w******g
发帖数: 67 | 1 I am a little confused about
1. why future price is the expectation of future spot price under
traditional RN world while forward price is the expectation of future spot
price under forward RN world?
2. What happened if we measure forward price under traditional RN world or
measure future price in the forward RN world?
Could anyone give me some explanation or reference? Thanks ahead. |
c*********g
发帖数: 154 | 2 它们是不同的numeraire。如果interest rate不变的话，两者是等价的。但如果
interest rate是随时间变化的话，两者就有区别了。
【在 w******g 的大作中提到】
: I am a little confused about
: 1. why future price is the expectation of future spot price under
: traditional RN world while forward price is the expectation of future spot
: price under forward RN world?
: 2. What happened if we measure forward price under traditional RN world or
: measure future price in the forward RN world?
: Could anyone give me some explanation or reference? Thanks ahead.
|
t***s
发帖数: 4666 | 3 futures settles every day, while forward only settles at expriration.
【在 w******g 的大作中提到】
: I am a little confused about
: 1. why future price is the expectation of future spot price under
: traditional RN world while forward price is the expectation of future spot
: price under forward RN world?
: 2. What happened if we measure forward price under traditional RN world or
: measure future price in the forward RN world?
: Could anyone give me some explanation or reference? Thanks ahead.
|
s*******r
发帖数: 60 | 4 是的。 如果interest rate previsible, 他们没区别. 如果interest rate 是
stochastics, 这2者不同。你可以看看shreve的书，上面有很详细的解释。
【在 w******g 的大作中提到】
: I am a little confused about
: 1. why future price is the expectation of future spot price under
: traditional RN world while forward price is the expectation of future spot
: price under forward RN world?
: 2. What happened if we measure forward price under traditional RN world or
: measure future price in the forward RN world?
: Could anyone give me some explanation or reference? Thanks ahead.
|
t**s
发帖数: 4026 | 5 take a look at this paper
Cox, J.C, J.E. Ingersoll, Jr, and S.A. Ross The Relation between Forward Pri
ces and Futures Prices, Journal of Financial Economics, 9 (Dec, 1981) 321-
346.
【在 w******g 的大作中提到】
: I am a little confused about
: 1. why future price is the expectation of future spot price under
: traditional RN world while forward price is the expectation of future spot
: price under forward RN world?
: 2. What happened if we measure forward price under traditional RN world or
: measure future price in the forward RN world?
: Could anyone give me some explanation or reference? Thanks ahead.
|
d*j
发帖数: 13780 | 6 they are different is IR is stochastic
【在 c*********g 的大作中提到】
: 它们是不同的numeraire。如果interest rate不变的话，两者是等价的。但如果
: interest rate是随时间变化的话，两者就有区别了。
|
S*********g
发帖数: 5298 | 7 如果interest rate是预先知道的（可以是随时间变化的），
那么这forward和futures的价格是等价的
【在 c*********g 的大作中提到】
: 它们是不同的numeraire。如果interest rate不变的话，两者是等价的。但如果
: interest rate是随时间变化的话，两者就有区别了。
|
w******g
发帖数: 67 | 8 Thanks everyone. I got it. |
w******g
发帖数: 67 | 9 Thanks everyone. I got it. |
c*********g
发帖数: 154 | 10 噢，对，我太不仔细了。
实际上就是看 E(X_T/B_T)/E(1/B_T) 和 E(X_T)的关系。如果interest rate是预先知
道的，那么B_T就不是随机变量，则两者相等。如果interest rate是随机的，那么必须
考虑X_T和1/B_T的correlation。correlation是负的话前者小于后者。反之前者大于后
者。
【在 S*********g 的大作中提到】
: 如果interest rate是预先知道的（可以是随时间变化的），
: 那么这forward和futures的价格是等价的
|
w********r
发帖数: 727 | 11
这个是正解，那些啥interest rate什么的是次要的
【在 t***s 的大作中提到】
: futures settles every day, while forward only settles at expriration.
|
a***r
发帖数: 594 | 12 re
【在 w********r 的大作中提到】
:
: 这个是正解，那些啥interest rate什么的是次要的
|
