期权、期货及其他衍生产品金融工程学ppt课件.ppt

DeterminationofForwardandFuturesPrices,Chapter5,5.1,ConsumptionvsInvestmentAssets,Investmentassetsareassetsheldbysignificantnumbersofpeoplepurelyforinvestmentpurposes(Examples:stock,bond,gold,silver)Consumptionassetsareassetsheldprimarilyforconsumption(Examples:copper,oil),5.2,ShortSelling(Page99-101),ShortsellinginvolvessellingsecuritiesyoudonotownYourbrokerborrowsthesecuritiesfromanotherclientandsellstheminthemarketintheusualwayAtsomestageyoumustbuythesecuritiesbacksotheycanbereplacedintheaccountoftheclient,5.3,ShortSelling(continued),Ifatanytimewhilethecontractisopenthebrokerisnotabletoborrowshares,theinvestorisforcedtocloseouttheposition,evenifnotreadytodoso,calledshort-squeezed(挤空，挟仓).Youmustpaydividendsandotherbenefitstheownerofthesecuritiesreceives,5.4,Example,Theinvestorisrequiredtomaintainamarginaccountwiththebroker.,5.5,Assumptions,Themarketparticipantsaresubjecttonotransactioncostswhentheytrade.Themarketparticipantsaresubjectstothesametaxrateonallnettradingprofits.Themarketparticipantscanborrowmoneyatthesamerisk-freerateofinterestastheycanlendmoney.Themarketparticipantstakeadvantageofarbitrageopportunitiesastheyoccur.,5.6,NotationforValuingFuturesandForwardContracts,5.7,Forwardpriceforaninvestmentasset,5.8,WhenInterestRatesareMeasuredwithContinuousCompounding,F0=S0erT远期价格大于即期价格ifF0S0erT,arbitrageurscanbuytheassetandshortforwardcontractsontheasset.ifF0S0e(r-q)TanarbitrageurbuysthestocksunderlyingtheindexandsellsfuturesWhenF0(S0+U)erT,aarbitrageurcan:1.BorrowanamountS0+Uattheriskfreerateanduseittopurchaseoneunitofthecommodityandtopaystoragecost.2.Shortaforwardcontractononeunitofthecommodity.EquationF0(S0+U)erTcannothold.SupposeF0randF0E(ST)(contango，期货溢价),5.37,5.28一家公司和一家银