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#  1.3 期貨契約的內容

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f

s

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2 2 1

12 12 12

F

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y

{

4

12

F

## 例題4-3

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FT

T

F

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F＝S［1＋（r－rf

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y

### 假設新台幣兌換美元的匯率是 31：1，若目前台灣的3個月 無風險利率是2%，美國的3個月無風險利率是4%，則3個月 後到期之美元外匯期貨合理價格為：

31 1 (2% 4%) 3 30.845 F = + × =

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### Convergence of Futures Price to Spot Price

—(3/1)

At the delivery month of a futures contract is approached, the futures price _________ the spot price of the underlying asset.

### Î

When the delivery period is reached, the futures price _____ —or is very close to the spot price

converges to

equals

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## Convergence of Futures to Spot

(資料來源：Hull, Futures and Options Market, P35)

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## 4

• What is delivered is now a forward contract with a delivery price equal to the option’s strike price.. – Exercising a call forward option results in a long position in a

• Similar to futures options except that what is delivered is a forward contract with a delivery price equal to the option’s strike price. – Exercising a call forward option results

• Similar to futures options except that what is delivered is a forward contract with a delivery price equal to the option’s strike price.. – Exercising a call forward option results

• Similar to futures options except that what is delivered is a forward contract with a delivery price equal to the option’s strike price.. – Exercising a call forward option results

• Similar to futures options except that what is delivered is a forward contract with a delivery price equal to the option’s strike price.. – Exercising a call forward option results

• It works as if the call writer delivered a futures contract to the option holder and paid the holder the prevailing futures price minus the strike price.. • It works as if the

z Choose a delivery month that is as close as possible to, but later than, the end of the life of the hedge. z When there is no futures contract on the asset being hedged, choose

PS： The IPE Brent Crude futures contract is a deliverable contract based on EFP (Exchange of futures for physical ) delivery with an option to cash settle, i.e the IPE Brent