期货复制与期货价格一元定律

IF 0.9 Q3 BUSINESS, FINANCE
Avi Bick
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引用次数: 0

摘要

我们将合成期货合约定义为由终端期货价格 J(一个预先指定的随机变量)和一个零价值交易策略(其终端累积现金流等于 J 且不超过一个加法常数)组成的一对。我们演示了合成期货合约的构建:(i) 期货上的期货;(ii) 现货上的期货;(iii) 期货上的量子期货;(iv) 现货上的量子期货;(v) 国外期货和国内期货。我们提出并推导出 "一个期货价格定律",该定律证明基于这种复制的期货定价是合理的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Futures Replication and the Law of One Futures Price

We define a synthetic futures contract as a pair consisting of a terminal futures price J (a prespecified random variable) and a zero-value trading strategy whose terminal cumulative cash flow is equal to J to within an additive constant. The construction of synthetic futures contracts is demonstrated for (i) futures on futures, (ii) futures on spot, (iii) quanto futures on futures, (iv) quanto futures on spot and (v) futures on foreign futures and domestic futures. We formulate and derive the Law of One Futures Price, which justifies futures pricing based on such replication.

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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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