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第三章 远期与期货定价 厦门大学金融系 郑振龙 陈蓉 http: // efinance. org. cn http: // aronge. net

第三章 远期与期货定价 厦门大学金融系 郑振龙 陈蓉 http: // efinance. org. cn http: // aronge. net Copyright © 2014 Zheng, Zhenlong & Chen, Rong, XMU

无套利定价法 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 13

无套利定价法 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 13

无收益资产的远期价值I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 14

无收益资产的远期价值I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 14

无收益资产的远期价值III Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 16

无收益资产的远期价值III Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 16

案例3. 1 II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 20

案例3. 1 II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 20

支付已知现金收益资产的远期价值I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 23

支付已知现金收益资产的远期价值I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 23

支付已知现金收益资产的远期价值II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 24

支付已知现金收益资产的远期价值II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 24

反证法 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 26

反证法 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 26

案例3. 5 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 27

案例3. 5 Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 27

支付已知收益率的资产I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 29

支付已知收益率的资产I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 29

支付已知收益率的资产II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 30

支付已知收益率的资产II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 30

持有成本II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 35

持有成本II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 35

持有成本III 远期和期货定价中的持有成本( c )概念: Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 36

持有成本III 远期和期货定价中的持有成本( c )概念: Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 36

非完美市场上的定价公式I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 37

非完美市场上的定价公式I Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 37

非完美市场上的定价公式II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 38

非完美市场上的定价公式II Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 38

非完美市场上的定价公式III Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 39

非完美市场上的定价公式III Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 39

非完美市场上的定价公式IV Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 40

非完美市场上的定价公式IV Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 40

Any Questions? Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 46

Any Questions? Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 46

Email: zlzheng@xmu. edu. cn aronge@xmu. edu. cn Copyright © 2014 Zheng, Zhenlong & Chen,

Email: zlzheng@xmu. edu. cn aronge@xmu. edu. cn Copyright © 2014 Zheng, Zhenlong & Chen, Rong,XMU 47