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1、Chapter8:PrinciplesofPricingForwards,Futures,andOptionsonFuturesToknowvalueistoknowthemeaningofthemarket.CharlesDowMoneyTalks(byRosalieMaggio),1998,p.23D.M.ChanceCh.9:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter9PriceandvalueofforwardandfuturescontractsRelationsh
2、ipbetweenforwardandfuturespricesDeterminationofthespotpriceofanassetCostofcarrymodelfortheoreticalfairpriceContango,backwardation,andconvenienceyieldFuturespricesandriskpremiumsFuturesspreadpricingPricingoptionsonfuturesSomePropertiesofForwardandFuturesPricesTheConceptofPriceVersusValueNormallyin
3、anefficientmarket,price=value.Forfuturesorforward,priceisthecontractedrateoffuturepurchase.Valueissomethingdifferent.Atthebeginningofacontract,value=0forbothfuturesandforwards.NotationVt(0,T),F(0,T),vt(T),ft(T)arevaluesandpricesofforwardandfuturescontractscreatedattime0andexpiringattimeT.SomeProp
4、ertiesofForwardandFuturesPrices(continued)TheValueofaForwardContractForwardpriceatexpiration:F(T,T)=ST.Thatis,thepriceofanexpiringforwardcontractisthespotprice.Valueofforwardcontractatexpiration:VT(0,T)=ST-F(0,T).Anexpiringforwardcontractallowsyoutobuytheasset,worthST,attheforwardpriceF(0,T).Thev
5、aluetotheshortpartyis-1timesthis.SomePropertiesofForwardandFuturesPrices(continued)TheValueofaForwardContract(continued)TheValueofaForwardContractPriortoExpirationA:GolongforwardcontractatpriceF(0,T)attime0.B:AttgolongtheassetandtakeoutaloanpromisingtopayF(0,T)atTAttimeT,AandBareworththesame,ST–F
6、(0,T).Thus,theymustbothbeworththesamepriortot.SoVt(0,T)=St–F(0,T)-(T-t)SeeTable9.1,p.306.Example:Golong45daycontractatF(0,T)=$100.Risk-freerate=.10.20dayslater,thespotpriceis$102.Thevalueoftheforwardcontractis102-100(1.10)-25/365=2.65.SomePropertiesofForwardandFuturesPrices(continued)TheValueofaF
7、uturesContractFuturespriceatexpiration:fT(T)=ST.Valueduringthetradingdaybutbeforebeingmarkedtomarket:vt(T)=ft(T)-ft-1(T).Valueimmediatelyafterbeingmarkedtomarket:vt(T)=0.SomePropertiesofForwardandFuturesPrices(continue
