forward contract and futures contracts最终版3

期货和远期合约之间的定价区别

远期合约和期货合约异同点

汇报人：张克森

小组成员：张克森 赏东东 罗鸿斌

2014-11-21

期货和远期合约之间的定价区别

FORWARD CONTRACTS AND FUTURES CONTRACTS

1 Introduction 2 Values of forward and futures contracts

3 Forward prices and futures prices

4 Treasury bill futures contract: An example 5 conclusion

2014-11-21

期货和远期合约之间的定价区别

1 Introduction

PURPOSE: we provide a detailed discussion

of the similarities and differences between forward contracts and futures contracts; under frictionless markets and continuous trading, simple arbitrage arguments are invoked to value forward contracts, to relate forward prices and spot prices, and to relate forward prices and futures prices; we also argue that forward prices need not equal futures prices unless default free interest rates are deterministic.

期货和远期合约之间的定价区别

1 Introduction

assumptions: frictionless and continous trading

we do not anylyze the effects of these impediments such as margin requirments, transactions fees ,taxes, and institutional

trading restrictions to free trading

2014-11-21

期货和远期合约之间的定价区别

2 Values of forward and futures contracts

1 An arbitrage valuation method for forward contracts with frictionless market assumptions 2 Values of futures contracts

2014-11-21

期货和远期合约之间的定价区别

An arbitrage valuation method for forward contracts with frictionless market assumptions

Definition of forward contract: a forward

contract obligates its owner to purchase one unit of a specified asset at a fixed price, called the exercise price, on a fixed date, called the delivery date.

2014-11-21

期货和远期合约之间的定价区别

An arbitrage valuation method for forward contracts with frictionless market assumptions

f(s) f (p(s, t*);k(t),t*)

＊ p(s , t ) :the forward price at time s

k(t ) :the exercise price f(s) :the forward contract’s price at time s t: the date the contract is written s: the current time t * :the delivery date

t≤ s ≤t＊

期货和远期合约之间的定价区别

A general forward contract formula

f (p(s, t*);k(t),t*)= {p(s, t*)- k(t)}B(s,t*) (3)

The Derivation process of the formula

t A long position S A short position t＊ Value(long):

k(s) = p(s, t＊)

The combined value at s :

p(t＊, t＊) - p(t,t＊)

Value(short):

k(t)= p(t , t＊)

f{p(s, t ), k(t),t } = {p(s , t＊) - p(t , t＊)}B(s , t＊); k(t)= p(t , t＊)

The term B(s , t＊) is the value at time s of a default-free discount bond that pays one dollar at time t＊

＊

＊

p(s , t＊) - p(t＊, t＊)

The combined value:

p(s, t＊) - p(t , t＊)

期货和远期合约之间的定价区别

Here

B (t* , t* ) = 1

f (p(t*,t*);k(t),t * ) = p(t*,t*)- k(t) (2)

期货和远期合约之间的定价区别

Then ,we add a factor :storage costs Let D(t ,s) be the present value of the known

storage costs associated with holding the underlying asset over [t ,s] . We define

D(t ,t ) = 0

期货和远期合约之间的定价区别

Consider the following portfolio : buy the spot asset to store over [t , t＊] and sell units of the default-free discount bond paying one dollar at

p(t,t)/B(t,t＊)

* t time

time The portfolio value

t t＊ 0

= p(t* , t * ) - {

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别

期货和远期合约之间的定价区别