期货期权及其衍生品配套课件(全34章)Ch05.ppt
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Suppose that:
The spot price of nondividend-paying stock is $43 The 3-month forward price is US$39 The 1-year US$ interest rate is 5% per annum
Is there an arbitrage opportunity?
Determination of Forward and Futures Prices
Chapter 5
Options, Futures, and Other Derivatives, 7th International Edition,
Copyright © John C. Hull 2008
1
Consumption vs Investment Assets
Is there an arbitrage opportunity?
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
6
2. Another Arbitrage Opportunity?
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)
F0 = S0erT where r is the 1-year risk-free rate of interest.
In our examples, S0 =40, T=0.25, and r=0.05 so that
F0 = 40e0.05×0.25 = 40.50
Options, Futures, and Other Derivatives, 7th International
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
3
Short Selling
(continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
5
1. An Arbitrage Opportunity?
Suppose that:
The spot price of a non-dividend paying stock is $40 The 3-month forward price is $43 The 3-month US$ interest rate is 5% per annum
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
2
Short Selling (Page 99-101)
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 us and other benefits the owner of the securities receives
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
7
The Forward Price
If the spot price of an investment asset is S0 and the futures price for a contract deliverable in T years is F0, then
Edition, Copyright © John C. Hull 2008
8
If Short Sales Are Not Possible..
Formula still works for an investment asset because investors who hold the asset will sell it and buy forward contracts when the forward price is too low
4
Notation for Valuing Futures and Forward Contracts
S0: Spot price today F0: Futures or forward price today T: Time until delivery date
r: Risk-free interest rate for maturity T
The spot price of nondividend-paying stock is $43 The 3-month forward price is US$39 The 1-year US$ interest rate is 5% per annum
Is there an arbitrage opportunity?
Determination of Forward and Futures Prices
Chapter 5
Options, Futures, and Other Derivatives, 7th International Edition,
Copyright © John C. Hull 2008
1
Consumption vs Investment Assets
Is there an arbitrage opportunity?
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
6
2. Another Arbitrage Opportunity?
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)
F0 = S0erT where r is the 1-year risk-free rate of interest.
In our examples, S0 =40, T=0.25, and r=0.05 so that
F0 = 40e0.05×0.25 = 40.50
Options, Futures, and Other Derivatives, 7th International
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
3
Short Selling
(continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
5
1. An Arbitrage Opportunity?
Suppose that:
The spot price of a non-dividend paying stock is $40 The 3-month forward price is $43 The 3-month US$ interest rate is 5% per annum
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
2
Short Selling (Page 99-101)
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 us and other benefits the owner of the securities receives
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
7
The Forward Price
If the spot price of an investment asset is S0 and the futures price for a contract deliverable in T years is F0, then
Edition, Copyright © John C. Hull 2008
8
If Short Sales Are Not Possible..
Formula still works for an investment asset because investors who hold the asset will sell it and buy forward contracts when the forward price is too low
4
Notation for Valuing Futures and Forward Contracts
S0: Spot price today F0: Futures or forward price today T: Time until delivery date
r: Risk-free interest rate for maturity T