远期合约定价的不同方法

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远期合约定价在用replication的时候，我们是用相同收益的资产来进行定价。但是如果我们假设没有现货市场，也就是说不能用相同收益的资产组合来代替，从而定价的时候，还能用什么方法呢？

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关键词：远期合约 Replication replica replic cation 收益

Firstly, I should say, this usually can not happen. If the underlying is not available, the forward contract can never be settled at maturity.

Second, some forward contract may be written on some non-tradeable assets such as volatility or credit. Usually people will construct a tradeable index first (VIX,CDX) so that the forward contract can be settled.

Third, for commodity forward contract, usually need physical delivery, so that the underlying must be available. For financial forward contract, the settlement is in cash but according to the underlying's prices.

Fourth, forward contract has three pricing theorem, expectation, risk premium, carrying cost(no-arbitrage), but only carrying cost can give exact price.

So in any case, I think your assumption usually does not exist.

best,

Chemist_MZ 发表于 2013-9-15 20:20
Firstly, I should say, this usually can not happen. If the underlying is not available, the forward  ...

谢谢您的解答，老师后来讲的是用supply和demand，所以我想老师想强调的应该是这个最基本的定价，然后引出我国ETF价格变动。