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1、ListofSymbolsα¼alpha,unsystematicreturnA0,AT¼marketvalueoffirmassetsattime0andTAI,AIt,AIT¼accruedinteresttoday,attimet,andattimeTb,bt,bT¼basistoday,attimet,andatexpiration,TB¼marketvalueofbondportfolioβ,βs,βf,βT,βy¼beta,betaofspotassetorportfolio,betaoffutures,targetbeta,andyi
2、eldbetaB0,BT¼marketvalueoffirmdebtattime0andTB0(ti)¼priceofzerocouponbondobservedattime0,maturesintidaysC¼(abbreviated)priceofcallC1,C2,C3¼(abbreviated)priceofcallforexercisepricesX1,X2,X3C(S0,T,X)¼priceofeitherEuropeanorAmericancallonassetwithpriceS0,expirationT,andexercisepr
3、iceXCe(S0,T,X)¼priceofEuropeancallonassetwithpriceS0,expirationT,andexercisepriceXCa(S0,T,X)¼priceofAmericancallonassetwithpriceS0,expirationT,andexercisepriceXC(f0,T,X)¼priceofeitherEuropeanorAmericancallonfutureswithpricef0,expirationT,andexercisepriceXCe(f0,T,X)¼priceofEuro
4、peancallonfutureswithpricef0,expirationT,andexercisepriceXCa(f0,T,X)¼priceofAmericancallonfutureswithpricef0,expirationT,andexercisepriceX22Cu,Cd,Cu,Cud,Cd¼callpricesequenceinbinomialmodelχ¼convenienceyieldCIt¼couponinterestpaidattimetCovΔS,Δf¼covarianceofthechangeinthespotpri
5、ceandchangeinthefuturespriceCovrS,rf¼covarianceoftherateofreturnonthespotandfuturesρΔS,Δf¼correlationofthechangeinthespotpriceandchangeinthefuturespriceCPt¼cashpayment(principalorinterest)onbondattimetCF¼conversionfactoronCBOTT-bondcontractCF(t),CF(T)¼conversionfactoronCBOTT-b
6、ondcontractsdeliverableattimestandTc¼couponrateΔ¼deltaofanoptionΔB,ΔM,ΔS,Δf,ΔyB,Δyf¼changeinbondprice,changeinmarketportfoliovalue,changeinspotprice,changeinfuturesprice,changeinbondyield,changeinfuturesyieldδc¼dividendyieldd¼(withoutsubscript)1.0+downwardreturnonstockinbinomi
7、almodeld1,d2¼variablesinBlack-Scholes-MertonmodelD0,D¼presentvalueofdividendstotime0,presentvalueofdividendsDj,Dt¼dividendpaidattimejortimetDT¼compoundfuturevalueofreinvesteddividendsDURB¼Macaulay’sdurationε¼standardnormalrandomvariableinMonteCarlosimulationE(x)¼expectedvalueo
8、ftheargumentxe*¼measureofhedgingeffectivenessf0,ft,fT,f¼(abbr
