期貨與互換的詳細(xì)分析(編輯修改稿)
2025-06-15 16:53 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 ntract maturity date is exactly proportional to the value of the stock index. In other words, adopting this portfolio strategy is equivalent to holding the stock index itself, aside from the issue of interim dividend distributions and tax treatment. 2318 股指期貨定價(jià) Pricing on Stock Index Contracts 現(xiàn)貨與期貨價(jià)格之間的平價(jià)關(guān)系是 。 The spotfutures price parity that was developed in Chapter 22 is given as。 F0＝ S0(1＋ r f – d ) T 實(shí)證研究已經(jīng)證實(shí)期貨價(jià)格與現(xiàn)貨價(jià)格密切相關(guān) . Empirical investigations have shown that the actual pricing relationship on index contracts follows the spotfutures relationship. d:為年紅利率 dividend rate, 2319 尋找股票和股指間的價(jià)格差 Exploiting mispricing between underlying stocks and the futures index contract. 期貨價(jià)太高 賣(mài)空股指期貨買(mǎi)股指股票 Futures Price too high short the future and buy the underlying stocks. 期貨價(jià)太低 買(mǎi)股指期貨賣(mài)空股指股票 Futures price too low long the future and short sell the underlying stocks. 指數(shù)套利 Index Arbitrage 2320 實(shí)際上指數(shù)套利很難進(jìn)行 This is difficult to implement in practice. Transactions costs are often too large. Trades cannot be done simultaneously. 程序交易的發(fā)展 Development of Program Trading Used by arbitrageurs to perform index arbitrage. Permits acquisition of securities quickly. 三重魔力日 Triplewitching hour Evidence that index arbitrage impacts volatility. 指數(shù)套利和程序交易 Index Arbitrage and Program Trading 2321 對(duì)沖系統(tǒng)風(fēng)險(xiǎn) Hedging Systematic Risk 為保護(hù)股票市場(chǎng)價(jià)格的下降 ,買(mǎi)空相應(yīng)數(shù)量的股指期貨 . To protect against a decline in level stock prices, short the appropriate number of futures index contracts. 用股指期貨可低成本和更快速 Less costly and quicker to use the index contracts. 使用資產(chǎn)組合 β來(lái)決定對(duì)沖率 Use the beta for the portfolio to determine the hedge ratio. 2322 對(duì)沖系統(tǒng)風(fēng)險(xiǎn) :舉例 Hedging Systematic Risk: Text Example Portfolio Beta = .8 Samp。P 500 = 1,000 Decrease = % Samp。P falls to 975 投資組合價(jià)值 Portfolio Value = $30 million Project loss if market declines by % = (.8) () = 2% 2% of $30 million = $600,000 Each Samp。P500 index contract will change $6,250 for a % change in the index 2323 對(duì)沖率 :舉例 Hedge Ratio: Text Example H = = 投資組合的變化 Change in the portfolio value 一個(gè)期貨合約的利潤(rùn) Profit on one futures contract $600,000 $6,250 = 96 合約 (空頭 ) contracts short 2324 利率期貨 Interest Rate Futures 本國(guó)利率合約 Domestic interest rate contracts – 國(guó)庫(kù)券 ,票據(jù)和債券 Tbills, notes and bonds – 市政債券 municipal bonds 國(guó)際合約 International contracts – 歐洲美元 Eurodollar 對(duì)沖 Hedging – 承銷(xiāo)商 Underwriters – 公司發(fā)行債務(wù) Firms issuing debt 2325 利率套期保值的運(yùn)用 Uses of Interest Rate Hedges 擁有固定收益資產(chǎn)組合的投資者保護(hù)利率的上升Owners of fixedine portfolios protecting against a rise in rates. 計(jì)劃發(fā)行債券的公司保護(hù)利率上升 C
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