chapter4-1无文字金融工程专业.ppt

* * * * * * * * * * continued The value of a forward contract f is the profit on this contract. For forward contracts, no cash is paid out up front,so the contracts have zero value when first written. At time T (long position) How do we determine the value of the forward at time t0? 但值得注意的是，对于期货合约来说，一般较少谈及“期货合约价值”这个概念。基于期货的交易机制，由于期货每日盯市结算、每日结清浮动盈亏，因此期货合约价值在每日收盘后都归零。 * * March 3 March 17 December 　F0 = K=265.5 Value of initial/old futures contract New futures contract　K’=Ft=253.25 Both futures contracts expire Buy the old futures contract Sell the new one Deliver the two contracts and make a profit of Ft－K f new=0 f t=(Ft - K) e-r(T-t) * The value of forward contract The present value of this difference is the value of the forward/futures contract (long position) at time t, ft, ft = (Ft-K)e-r(T-t) * 3. forward price for an investment asset Three kinds of investment assets: ⑴、Investment assets providing no income ⑵、Investment assets providing a known cash income ⑶、Investment assets providing a known dividend yield * 2.1 forward price for an investment asset providing no income Intuition It is very easy to get bogged down in the exact details of the various pricing formulas that we will use, so let’s first consider the economic intuition that underlies all of these formulas. Consider when two parties enter into a forward contract on a non-income producing asset. The long party (LP) agrees to pay the short party (SP) K dollars at time T in exchange for the underlying asset. From the viewpoint of SP, SP is holding the asset on their behalf until the maturity date. Assuming no credit risk this means that it is the same as if SP bought the underlying asset today, held on to it for T years, and then sold it at price K. * Intuition From the short’s perspective there is no risk in this contract. They pay the current market (spot) price for the asset (S0), they hold it for T years, and then they sell it for K dollars. This cost S0 and is certain to le