衍生品市场基础05章.ppt

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衍生品市场基础05章.ppt

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Chapter5FinancialForwardsandFutures

IntroductionFinancialfuturesandforwardsOnstocksandindexesOncurrenciesOninterestratesHowaretheyused?Howaretheypriced?Howaretheyhedged?2Copyright?2009PearsonPrenticeHall.Allrightsreserved.

AlternativeWaystoBuyaStockFourdifferentpaymentandreceipttimingcombinationsOutrightpurchase:ordinarytransactionFullyleveragedpurchase:investorborrowsthefullamountPrepaidforwardcontract:paytoday,receivethesharelaterForwardcontract:agreeonpricenow,pay/receivelaterPayments,receipts,andtheirtimingTable5.1FourdifferentwaystobuyashareofstockthathaspriceS0attime0.Attime0youagreetoaprice,whichispaideithertodayorattimeT.Thesharesarereceivedeitherat0orT.Theinterestrateisr.3Copyright?2009PearsonPrenticeHall.Allrightsreserved.

PricingPrepaidForwardsIfwecanpricetheprepaidforward(FP),thenwecancalculatethepriceforaforwardcontractF=FuturevalueofFPThreepossiblemethodstopriceprepaidforwardsPricingbyanalogyPricingbydiscountedpresentvaluePricingbyarbitrageFornow,assumethattherearenodividends4Copyright?2009PearsonPrenticeHall.Allrightsreserved.

PricingPrepaidForwards(cont’d)PricingbyanalogyIntheabsenceofdividends,thetimingofdeliveryisirrelevantPriceoftheprepaidforwardcontractsameascurrentstockprice (wheretheassetisboughtatt=0,deliveredatt=T)Pricingbydiscountedpresetvalue

(a:risk-adjusteddiscountrate)Ifexpectedt=Tstockpriceatt=0isE0(ST),then

Sincet=0expectedvalueofpriceatt=TisCombiningthetwo,5Copyright?2009PearsonPrenticeHall.Allrightsreserved.

PricingbyarbitrageArbitrage:asituationinwhichonecangeneratepositivecashflowbysimultaneouslybuyingandsellingrelatedassets,withnonetinvestmentandwithnorisk?freemoney!!!Ifattimet=0,theprepaidforwardpricesomehowexceededthestockprice,i.