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3#
发表于 2013-4-4 05:59
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Here is the payoff formula in today’s terms: Ft - So*(1+i)^(t)
Look at it this way: You own gold that is worth $100 today. In a year, this amount of gold will be worth $120 according to the futures price curve. You don’t know for sure what the price will be in a year, so you hedge your position and short futures. This means that in one year, you will sell your gold for $120, regardless of what the market is doing.. Now you can be either better off (if the actual price has ended up being less than $120) or worse off (if greater than $120). Your payoff at that point is simply (St-So) + (F-St) = F - So = $20 because you owned the underlying.. and this is a risk-free payoff.. however, if the Futures price has changed, you will have a payoff on futures position as well..
At this point.. I am getting lost in my own thoughts.. so I am losing confidence in my answer.. I would appreciate if I am confirmed or proved otherwise… thanks! |
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