《期货与期权市场基本原理》Ch04 远期与期货价格确定-英文教学课件（非AI生成）.ppt

Chapter4

DeterminationofForwardandFuturesPrices1

ConsumptionVSInvestmentAssetsInvestmentassetsareassetsheldbysignificantnumbersofpeoplepurelyforinvestmentpurposes(Examples:stocks,gold,etc)Consumptionassetsareassetsheldprimarilyforconsumption(Examples:copper,oil)2

ShortSelling(103)ShortsellinginvolvessellingsecuritiesyoudonotownYourbrokerborrowsthesecuritiesfromanotherclientandsellstheminthemarketintheusualway3

ShortSelling(continued)AtsomestageyoumustbuythesecuritiesbacksotheycanbereplacedintheaccountoftheclientYoumustpaydividendsandotherbenefitstotheownerofthesecuritieswhichhe(she)shouldreceivebutdidn’tTheremaybeasmallfeeforborrowingthesecurities4

ExampleYoushort100shareswhenthepriceis$100andcloseouttheshortpositionthreemonthslaterwhenthepriceis$90Duringthethreemonthsadividendof$3pershareispaidWhatisyourprofit?Whatwouldbeyourlossifyouhadbought100shares?5

ForwardPricing:HowtoDeterminetheReasonableDeliveryPrice?6Question:Thepricethattheinvestorthoughtitwouldtobeatthedeliverytime?Thedeliverypriceofaforwardcontractcanbearbitrary?TwolinestodeterminethedeliverypriceThefairnessofanewcontract(valueofacontract)Thenoarbitragecondition(Thetwolinesareequalundermostcircumstances)6

TwoTypesofArbitrage7Thestrongform:Getmoneyatthebeginning,nodebtinthefutureNomoneyatthebeginning,butgetmoneyinthefutureforsureTheweakform:Nomoneyatthebeginning,possiblygetmoneyinthefuture,butnodebtforsure7

NotationforValuingFuturesandForwardContracts8S0:SpotpricetodayF0:FuturesorforwardpricetodayT:Timeuntildeliverydater:Risk-freeinterestrateformaturityT(continuous)K:Deliveryprice8

TheForwardPriceforanInvestmentAssetWithoutIncomeandCost9ThepresentvalueofaforwardcontractThepresentvalueoftheasset?Thepresent