第五章-JOHN-HULL-期权与期货市场基本原理第七版ppt.ppt

FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,DeterminationofForwardandFuturesPrices,Chapter5,1,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,ConsumptionvsInvestmentAssets,Investmentassetsareassetsheldbysignificantnumbersofpeoplepurelyforinvestmentpurposes(Examples:gold,silver)Consumptionassetsareassetsheldprimarilyforconsumption(Examples:copper,oil),2,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,ShortSelling(Page104-105),ShortsellinginvolvessellingsecuritiesyoudonotownYourbrokerborrowsthesecuritiesfromanotherclientandsellstheminthemarketintheusualway,3,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,ShortSelling(continued),AtsomestageyoumustbuythesecuritiesbacksotheycanbereplacedintheaccountoftheclientYoumustpaydividendsandotherbenefitstheownerofthesecuritiesreceives,4,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,Notation,5,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,1.Gold:AnArbitrageOpportunity?,Supposethat:ThespotpriceofgoldisUS$1000Thequoted1-yearfuturespriceofgoldisUS$1100The1-yearUS$interestrateis5%perannumNoincomeorstoragecostsforgoldIsthereanarbitrageopportunity?,6,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,2.Gold:AnotherArbitrageOpportunity?,Supposethat:ThespotpriceofgoldisUS$1000Thequoted1-yearfuturespriceofgoldisUS$990The1-yearUS$interestrateis5%perannumNoincomeorstoragecostsforgoldIsthereanarbitrageopportunity?,7,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,TheFuturesPriceofGold,IfthespotpriceofgoldisS&thefuturespriceisforacontractdeliverableinTyearsisF,thenF=S(1+r)Twhereristhe1-year(domesticcurrency)risk-freerateofinterest.Inourexamples,S=1000,T=1,andr=0.05sothatF=1000(1+0.05)=1050,8,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,WhenInterestRatesareMeasuredwithContinuousCompounding,F0=S0erTThisequationrelatestheforwardpriceandthespotpriceforanyinvestmentassetthatprovidesnoincomeandhasnostoragecosts,9,IfShortSalesAreNotPossible.,Formulastillworksforaninvestmentassetbecauseinvestorswhoholdtheassetwillsellitandbuyforwardcontractswhentheforwardpriceistoolow,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,10,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,WhenanInvestmentAssetProvidesaKnownDollarIncome(page110,equation5.2),F0=(S0I)erTwhereIisthepresentvalueoftheincomeduringlifeofforwardcontract,11,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,WhenanInvestmentAssetProvidesaKnownYield(Page111,equation5.3),F0=S0e(rq)Twhereqistheaverageyieldduringthelifeofthecontract(expressedwithcontinuouscompounding),12,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,ValuingaForwardContractPage112,SupposethatKisdeliverypriceinaforwardcontract&F0isforwardpricethatwouldapplytothecontracttodayThevalueofalongforwardcontract,is=(F0K)erTSimilarly,thevalueofashortforwardcontractis(KF0)erT,13,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,ForwardvsFuturesPrices,Forwardandfuturespricesareusuallyassumedtobethesame.Wheninterestratesareuncertaintheyare,intheory,slightlydifferent:AstrongpositivecorrelationbetweeninterestratesandtheassetpriceimpliesthefuturespriceisslightlyhigherthantheforwardpriceAstrongnegativecorrelationimpliesthereverseThedifferencebetweenforwardandfuturespricescanberelativelylargeforEurodollarfutures(seeChapter6),14,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,StockIndex(Page115),CanbeviewedasaninvestmentassetpayingadividendyieldThefuturespriceandspotpricerelationshipisthereforeF0=S0e(rq)Twhereqisthedividendyieldontheportfoliorepresentedbytheindexduringlifeofcontract,15,FundamentalsofFuturesandOptionsMarkets,7thEd,Ch5,CopyrightJohnC.Hull2010,StockIndex(continued),FortheformulatobetrueitisimportantthattheindexrepresentaninvestmentassetInotherwords,changesintheindexmustcorrespondtochangesinthevalueofatradableportfolioTheNikkeiindexviewedasadollarnumberdoe