Consumption asset VS investment asset
all commodity assets excluding gold or silver are consumption assets
Short selling
- involves selling securities that are not owned
Assumptions and notation
- no transaction costs
- the same tax rate
- the same risk-free interest rate
- take the advantage of arbitrage opportunities
: spot price today : Futures or forward price today : Time until delivery date : Risk-free interest rate for period , continuous compounding
Pricing forward
- underlying asset:
- assets without an income: non-dividend-paying stocks, and zero-coupon bonds
- assets with a known cash income: coupon-bearing bonds, and fixed cash dividends stocks
- assets with a known dividend yield: currency and stock indices
Pricing forward on assets without an income
TF: 10个10分
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看4.5和4.6 5.9
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