期權(quán)期貨以及其他衍生品(5)(參考版)
2024-10-21 16:16本頁面
【正文】 2021 by John C. Hull Futures Prices amp。 2021 by John C. Hull Futures Prices amp。 2021 by John C. Hull Futures on Consumption Assets (Page 59) F0 ? S0 e(r+u )T where u is the storage cost per unit time as a percent of the asset value. Alternatively, F0 ? (S0+U )erT where U is the present value of the storage costs. Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Index Arbitrage (continued) ? Index arbitrage involves simultaneous trades in futures and many different stocks ? Very often a puter is used to generate the trades ? Occasionally (., on Black Monday) simultaneous trades are not possible and the theoretical noarbitrage relationship between F0 and S0 does not hold 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 dollar number does not represent an investment asset Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Forward vs Futures Prices ? Forward and futures prices are usually assumed to be the same. When interest rates are uncertain they are, in theory, slightly different: ? A strong positive correlation between interest rates and the
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