Hull课本里关于known income forward pricing的一个疑问

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想问一下Hull的课本page106，讲到有income的forward price。

当forward price低于fair price的时候，中间处理income的过程，我不明白。


就是表格里action in 4 months (i.e., duration内付息的时刻)讲说，要pay income of $40 on asset。
为什么要用这个income去pay on asset呀？asset 不是到期的时候close掉short position就可以了吗？


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关键词：Pricing forward Income Pricin Known position forward income action months

asset price = 900
income =40, occurs at 4 month; life of the forward is 9 month
4month  and 9 month interest rate are 3%, 4% per annum

if forward price =870
Action now:
short 1 unit of asset realise 900
invest 39.6 for 4 month, 860.40 for 9 month
enter into a forward contract to buy the asset in 9 month for 870

action in 4 month
receive 40 from 4 month investment
pay income of 40 on asset

action in 9 month
receive 886.6 from 9 month investment
buy asset for 870 and close out short position

红字部分百思不得其解

coz you have shorted the asset from the start

林壑清 发表于 2010-12-23 05:52
action in 4 month
receive 40 from 4 month investment
pay income of 40 on asset

红字部分百思不得其解

As a short seller, you have to pay some money to the asset holder. Here, it's $40 at 4 months.....

asset 不是到期的时候close掉short position就可以了吗？

Before maturity, the asset holder would receive regular payments (interests, dividends....) from the asset seller (writer), if that's covered in the contract. Hence, the pricing of the asset (security) with dividends has to take that into consideration by discounting the total value of payments.

Ah! I see. The coupon is paid by the shorting party. Thx everyone!