期权 期货以及其他衍生品(5)
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You must pay dividends and other benefits the owner of the securities receives
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.6
Conversion Formulas
(Page 44)
Define
Rc : continuously compounded rate Rm: same rate with compounding m times per year
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.2
Short Selling (Page 41-42)
Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells
$100 grows to $100eRT when invested at a continuously compounded rate R for time T
$100 received at time T discounts to $100e-RT at time zero when the continuously compounded discount rate is R
F0 = S0(1 + r )T
(assuming no storage costs) If r is compounded continuously instead of annually
F0 = S0erT
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Rc
m ln1
Rm
m
Rm m e Rc /m 1
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.7
Notation
S0: Spot price today F0: Futures or forward price today T: Time until delivery date
Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver)
Consumption assets are assets held primarily for consumption (Examples: copper, oil)
them in the market in the usual way
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.3
Short Selling (continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
3.4
Measuring Interest Rates
The compounding frequency used for an interest rate is the unit of measurement
The difference between quarterly and annual compounding is analogous to the difference between miles and kilometers
Determination of Forward and Futures Prices
Chapter 3
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.1
Consumption vs Investment Assets
r: Risk-free interest rate for maturity T
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.8
Gold Example (From Chapter 1)
For gold
3.9
Extension of the Gold Example
(Page 46, equation 3.5)
For any investment asset that provides no income and has no storage costs
F0 = S0eபைடு நூலகம்T
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.5
Continuous Compounding
(Page 43)
In the limit as we compound more and more frequently we obtain continuously compounded interest rates
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.6
Conversion Formulas
(Page 44)
Define
Rc : continuously compounded rate Rm: same rate with compounding m times per year
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.2
Short Selling (Page 41-42)
Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells
$100 grows to $100eRT when invested at a continuously compounded rate R for time T
$100 received at time T discounts to $100e-RT at time zero when the continuously compounded discount rate is R
F0 = S0(1 + r )T
(assuming no storage costs) If r is compounded continuously instead of annually
F0 = S0erT
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Rc
m ln1
Rm
m
Rm m e Rc /m 1
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.7
Notation
S0: Spot price today F0: Futures or forward price today T: Time until delivery date
Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver)
Consumption assets are assets held primarily for consumption (Examples: copper, oil)
them in the market in the usual way
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.3
Short Selling (continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
3.4
Measuring Interest Rates
The compounding frequency used for an interest rate is the unit of measurement
The difference between quarterly and annual compounding is analogous to the difference between miles and kilometers
Determination of Forward and Futures Prices
Chapter 3
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.1
Consumption vs Investment Assets
r: Risk-free interest rate for maturity T
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.8
Gold Example (From Chapter 1)
For gold
3.9
Extension of the Gold Example
(Page 46, equation 3.5)
For any investment asset that provides no income and has no storage costs
F0 = S0eபைடு நூலகம்T
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
3.5
Continuous Compounding
(Page 43)
In the limit as we compound more and more frequently we obtain continuously compounded interest rates