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1、CHAPTERFIFTY-TWOPRICINGFUTURESANDPORTFOLIOAPPLICATIONSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityMARKPITTS,PH.D.PrincipalWhiteOakCapitalManagementCorp.BRUCEM.COLLINS,PH.D.ProfessorofFinanceWestern
2、ConnecticutStateUniversityOneoftheprimaryconcernsmosttradersandinvestorshavewhentakingaposi-tioninfuturescontractsiswhetherthefuturespriceatwhichtheytransactwillbeafairprice.Buyersareconcernedthatthepricemaybetoohighandthattheywillbepickedoffbymoreexpe
3、riencedfuturestraderswaitingtoprofitfromthemis-takesoftheuninitiated.Sellersworrythatthepriceisartificiallylowandthatsavvytradersmayhavemanipulatedthemarketssothattheycanbuyatbargain-basementprices.Furthermore,prospectiveparticipantsfrequentlyfindnoration
4、alexplanationforthesometimesviolentupsanddownsthatoccurinthefuturesmar-kets.Theoriesaboutefficientmarketsgivelittlecomforttoanyonewhoknowsoforhasexperiencedthesuddenlossesthatcanoccurinthehighlyleveragedfuturesmarkets.Fortunately,thefuturesmarketsarenot
5、asirrationalastheymayatfirstseem;iftheywere,theywouldnotbesosuccessful.Theinterest-ratefuturesmarketsarenotperfectlyefficientmarkets,buttheyprobablycomeaboutascloseasanymarket.Furthermore,thereareveryclearreasonswhyfuturespricesarewhattheyare,andthereare
6、methodsbywhichtraders,investors,andbor-rowerswillquicklyeliminateanydiscrepancybetweenfuturespricesandtheirfairlevels.Inthischapterwewillexplainhowthefairortheoreticalvalueofanoptionisdetermined.Wethenexplainseveralportfolioapplicationsofinterest-ratef
7、utures.1187Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1188PART7DerivativesandTheirApplicationsPRICINGOFFUTURESCONTRACTSThereareseveraldifferentwaystopricefuturescontracts.Fortunately,allleadtothesam
8、efairpriceforagivencontract.Eachapproachreliesonthelawofoneprice.Thislawstatesthatagivenfinancialasset(orliability)musthavethesamepriceregardlessofthemeansbywhichonegoesaboutcreatingthatasset(orliability).Inthissectionwewilldemonstrateon
