期权、期货及其他衍生产品课件3金融工程学.ppt

《期权、期货及其他衍生产品课件3金融工程学.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、5.1DeterminationofForwardandFuturesPricesChapter55.2ConsumptionvsInvestmentAssetsInvestmentassetsareassetsheldbysignificantnumbersofpeoplepurelyforinvestmentpurposes(Examples:stock,bond,gold,silver)Consumptionassetsareassetsheldprimarilyforconsumption(Examples:copper,o

2、il)5.3ShortSelling(Page99-101)ShortsellinginvolvessellingsecuritiesyoudonotownYourbrokerborrowsthesecuritiesfromanotherclientandsellstheminthemarketintheusualwayAtsomestageyoumustbuythesecuritiesbacksotheycanbereplacedintheaccountoftheclient5.4ShortSelling(continued)If

3、atanytimewhilethecontractisopenthebrokerisnotabletoborrowshares,theinvestorisforcedtocloseouttheposition,evenifnotreadytodoso,calledshort-squeezed(挤空，挟仓).YoumustpaydividendsandotherbenefitstheownerofthesecuritiesreceivesExample5.5Theinvestorisrequiredtomaintainamargina

4、ccountwiththebroker.AssumptionsThemarketparticipantsaresubjecttonotransactioncostswhentheytrade.Themarketparticipantsaresubjectstothesametaxrateonallnettradingprofits.Themarketparticipantscanborrowmoneyatthesamerisk-freerateofinterestastheycanlendmoney.Themarketpartici

5、pantstakeadvantageofarbitrageopportunitiesastheyoccur.5.65.7NotationforValuingFuturesandForwardContractsS0:SpotpricetodayF0:FuturesorforwardpricetodayT:Timeuntildeliverydate(inyears)r:Risk-freeinterestrateformaturityTForwardpriceforaninvestmentasset5.85.9WhenInterestRa

6、tesareMeasuredwithContinuousCompoundingF0=S0erT远期价格大于即期价格ifF0>S0erT,arbitrageurscanbuytheassetandshortforwardcontractsontheasset.ifF0

7、atprovidesnoincomeandhasnostoragecosts.WhenanInvestmentAssetProvidesaKnownDollarIncome5.105.11套利者净收益：910.00-886.60=23.405.12WhenanInvestmentAssetProvidesaKnownDollarIncome(page105,equation5.2)F0=(S0–I)erTwhereIisthepresentvalueoftheincomeduringlifeofforwardcontract.Ino

8、urexample,Sothat,5.13WhenanInvestmentAssetProvidesaKnownYield(Page107,equation5.3)F0=S0e(r–q)Twhereqistheaverageyield