{"title":"期货复制与期货价格一元定律","authors":"Avi Bick","doi":"10.1142/s2010139224500034","DOIUrl":null,"url":null,"abstract":"<p>We define a synthetic futures contract as a pair consisting of a terminal futures price <span><math altimg=\"eq-00001.gif\" display=\"inline\" overflow=\"scroll\"><mi>J</mi></math></span><span></span> (a prespecified random variable) and a zero-value trading strategy whose terminal cumulative cash flow is equal to <span><math altimg=\"eq-00002.gif\" display=\"inline\" overflow=\"scroll\"><mi>J</mi></math></span><span></span> 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.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2024-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Futures Replication and the Law of One Futures Price\",\"authors\":\"Avi Bick\",\"doi\":\"10.1142/s2010139224500034\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We define a synthetic futures contract as a pair consisting of a terminal futures price <span><math altimg=\\\"eq-00001.gif\\\" display=\\\"inline\\\" overflow=\\\"scroll\\\"><mi>J</mi></math></span><span></span> (a prespecified random variable) and a zero-value trading strategy whose terminal cumulative cash flow is equal to <span><math altimg=\\\"eq-00002.gif\\\" display=\\\"inline\\\" overflow=\\\"scroll\\\"><mi>J</mi></math></span><span></span> 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.</p>\",\"PeriodicalId\":45339,\"journal\":{\"name\":\"Quarterly Journal of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2024-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Journal of Finance\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1142/s2010139224500034\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/s2010139224500034","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Futures Replication and the Law of One Futures Price
We define a synthetic futures contract as a pair consisting of a terminal futures price (a prespecified random variable) and a zero-value trading strategy whose terminal cumulative cash flow is equal to 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.
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.