衍生工具 Chap 5

ArslanTu 发布于 2021-10-21 104 次阅读


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

  1. no transaction costs
  2. the same tax rate
  3. the same risk-free interest rate
  4. take the advantage of arbitrage opportunities
  • S0: spot price today
  • F0: Futures or forward price today
  • T: Time until delivery date
  • r: Risk-free interest rate for period T, continuous compounding

Pricing forward

  • underlying asset:
    1. assets without an income: non-dividend-paying stocks, and zero-coupon bonds
    2. assets with a known cash income: coupon-bearing bonds, and fixed cash dividends stocks
    3. assets with a known dividend yield: currency and stock indices

Pricing forward on assets without an income

TF: 10个10分

综合五题,计算,分析,简答,练习

交作业

看4.5和4.6 5.9