forward contract and futures contracts最终版3
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期货和远期合约之间的定价区别
远期合约和期货合约异同点
汇报人:张克森
小组成员:张克森 赏东东 罗鸿斌
2014-11-21
期货和远期合约之间的定价区别
FORWARD CONTRACTS AND FUTURES CONTRACTS
1 Introduction 2 Values of forward and futures contracts
3 Forward prices and futures prices
4 Treasury bill futures contract: An example 5 conclusion
2014-11-21
期货和远期合约之间的定价区别
1 Introduction
PURPOSE: we provide a detailed discussion
of the similarities and differences between forward contracts and futures contracts; under frictionless markets and continuous trading, simple arbitrage arguments are invoked to value forward contracts, to relate forward prices and spot prices, and to relate forward prices and futures prices; we also argue that forward prices need not equal futures prices unless default free interest rates are deterministic.
期货和远期合约之间的定价区别
1 Introduction
assumptions: frictionless and continous trading
we do not anylyze the effects of these impediments such as margin requirments, transactions fees ,taxes, and institutional
trading restrictions to free trading
2014-11-21
期货和远期合约之间的定价区别
2 Values of forward and futures contracts
1 An arbitrage valuation method for forward contracts with frictionless market assumptions 2 Values of futures contracts
2014-11-21
期货和远期合约之间的定价区别
An arbitrage valuation method for forward contracts with frictionless market assumptions
Definition of forward contract: a forward
contract obligates its owner to purchase one unit of a specified asset at a fixed price, called the exercise price, on a fixed date, called the delivery date.
2014-11-21
期货和远期合约之间的定价区别
An arbitrage valuation method for forward contracts with frictionless market assumptions
f(s) f (p(s, t*);k(t),t*)
* p(s , t ) :the forward price at time s
k(t ) :the exercise price f(s) :the forward contract’s price at time s t: the date the contract is written s: the current time t * :the delivery date
t≤ s ≤t*
期货和远期合约之间的定价区别
A general forward contract formula
f (p(s, t*);k(t),t*)= {p(s, t*)- k(t)}B(s,t*) (3)
The Derivation process of the formula
t A long position S A short position t* Value(long):
k(s) = p(s, t*)
The combined value at s :
p(t*, t*) - p(t,t*)
Value(short):
k(t)= p(t , t*)
f{p(s, t ), k(t),t } = {p(s , t*) - p(t , t*)}B(s , t*); k(t)= p(t , t*)
The term B(s , t*) is the value at time s of a default-free discount bond that pays one dollar at time t*
*
*
p(s , t*) - p(t*, t*)
The combined value:
p(s, t*) - p(t , t*)
期货和远期合约之间的定价区别
Here
B (t* , t* ) = 1
f (p(t*,t*);k(t),t * ) = p(t*,t*)- k(t) (2)
期货和远期合约之间的定价区别
Then ,we add a factor :storage costs Let D(t ,s) be the present value of the known
storage costs associated with holding the underlying asset over [t ,s] . We define
D(t ,t ) = 0
期货和远期合约之间的定价区别
Consider the following portfolio : buy the spot asset to store over [t , t*] and sell units of the default-free discount bond paying one dollar at
p(t,t)/B(t,t*)
* t time
time The portfolio value
t t* 0
= p(t* , t * ) - {
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
期货和远期合约之间的定价区别
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