文档介绍：Determination of Forward and Futures Prices Chapter 3
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Consumption vs Investment Assets
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)
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Short Selling (Page 41-42)
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 usual way
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Short Selling (continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
You must pay dividends and other benefits the owner of the securities receives
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Measuring Interest Rates
pounding frequency used for an interest rate is the unit of measurement
The difference between quarterly and pounding is analogous to the difference between miles and kilometers
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
pounding (Page 43)
In the limit as pound more and more frequently we obtain pounded interest rates
$100 grows to $100eRT when invested at a pounded rate R for time T
$100 received at time T discounts to $100e-RT at time zero when the pounded discount rate is R
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Conversion Formulas (Page 44)
Define
Rc : pounded rate
Rm: same rate pounding m times per year
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Notation
S0:
Spot price today
F0:
Futures or forward price today
T:
Time until delivery date
r:
Risk-free interest rate for maturity T
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Options, Futures, and Other Derivat