期權(quán)期貨以及其他衍生品(5)-wenkub
2022-11-02 16:16:09 本頁(yè)面
【正文】 Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Short Selling (Page 4142) ? Short selling involves selling securities you do not own ? Your broker borrows the securities from another client and sells them in the market in the usual way Options, Futures, and Other Derivatives, 5th edition 169。Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Short Selling (continued) ? At some stage you must buy the securities back so they can be replaced in the account of the client ? You must pay dividends and other benefits the owner of the securities receives Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Notation S0: Spot price today F0: Futures or forward price today T: Time until delivery date r: Riskfree interest rate for maturity T Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull When an Investment Asset Provides a Known Yield (Page 49, equation ) F0 = S0 e(r–q )T where q is the average yield during the life of the contract (expressed with continuous pounding) Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Stock Index (continued) ? For the formula to be true it is important that the index represent an investment asset ? In other words, changes in the index must correspond to changes in the value of a tradable portfolio ? The Nikkei index viewed as a dol
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