运输成本模型

An Introduction to Derivative Securities, Financial Markets, and Risk Management Pub Date : 1900-01-01 DOI:10.1142/9781944659561_0011

R. Jarrow, Arkadev Chatterjea

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引用次数: 0

摘要

以下部分包括:介绍，一个套利成本的例子，假设，套利成本模型，模型的建立，使用一价定律，使用无来自无不同的计算利息的方法，套利表的方法，在中间日期远期合约估值，不同期限的远期价格挂钩，案例总结，问题和问题

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The Cost-of-Carry Model

The following sections are included:IntroductionA Cost-of-Carry ExampleThe AssumptionsThe Cost-of-Carry ModelThe Model SetupUsing the Law of One PriceUsing Nothing Comes from NothingDifferent Methods for Computing InterestThe Arbitrage Table ApproachValuing a Forward Contract at Intermediate DatesLinking Forward Prices of Different MaturitiesSummaryCasesQuestions and Problems

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An Introduction to Derivative Securities, Financial Markets, and Risk Management

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