即futures price是一个鞅,其期望值等于spot price。 但是同样的结论对于forward price并不成立,即一般情况下EQ[F(t,T)]≠S(t)。这是由于远期作为一种场外衍生品合约,现金流仅发生在到期日T。为了避免出现套利机会,以forward price为参考价格的远期合约在任何时刻的价值,即风险中性期望均为0,也就是 ...
The price discovery function of futures market is reflected by the guidance relationship between futures price and spot price. 本文结合与加拿大的参照对比,采用协整检验、格兰杰因果检验和方差分解方法分析我国菜籽油期现货价格和加拿大油菜籽期现货价格的关联性,得到结论如下:中加市场上期现货价格存在长期均衡关系,...
Basis 基差:期货价格与实物价格(spot price)之间的差额FT−PT,The convergence property描述的是在到期日时F_T-P_T =0。 Basis Risk基差风险:如果在到期日之前清算,在合同和实物上获得的利润与损失可能无法完全抵消。 Spot-futures parity theorem现货期货平价理论 我们考虑两种方式在未来某时期获得同一个资产 1....
Spot price andfutures pricetrade for the market provided main basis. 现货价格与期货价格为市场交易提供了主要基础. 互联网 If you go short thefutures pricegoes up, you lose money. 你卖空而期货价格上升, 你就赔钱. 互联网 For long and short hedges with futures:futures price+ expected basis. ...
Unbiased estimation,price discovery and market efficiency:Relationship between futures prices and spot prices无偏估计,价格发现与期货市场效率——期货与现货价格关系期货市场价格发现无偏估计市场效率对期货价格和现货价格关系中长期存在的理论和实证研究误区进行了分析与澄清,从理论上证明了在一般情况下期货价格不是未来...
Table 1 shows that the spot and futures price series of all the symbols are non-stationary and they attain stationarity only after differencing.5个回答 表1显示,现货和期货价格系列的所有符号都是非平稳的,他们能达到平稳后,才差分。2013-05-23 12:21:38...
6) futures price and spot price 期现货价格 1. The price discovery function of futures market is reflected by the guidance relationship between futures price and spot price. 本文结合与加拿大的参照对比,采用协整检验、格兰杰因果检验和方差分解方法分析我国菜籽油期现货价格和加拿大油菜籽期现货价格的关联性...
The spot price is thecurrent pricein the marketplace at which a given asset—such as a security, commodity, or currency—can be bought or sold for immediatedelivery. While spot prices are specific to both time and place, in a global economy the spot price of most securities or commodities ...
A.lower than the spot price. B.the same as the spot price. C.higher than the spot price.相关知识点: 试题来源: 解析 C C is correct. When a commodity market is in contango, futures prices are higher than the spot price.【释义】商品市场升水,远期价格高于即期价格反馈...
something can have two prices at once. But it's quite common in the world ofcommodities trading. Every commodity—a basic type of natural or agricultural goods in its natural form, like gold, oil, wheat, or beef—is priced in a couple of ways: its spot price and its futures pri...