权、期货及其他衍生产品课件3金融工程学.pptVIP

5.1 Determination of Forward and Futures Prices Chapter 5 5.2 Consumption vs Investment Assets Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: stock, bond, gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil) 5.3 Short Selling (101) 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 At some stage you must buy the securities back so they can be replaced in the account of the client 5.4 Short Selling(continued) If at any time while the contract is open the broker is not able to borrow shares, the investor is forced to close out the position, even if not ready to do so, called short-squeezed(挤空，挟仓). You must pay dividends and other benefits the owner of the securities receives Example 5.5 The investor is required to maintain a margin account with the broker. Assumptions The market participants are subject to no transaction costs when they trade. The market participants are subjects to the same tax rate on all net trading profits. The market participants can borrow money at the same risk-free rate of interest as they can lend money. The market participants take advantage of arbitrage opportunities as they occur. 5.6 5.7 Notation for Valuing Futures and Forward Contracts S0: Spot price today F0: Futures or forward price today T: Time until delivery date(in years) r: Risk-free interest rate for maturity T Forward price for an investment asset 5.8 5.9 When Interest Rates are Measured with Continuous Compounding F0 = S0erT 远期价格大于即期价格 if F0 S0erT ,arbitrageurs can buy the asset and short forward contracts on the asset. if F0 S0erT , they can short the asset and enter into long forward contracts on it. This equation relates the forward price and the spot price for any investment asset that provides no income and has no storage cos