945:
exchange rate between U.S. dollars and
Canadian dollars fluctuates between the trade date and the earlier of the date at which the contract is closed or the expiration date, one party gains and the counterparty loses as one currency strengthens against the other. Sometimes, the buy forward is opened because the investor will actually need Canadian dollars at a future date such as to pay a debt owed that is denominated in Canadian dollars. Other times, the party opening a forward does so, not because they need Canadian dollars nor because they are hedging currency risk, but because they are speculating on the currency, expecting the exchange rate to move favorably to generate a gain on closing the contract.
149:
2199:
890:
881:
36:
5194:
2691:, except they are not exchange-traded, or defined on standardized assets. Forwards also typically have no interim partial settlements or "true-ups" in margin requirements like futures, that is the parties do not exchange additional property securing the party at gain and the entire unrealized gain or loss builds up while the contract is open. Therefore, forward contracts have a significant
1770:. Users of these consumption commodities may feel that there is a benefit from physically holding the asset in inventory as opposed to holding a forward on the asset. These benefits include the ability to "profit from" (hedge against) temporary shortages and the ability to keep a production process running, and are referred to as the
2283:
argued that in general, the natural hedgers of a commodity are those who wish to sell the commodity at a future point in time. Thus, hedgers will collectively hold a net short position in the forward market. The other side of these contracts are held by speculators, who must therefore hold a net long
3668:
opportunity for a riskless profit similar to that discussed above. One implication of this is that the presence of a forward market will force spot prices to reflect current expectations of future prices. As a result, the forward price for nonperishable commodities, securities or currency is no more
2710:
Compared to the futures markets it is very difficult to close out one's position, that is to rescind the forward contract. For instance while being long in a forward contract, entering short into another forward contract might cancel out delivery obligations but adds to credit risk exposure as there
1966:
is the convenience yield over the life of the contract. Since the convenience yield provides a benefit to the holder of the asset but not the holder of the forward, it can be modelled as a type of 'dividend yield'. However, it is important to note that the convenience yield is a non cash item, but
944:
The similar situation works among currency forwards, in which one party opens a forward contract to buy or sell a currency (e.g. a contract to buy
Canadian dollars) to expire/settle at a future date, as they do not wish to be exposed to exchange rate/currency risk over a period of time. As the
1214:, there should be no difference in a perfect capital market between buying the asset today and holding it and buying the forward contract and taking delivery. Thus, both approaches must cost the same in present value terms. For an arbitrage proof of why this is the case, see
1967:
rather reflects the market's expectations concerning future availability of the commodity. If users have low inventories of the commodity, this implies a greater chance of shortage, which means a higher convenience yield. The opposite is true when high inventories exist.
2706:
Having no upfront cashflows is one of the advantages of a forward contract compared to its futures counterpart. Especially when the forward contract is denominated in a foreign currency, not having to post (or receive) daily settlements simplifies cashflow management.
960:
at the current rate—these two amounts are called the notional amount(s)). While the notional amount or reference amount may be a large number, the cost or margin requirement to command or open such a contract is considerably less than that amount, which refers to the
1030:("tradeables"), spot–forward parity provides the link between the spot market and the forward market. It describes the relationship between the spot and forward price of the underlying asset in a forward contract. While the overall effect can be described as the
910:(more below on why the sale price should be this amount). Alice and Bob have entered into a forward contract. Bob, because he is buying the underlying, is said to have entered a long forward contract. Conversely, Alice will have the short forward contract.
3815:
Allaz and Vila (1993) suggest that there is also a strategic reason (in an imperfect competitive environment) for the existence of forward trading, that is, forward trading can be used even in a world without uncertainty. This is due to firms having
2730:
Outright prices, as opposed to premium points or forward points, are quoted in absolute price units. Outrights are used in markets where there is no (unitary) spot price or rate for reference, or where the spot price (rate) is not easily accessible.
1753:
is the continuously compounded storage cost where it is proportional to the price of the commodity, and is hence a 'negative yield'. The intuition here is that because storage costs make the final price higher, we have to add them to the spot price.
1455:
is the continuously compounded dividend yield over the life of the contract. The intuition is that when an asset pays income, there is a benefit to holding the asset rather than the forward because you get to receive this income. Hence the income
3393:, which by hypothesis, is positive. This is an arbitrage profit. Consequently, and assuming that the non-arbitrage condition holds, we have a contradiction. This is called a cash and carry arbitrage because you "carry" the asset until maturity.
3652:
2209:. Hence, a key question is whether or not the current forward price actually predicts the respective spot price in the future. There are a number of different hypotheses which try to explain the relationship between the current forward price,
2757:
is used in the futures markets in a similar way but is contrasted with futures spreads instead of premium points, which is more than just a quoting convention, and in particular involves the simultaneous transaction in two outright futures.
2284:
position. Hedgers are interested in reducing risk, and thus will accept losing money on their forward contracts. Speculators on the other hand, are interested in making a profit, and will hence only enter the contracts if they
1975:
The relationship between the spot and forward price of an asset reflects the net cost of holding (or carrying) that asset relative to holding the forward. Thus, all of the costs and benefits above can be summarised as the
694:
The price of the underlying instrument, in whatever form, is paid before control of the instrument changes. This is one of the many forms of buy/sell orders where the time and date of trade is not the same as the
985:
and place the proceeds in the bank, she wants to be compensated for the delayed sale. Suppose that the risk free rate of return R (the bank rate) for one year is 4%. Then the money in the bank would grow to
3470:. Then an investor can do the reverse of what he has done above in case 1. This means selling one unit of the asset, investing this money into a bank account and entering a long forward contract costing 0.
3477:
page, you will see that if there are finite assets/inventory, the reverse cash and carry arbitrage is not always possible. It would depend on the elasticity of demand for forward contracts and such like.
2178:
3764:
1523:, storage costs must also be considered. Storage costs can be treated as 'negative income', and like income can be discrete or continuous. Hence with storage costs, the relationship becomes:
3669:
a predictor of future price than the spot price is - the relationship between forward and spot prices is driven by interest rates. For perishable commodities, arbitrage does not have this
2085:
871:
Since the final value (at maturity) of a forward position depends on the spot price which will then be prevailing, this contract can be viewed, from a purely financial point of view, as
3468:
3006:
1853:
3391:
2926:
1926:
906:
house that she wishes to sell a year from now. Both parties could enter into a forward contract with each other. Suppose that they both agree on the sale price in one year's time of
2362:
1657:
1590:
1359:
1292:
2673:
2616:
2530:
1181:
3220:
2437:
2722:, that is a drift term that accounts for future rate changes. In futures contracts, this risk remains constant whereas a forward contract's risk changes when rates change.
2480:
866:
818:
3559:
1716:
1418:
3523:
2742:, forwards are usually quoted using premium points or forward points. That is using the spot price or basis rate as reference forwards are quoted as the difference in
2270:
3289:
3256:
2563:
1964:
1751:
1453:
3794:
3316:
3087:
3057:
2791:
2234:
1125:
1098:
768:
671:, is a non-standardized contract between two parties to buy or sell an asset at a specified future time at a price agreed on in the contract, making it a type of
4279:
1683:
1385:
3547:
3161:
3141:
3114:
3026:
2855:
2835:
2815:
2382:
2288:
to make money. Thus, if speculators are holding a net long position, it must be the case that the expected future spot price is greater than the forward price.
1998:
1494:
1474:
1204:
741:
5031:
4943:
4064:
2622:. Forward/futures prices converge with the spot price at maturity, as can be seen from the previous relationships by letting T go to 0 (see also
4008:
4737:
4312:
981:
and that Bob enters into a forward contract to buy the house one year from today. But since Alice knows that she can immediately sell for
646:
2626:); then normal backwardation implies that futures prices for a certain maturity are increasing over time. The opposite situation, where
4742:
1762:
Consumption assets are typically raw material commodities which are used as a source of energy or in a production process, for example
4196:
2092:
5077:
4767:
100:
513:
72:
4899:
79:
3678:
4276:
Allaz, B. and Vila, J.-L., Cournot competition, futures markets and efficiency, Journal of
Economic Theory 59,297-308.
4264:
4027:
4635:
4155:
119:
53:
17:
5137:
4305:
3930:
86:
2007:
639:
3402:
2940:
2711:
are now three parties involved. Closing out a contract almost always involves reaching out to the counterparty.
5219:
5072:
4717:
2719:
1781:
488:
57:
3325:
2860:
1860:
902:
Suppose that Bob wants to buy a house a year from now. At the same time, suppose that Alice currently owns a
615:
437:
68:
4071:
3092:
enter into one short forward contract costing 0. A short forward contract means that the investor owes the
2688:
2297:
1597:
1530:
1496:) must be subtracted to reflect this benefit. An example of an asset which pays discrete income might be a
1299:
1232:
711:, or to allow a party to take advantage of a quality of the underlying instrument which is time-sensitive.
1210:
is the time to maturity. The intuition behind this result is that given you want to own the asset at time
5112:
4650:
4504:
4298:
4096:
163:
2695:
which is also the reason why they are not readily available to retail investors. However, being traded
4909:
4731:
2696:
2629:
2572:
2486:
1133:
632:
389:
3170:
5013:
4824:
4039:
4005:
3647:{\displaystyle F_{t,T}=S_{t}e^{r(T-t)}-FV_{T}({\text{all cash flows over the life of the contract}})}
2700:
2394:
498:
5132:
5127:
2443:
825:
777:
5082:
4782:
4752:
4727:
4610:
4451:
4383:
3864:
3839:
3817:
2750:
between the forward rate and the basis rate for interest rate swaps and forward rate agreements.
2735:
318:
46:
4121:
1688:
1390:
4879:
4864:
4829:
4772:
3489:
2739:
2715:
2679:. Likewise, contango implies that futures prices for a certain maturity are falling over time.
463:
2239:
93:
5092:
4859:
4757:
4436:
4221:
Allaz, Blaise; Vila, Jean-Luc (1993). "Cournot
Competition, Forward Markets and Efficiency".
3261:
3228:
2535:
1934:
1721:
1423:
595:
508:
2734:
Conversely, in markets with easily accessible spot prices or basis rates, in particular the
2183:
1034:, this effect can be broken down into different components, specifically whether the asset:
5046:
5003:
4993:
4983:
4978:
4704:
4645:
4580:
4534:
4529:
4403:
4363:
4330:
4285:
3834:
3772:
3294:
3065:
3035:
2769:
2619:
2212:
2189:
1103:
1076:
966:
746:
672:
442:
345:
8:
5051:
4839:
4762:
4585:
4171:
2743:
2276:
1051:, i.e. an asset held primarily for investment purposes (e.g. gold, financial securities);
933:. Bob has made the difference in profit. In contrast, Alice has made a potential loss of
620:
2205:
The market's opinion about what the spot price of an asset will be in the future is the
1665:
1367:
977:
Continuing on the example above, suppose now that the initial price of Alice's house is
5102:
5087:
5056:
5041:
5008:
4874:
4665:
4630:
4393:
4358:
4321:
3532:
3146:
3126:
3099:
3011:
2840:
2820:
2800:
2367:
1983:
1479:
1459:
1189:
962:
726:
610:
568:
553:
523:
447:
375:
292:
170:
158:
913:
At the end of one year, suppose that the current market valuation of Alice's house is
5107:
5097:
5036:
5023:
4998:
4884:
4670:
4466:
4151:
3474:
1021:
925:. To see why this is so, one needs only to recognize that Bob can buy from Alice for
703:
themselves are exchanged. Forwards, like other derivative securities, can be used to
543:
538:
528:
473:
299:
267:
4988:
4927:
4904:
4834:
4600:
4595:
4567:
4519:
4398:
4338:
3962:
3869:
3854:
1501:
1027:
995:
590:
585:
558:
428:
404:
360:
340:
304:
252:
140:
5198:
5168:
5163:
5117:
4953:
4948:
4894:
4804:
4712:
4685:
4625:
4620:
4590:
4539:
4524:
4441:
4421:
4012:
3859:
3829:
2623:
949:
704:
548:
533:
493:
309:
247:
208:
203:
148:
5173:
5158:
4958:
4869:
4819:
4796:
4777:
4605:
4547:
4514:
4509:
4489:
4413:
3874:
3844:
680:
563:
468:
418:
380:
272:
219:
213:
193:
188:
4259:
Financial
Derivatives: An Introduction to Futures, Forwards, Options and Swaps
5213:
5153:
5122:
4963:
4889:
4849:
4844:
4680:
4552:
4499:
4494:
4476:
4373:
4353:
3849:
3804:
3550:
2837:
is the continuously compounded rate, then the forward price at a future time
1017:
1007:
688:
676:
503:
478:
330:
277:
3966:
4973:
4747:
4675:
4655:
4615:
4484:
4456:
4446:
4388:
3093:
2746:
between the outright price and the spot price for FX, or the difference in
605:
580:
350:
242:
237:
228:
198:
675:. The party agreeing to buy the underlying asset in the future assumes a
4854:
4722:
4693:
4689:
4640:
4431:
4426:
3891:
2747:
2692:
2184:
Relationship between the forward price and the expected future spot price
1505:
708:
600:
413:
370:
365:
355:
262:
179:
3947:
2198:
1058:, i.e. an asset held primarily for consumption (e.g. oil, iron ore etc.)
1038:
pays income, and if so whether this is on a discrete or continuous basis
5178:
4814:
4809:
4575:
4461:
3886:
2794:
2280:
889:
700:
696:
2291:
In other words, the expected payoff to the speculator at maturity is:
1500:, and an example of an asset which pays a continuous yield might be a
972:
880:
4368:
4290:
3820:
incentives to anticipate their production through forward contracts.
3665:
1763:
3163:. Specifically, and mirroring the trades 1., 2. and 3. the investor
2699:, forward contracts specification can be customized and may include
35:
4938:
4660:
4557:
4378:
3658:
2676:
2193:
1767:
679:, and the party agreeing to sell the asset in the future assumes a
325:
1774:. Thus, for consumption assets, the spot-forward relationship is:
994:
one year from now for the contract to be worthwhile for her – the
660:
575:
518:
3120:
The initial cost of the trades at the initial time sum to zero.
5193:
3225:' settles the short forward contract by selling the asset for
3143:
the investor can reverse the trades that were executed at time
1520:
707:
risk (typically currency or exchange rate risk), as a means of
3167:' repays the loan to the bank. The inflow to the investor is
2931:
To prove this, suppose not. Then we have two possible cases.
2714:
Compared to their futures counterparts, forwards (especially
1497:
1206:
is the continuously compounded risk free rate of return, and
257:
3810:
3481:
3008:. Then an investor can execute the following trades at time
2173:{\displaystyle F_{0}=S_{0}e^{cT},{\text{ where }}c=r-q+u-y.}
1516:
483:
3672:
The above forward pricing formula can also be written as:
3062:
with this money from the bank, buy one unit of asset for
917:. Then, because Alice is obliged to sell to Bob for only
4282:
Federal
Reserve Bank of Chicago, Financial Markets Group
723:
depends on the relationship between the delivery price (
4040:"Understanding Forward Contracts vs. Futures Contracts"
3800:
value of all cash flows over the life of the contract.
1685:
the present value of the discrete storage cost at time
3919:, Options, Futures and Other Derivatives (6th edition)
3664:
If these price relationships do not hold, there is an
4280:
4250:
Abraham Lioui & Patrice Poncet (March 30, 2005),
3931:
3775:
3681:
3562:
3535:
3492:
3405:
3328:
3297:
3264:
3231:
3173:
3149:
3129:
3102:
3068:
3038:
3014:
2943:
2863:
2843:
2823:
2803:
2772:
2632:
2575:
2538:
2489:
2446:
2397:
2370:
2300:
2242:
2215:
2095:
2010:
1986:
1937:
1863:
1784:
1724:
1691:
1668:
1600:
1533:
1482:
1462:
1426:
1393:
1370:
1302:
1235:
1192:
1136:
1106:
1079:
828:
780:
749:
729:
3661:from the asset, or costs of maintaining the asset.
973:
Example of how forward prices should be agreed upon
952:of currencies are specified (ex: a contract to buy
60:. Unsourced material may be challenged and removed.
4252:Dynamic Asset Allocation with Forwards and Futures
3788:
3758:
3646:
3541:
3517:
3462:
3385:
3310:
3283:
3250:
3214:
3155:
3135:
3108:
3081:
3051:
3020:
3000:
2920:
2849:
2829:
2809:
2785:
2667:
2610:
2557:
2524:
2474:
2431:
2376:
2356:
2264:
2228:
2172:
2079:
1992:
1958:
1920:
1847:
1745:
1710:
1677:
1651:
1584:
1488:
1468:
1447:
1412:
1379:
1353:
1286:
1198:
1175:
1119:
1092:
860:
812:
762:
735:
3945:
3759:{\displaystyle F_{t,T}=(S_{t}-I_{t})e^{r(T-t)}\,}
1387:the present value of the discrete income at time
5211:
1073:, the relationship between the current forward (
4237:
4150:(2nd ed.). Financial Times/Prentice Hall.
897:
4306:
3948:"Facts and Fantasies about Commodity Futures"
3322:The sum of the inflows in 1.' and 2.' equals
640:
3946:Gorton, Gary; Rouwenhorst, K. Geert (2006).
3638:all cash flows over the life of the contract
956:million Canadian dollars equivalent to, say
2388:Thus, if the speculators expect to profit,
2080:{\displaystyle F_{0}=(S_{0}+U-I)e^{(r-y)T}}
4313:
4299:
4286:Forward Contract Definition - Investopedia
4197:"Instrument Types Available on CME Globex"
3463:{\displaystyle F_{t,T}<S_{t}e^{r(T-t)}}
3032:go to the bank and get a loan with amount
3001:{\displaystyle F_{t,T}>S_{t}e^{r(T-t)}}
2725:
2682:
990:, risk free. So Alice would want at least
691:at the time the contract is entered into.
647:
633:
4220:
3921:, Prentice Hall: New Jersey, USA, 2006, 3
3811:Theories of why a forward contract exists
3755:
3482:Extensions to the forward pricing formula
3258:. The cash inflow to the investor is now
1848:{\displaystyle F_{0}=(S_{0}+U)e^{(r-y)T}}
120:Learn how and when to remove this message
4968:
2197:
5138:Power reverse dual-currency note (PRDC)
5078:Constant proportion portfolio insurance
4145:
3386:{\displaystyle F_{t,T}-S_{t}e^{r(T-t)}}
2921:{\displaystyle F_{t,T}=S_{t}e^{r(T-t)}}
1921:{\displaystyle F_{0}=S_{0}e^{(r+u-y)T}}
929:and immediately sell to the market for
14:
5212:
4320:
4245:Options, Futures and Other Derivatives
4097:"Forward Contract vs Futures Contract"
3913:
3911:
3909:
3907:
3059:at the continuously compounded rate r;
1001:
683:. The price agreed upon is called the
4294:
3657:The cash flows can be in the form of
2357:{\displaystyle E(S_{T}-K)=E(S_{T})-K}
1757:
1652:{\displaystyle F_{0}=S_{0}e^{(r+u)T}}
1585:{\displaystyle F_{0}=(S_{0}+U)e^{rT}}
1354:{\displaystyle F_{0}=S_{0}e^{(r-q)T}}
1287:{\displaystyle F_{0}=(S_{0}-I)e^{rT}}
1215:
5073:Collateralized debt obligation (CDO)
3803:For more details about pricing, see
2236:and the expected future spot price,
1064:
774:For a long position this payoff is:
58:adding citations to reliable sources
29:
3904:
2761:
24:
4270:
1941:
1728:
1430:
25:
5231:
4257:Keith Redhead (31 October 1996),
4122:"Convexity Adjustment Definition"
4006:Contango Vs. Normal Backwardation
2689:very similar to futures contracts
2668:{\displaystyle E(S_{T})<F_{0}}
2611:{\displaystyle E(S_{T})>F_{0}}
2525:{\displaystyle E(S_{T})>F_{0}}
2384:is the delivery price at maturity
1176:{\displaystyle F_{0}=S_{0}e^{rT}}
5192:
3529:at the contract expiration time
3525:is the time value of cash flows
3215:{\displaystyle -S_{t}e^{r(T-t)}}
1970:
1511:For investment assets which are
888:
879:
873:"a bet on the future spot price"
719:The value of a forward position
147:
34:
4214:
4189:
4164:
4146:Steiner, Bob (September 2012).
4139:
4114:
4089:
3996:, Oxford: Clarendon Press, 1939
3935:Federal Reserve Bank of Chicago
3881:Other types of trade contracts:
2432:{\displaystyle E(S_{T})-K>0}
390:Over-the-counter (off-exchange)
45:needs additional citations for
4900:Year-on-year inflation-indexed
4057:
4032:
4021:
3999:
3986:
3973:
3939:
3924:
3750:
3738:
3727:
3701:
3641:
3633:
3612:
3600:
3553:is then given by the formula:
3512:
3506:
3455:
3443:
3378:
3366:
3207:
3195:
2993:
2981:
2913:
2901:
2649:
2636:
2592:
2579:
2506:
2493:
2463:
2450:
2414:
2401:
2345:
2332:
2323:
2304:
2259:
2246:
2069:
2057:
2049:
2024:
1910:
1892:
1837:
1825:
1817:
1798:
1641:
1629:
1566:
1547:
1343:
1331:
1268:
1249:
13:
1:
4910:Zero-coupon inflation-indexed
4265:Forward Contract on Wikinvest
4148:Key Financial Market Concepts
4028:Forward Contract on Wikinvest
2569:This market situation, where
2475:{\displaystyle E(S_{T})>K}
965:created, which is typical in
861:{\displaystyle f_{T}=K-S_{T}}
822:For a short position, it is:
813:{\displaystyle f_{T}=S_{T}-K}
616:Sustainable development goals
4238:General and cited references
3897:
2565:when they enter the contract
1225:, the relationship becomes:
921:, Bob will make a profit of
898:How a forward contract works
743:) and the underlying price (
7:
5113:Foreign exchange derivative
4505:Callable bull/bear contract
4065:"Understanding FX Forwards"
3823:
3291:because the buyer receives
1069:For an asset that provides
948:In a currency forward, the
10:
5236:
4223:Journal of Economic Theory
3955:Financial Analysts Journal
2207:expected future spot price
2187:
1857:Continuous storage costs:
1711:{\displaystyle t_{0}<T}
1413:{\displaystyle t_{0}<T}
1015:
1005:
937:, and an actual profit of
714:
5187:
5146:
5065:
5022:
5014:Stock market index future
4918:
4795:
4703:
4566:
4475:
4412:
4346:
4337:
4328:
3983:, London: Macmillan, 1930
3518:{\displaystyle FV_{T}(X)}
3473:Note: if you look at the
499:Diversification (finance)
5133:Mortgage-backed security
5128:Interest rate derivative
5103:Equity-linked note (ELN)
5088:Credit-linked note (CLN)
2703:and daily margin calls.
2265:{\displaystyle E(S_{T})}
1778:Discrete storage costs:
687:, which is equal to the
5083:Contract for difference
4384:Risk-free interest rate
3967:10.2469/faj.v62.n2.4083
3865:Non-deliverable forward
3840:Forward exchange market
3284:{\displaystyle F_{t,T}}
3251:{\displaystyle F_{t,T}}
2736:Foreign exchange market
2726:Outright versus Premium
2716:Forward Rate Agreements
2683:Futures versus Forwards
2558:{\displaystyle K=F_{0}}
1959:{\displaystyle y\%p.a.}
1746:{\displaystyle u\%p.a.}
1448:{\displaystyle q\%p.a.}
1221:For an asset that pays
4865:Forward Rate Agreement
3790:
3760:
3648:
3543:
3519:
3464:
3387:
3312:
3285:
3252:
3216:
3157:
3137:
3110:
3083:
3053:
3022:
3002:
2922:
2851:
2831:
2811:
2787:
2697:over the counter (OTC)
2687:Forward contracts are
2669:
2612:
2559:
2526:
2476:
2433:
2378:
2358:
2266:
2230:
2202:
2174:
2081:
1994:
1960:
1922:
1849:
1747:
1712:
1679:
1653:
1586:
1490:
1470:
1449:
1414:
1381:
1355:
1288:
1200:
1177:
1121:
1094:
862:
814:
764:
737:
464:Alternative investment
5220:Derivatives (finance)
5093:Credit default option
4437:Employee stock option
4243:John C. Hull (2000),
3791:
3789:{\displaystyle I_{t}}
3761:
3649:
3544:
3520:
3465:
3388:
3313:
3311:{\displaystyle S_{T}}
3286:
3253:
3217:
3158:
3138:
3111:
3084:
3082:{\displaystyle S_{t}}
3054:
3052:{\displaystyle S_{t}}
3023:
3003:
2923:
2852:
2832:
2812:
2788:
2786:{\displaystyle S_{t}}
2720:convexity adjustments
2670:
2613:
2560:
2527:
2477:
2434:
2379:
2359:
2267:
2231:
2229:{\displaystyle F_{0}}
2201:
2175:
2082:
1995:
1961:
1923:
1850:
1748:
1713:
1680:
1654:
1587:
1491:
1471:
1450:
1415:
1382:
1356:
1289:
1201:
1178:
1122:
1120:{\displaystyle S_{0}}
1095:
1093:{\displaystyle F_{0}}
863:
815:
765:
763:{\displaystyle S_{T}}
738:
673:derivative instrument
596:Investment management
509:Environmental finance
5047:Inflation derivative
5032:Commodity derivative
5004:Single-stock futures
4994:Normal backwardation
4984:Interest rate future
4825:Conditional variance
4331:Derivative (finance)
3835:Derivative (finance)
3773:
3679:
3560:
3533:
3490:
3403:
3326:
3295:
3262:
3229:
3171:
3147:
3127:
3100:
3066:
3036:
3012:
2941:
2861:
2841:
2821:
2801:
2797:of an asset at time
2770:
2675:, is referred to as
2630:
2620:normal backwardation
2618:, is referred to as
2573:
2536:
2487:
2444:
2395:
2368:
2298:
2240:
2213:
2190:Normal backwardation
2093:
2008:
1984:
1935:
1861:
1782:
1722:
1689:
1666:
1598:
1531:
1480:
1460:
1424:
1391:
1368:
1300:
1233:
1190:
1134:
1104:
1077:
1041:incurs storage costs
826:
778:
747:
727:
54:improve this article
27:Financial derivative
5199:Business portal
5052:Property derivative
4077:on 24 November 2021
3981:A Treatise on Money
2277:John Maynard Keynes
1002:Spot–forward parity
621:Sustainable finance
135:Part of a series on
5057:Weather derivative
5042:Freight derivative
5024:Exotic derivatives
4944:Commodities future
4631:Intermarket spread
4394:Synthetic position
4322:Derivatives market
4011:2014-07-26 at the
3786:
3756:
3644:
3539:
3515:
3460:
3383:
3318:from the investor.
3308:
3281:
3248:
3212:
3153:
3133:
3106:
3096:the asset at time
3079:
3049:
3018:
2998:
2918:
2847:
2827:
2807:
2783:
2665:
2608:
2555:
2522:
2472:
2429:
2374:
2354:
2262:
2226:
2203:
2170:
2077:
1990:
1956:
1918:
1845:
1758:Consumption assets
1743:
1708:
1678:{\displaystyle U=}
1675:
1649:
1582:
1486:
1466:
1445:
1410:
1380:{\displaystyle I=}
1377:
1351:
1284:
1196:
1173:
1117:
1090:
858:
810:
760:
733:
611:Speculative attack
376:Structured product
69:"Forward contract"
5207:
5206:
5108:Equity derivative
5098:Credit derivative
5066:Other derivatives
5037:Energy derivative
4999:Perpetual futures
4880:Overnight indexed
4830:Constant maturity
4791:
4790:
4738:Finite difference
4671:Protective option
3994:Value and Capital
3639:
3542:{\displaystyle T}
3475:convenience yield
3156:{\displaystyle t}
3136:{\displaystyle T}
3109:{\displaystyle T}
3021:{\displaystyle t}
2850:{\displaystyle T}
2830:{\displaystyle r}
2810:{\displaystyle t}
2693:counterparty risk
2377:{\displaystyle K}
2138:
2137: where
1993:{\displaystyle c}
1772:convenience yield
1489:{\displaystyle q}
1469:{\displaystyle I}
1199:{\displaystyle r}
1065:Investment assets
1056:consumption asset
1022:convenience yield
998:will be covered.
736:{\displaystyle K}
657:
656:
484:Banks and banking
474:Asset (economics)
300:Credit derivative
268:Stock certificate
141:Financial markets
130:
129:
122:
104:
18:Forward (finance)
16:(Redirected from
5227:
5197:
5196:
4969:Forwards pricing
4743:Garman–Kohlhagen
4344:
4343:
4315:
4308:
4301:
4292:
4291:
4247:, Prentice-Hall.
4231:
4230:
4218:
4212:
4211:
4209:
4207:
4193:
4187:
4186:
4184:
4182:
4172:"Forward Points"
4168:
4162:
4161:
4143:
4137:
4136:
4134:
4132:
4118:
4112:
4111:
4109:
4107:
4093:
4087:
4086:
4084:
4082:
4076:
4070:. Archived from
4069:
4061:
4055:
4054:
4052:
4050:
4036:
4030:
4025:
4019:
4003:
3997:
3990:
3984:
3977:
3971:
3970:
3952:
3943:
3937:
3928:
3922:
3915:
3855:Futures contract
3795:
3793:
3792:
3787:
3785:
3784:
3765:
3763:
3762:
3757:
3754:
3753:
3726:
3725:
3713:
3712:
3697:
3696:
3653:
3651:
3650:
3645:
3640:
3637:
3632:
3631:
3616:
3615:
3591:
3590:
3578:
3577:
3548:
3546:
3545:
3540:
3524:
3522:
3521:
3516:
3505:
3504:
3469:
3467:
3466:
3461:
3459:
3458:
3434:
3433:
3421:
3420:
3392:
3390:
3389:
3384:
3382:
3381:
3357:
3356:
3344:
3343:
3317:
3315:
3314:
3309:
3307:
3306:
3290:
3288:
3287:
3282:
3280:
3279:
3257:
3255:
3254:
3249:
3247:
3246:
3221:
3219:
3218:
3213:
3211:
3210:
3186:
3185:
3162:
3160:
3159:
3154:
3142:
3140:
3139:
3134:
3115:
3113:
3112:
3107:
3088:
3086:
3085:
3080:
3078:
3077:
3058:
3056:
3055:
3050:
3048:
3047:
3027:
3025:
3024:
3019:
3007:
3005:
3004:
2999:
2997:
2996:
2972:
2971:
2959:
2958:
2927:
2925:
2924:
2919:
2917:
2916:
2892:
2891:
2879:
2878:
2856:
2854:
2853:
2848:
2836:
2834:
2833:
2828:
2816:
2814:
2813:
2808:
2792:
2790:
2789:
2784:
2782:
2781:
2762:Rational pricing
2674:
2672:
2671:
2666:
2664:
2663:
2648:
2647:
2617:
2615:
2614:
2609:
2607:
2606:
2591:
2590:
2564:
2562:
2561:
2556:
2554:
2553:
2531:
2529:
2528:
2523:
2521:
2520:
2505:
2504:
2481:
2479:
2478:
2473:
2462:
2461:
2438:
2436:
2435:
2430:
2413:
2412:
2383:
2381:
2380:
2375:
2363:
2361:
2360:
2355:
2344:
2343:
2316:
2315:
2271:
2269:
2268:
2263:
2258:
2257:
2235:
2233:
2232:
2227:
2225:
2224:
2179:
2177:
2176:
2171:
2139:
2136:
2131:
2130:
2118:
2117:
2105:
2104:
2086:
2084:
2083:
2078:
2076:
2075:
2036:
2035:
2020:
2019:
1999:
1997:
1996:
1991:
1965:
1963:
1962:
1957:
1927:
1925:
1924:
1919:
1917:
1916:
1886:
1885:
1873:
1872:
1854:
1852:
1851:
1846:
1844:
1843:
1810:
1809:
1794:
1793:
1752:
1750:
1749:
1744:
1717:
1715:
1714:
1709:
1701:
1700:
1684:
1682:
1681:
1676:
1658:
1656:
1655:
1650:
1648:
1647:
1623:
1622:
1610:
1609:
1591:
1589:
1588:
1583:
1581:
1580:
1559:
1558:
1543:
1542:
1502:foreign currency
1495:
1493:
1492:
1487:
1475:
1473:
1472:
1467:
1454:
1452:
1451:
1446:
1419:
1417:
1416:
1411:
1403:
1402:
1386:
1384:
1383:
1378:
1360:
1358:
1357:
1352:
1350:
1349:
1325:
1324:
1312:
1311:
1293:
1291:
1290:
1285:
1283:
1282:
1261:
1260:
1245:
1244:
1216:Rational pricing
1205:
1203:
1202:
1197:
1182:
1180:
1179:
1174:
1172:
1171:
1159:
1158:
1146:
1145:
1126:
1124:
1123:
1118:
1116:
1115:
1099:
1097:
1096:
1091:
1089:
1088:
1049:investment asset
996:opportunity cost
993:
989:
984:
980:
959:
958:US$ 75.2 million
955:
950:notional amounts
940:
936:
932:
928:
924:
920:
916:
909:
905:
892:
883:
867:
865:
864:
859:
857:
856:
838:
837:
819:
817:
816:
811:
803:
802:
790:
789:
770:) at that time.
769:
767:
766:
761:
759:
758:
742:
740:
739:
734:
665:forward contract
649:
642:
635:
591:Impact investing
586:Growth investing
319:Foreign exchange
305:Futures exchange
253:Registered share
151:
132:
131:
125:
118:
114:
111:
105:
103:
62:
38:
30:
21:
5235:
5234:
5230:
5229:
5228:
5226:
5225:
5224:
5210:
5209:
5208:
5203:
5191:
5183:
5169:Great Recession
5164:Government debt
5142:
5118:Fund derivative
5061:
5018:
4979:Futures pricing
4954:Dividend future
4949:Currency future
4932:
4914:
4787:
4763:Put–call parity
4699:
4686:Vertical spread
4621:Diagonal spread
4591:Calendar spread
4562:
4471:
4408:
4333:
4324:
4319:
4273:
4271:Further reading
4261:, Prentice-Hall
4240:
4235:
4234:
4219:
4215:
4205:
4203:
4195:
4194:
4190:
4180:
4178:
4170:
4169:
4165:
4158:
4144:
4140:
4130:
4128:
4120:
4119:
4115:
4105:
4103:
4095:
4094:
4090:
4080:
4078:
4074:
4067:
4063:
4062:
4058:
4048:
4046:
4038:
4037:
4033:
4026:
4022:
4013:Wayback Machine
4004:
4000:
3991:
3987:
3978:
3974:
3950:
3944:
3940:
3929:
3925:
3916:
3905:
3900:
3830:988 transaction
3826:
3813:
3780:
3776:
3774:
3771:
3770:
3734:
3730:
3721:
3717:
3708:
3704:
3686:
3682:
3680:
3677:
3676:
3636:
3627:
3623:
3596:
3592:
3586:
3582:
3567:
3563:
3561:
3558:
3557:
3534:
3531:
3530:
3500:
3496:
3491:
3488:
3487:
3484:
3439:
3435:
3429:
3425:
3410:
3406:
3404:
3401:
3400:
3362:
3358:
3352:
3348:
3333:
3329:
3327:
3324:
3323:
3302:
3298:
3296:
3293:
3292:
3269:
3265:
3263:
3260:
3259:
3236:
3232:
3230:
3227:
3226:
3191:
3187:
3181:
3177:
3172:
3169:
3168:
3148:
3145:
3144:
3128:
3125:
3124:
3101:
3098:
3097:
3073:
3069:
3067:
3064:
3063:
3043:
3039:
3037:
3034:
3033:
3013:
3010:
3009:
2977:
2973:
2967:
2963:
2948:
2944:
2942:
2939:
2938:
2897:
2893:
2887:
2883:
2868:
2864:
2862:
2859:
2858:
2842:
2839:
2838:
2822:
2819:
2818:
2802:
2799:
2798:
2777:
2773:
2771:
2768:
2767:
2764:
2753:Note: The term
2728:
2685:
2659:
2655:
2643:
2639:
2631:
2628:
2627:
2602:
2598:
2586:
2582:
2574:
2571:
2570:
2549:
2545:
2537:
2534:
2533:
2516:
2512:
2500:
2496:
2488:
2485:
2484:
2457:
2453:
2445:
2442:
2441:
2408:
2404:
2396:
2393:
2392:
2369:
2366:
2365:
2339:
2335:
2311:
2307:
2299:
2296:
2295:
2275:The economists
2253:
2249:
2241:
2238:
2237:
2220:
2216:
2214:
2211:
2210:
2196:
2188:Main articles:
2186:
2135:
2123:
2119:
2113:
2109:
2100:
2096:
2094:
2091:
2090:
2056:
2052:
2031:
2027:
2015:
2011:
2009:
2006:
2005:
1985:
1982:
1981:
1973:
1936:
1933:
1932:
1891:
1887:
1881:
1877:
1868:
1864:
1862:
1859:
1858:
1824:
1820:
1805:
1801:
1789:
1785:
1783:
1780:
1779:
1760:
1723:
1720:
1719:
1696:
1692:
1690:
1687:
1686:
1667:
1664:
1663:
1628:
1624:
1618:
1614:
1605:
1601:
1599:
1596:
1595:
1573:
1569:
1554:
1550:
1538:
1534:
1532:
1529:
1528:
1481:
1478:
1477:
1461:
1458:
1457:
1425:
1422:
1421:
1398:
1394:
1392:
1389:
1388:
1369:
1366:
1365:
1330:
1326:
1320:
1316:
1307:
1303:
1301:
1298:
1297:
1275:
1271:
1256:
1252:
1240:
1236:
1234:
1231:
1230:
1191:
1188:
1187:
1164:
1160:
1154:
1150:
1141:
1137:
1135:
1132:
1131:
1111:
1107:
1105:
1102:
1101:
1084:
1080:
1078:
1075:
1074:
1067:
1044:is regarded as
1024:
1010:
1004:
991:
987:
982:
978:
975:
957:
953:
938:
934:
930:
926:
922:
918:
914:
907:
903:
900:
893:
884:
852:
848:
833:
829:
827:
824:
823:
798:
794:
785:
781:
779:
776:
775:
754:
750:
748:
745:
744:
728:
725:
724:
717:
653:
494:Climate finance
423:
409:
337:
336:
316:
315:
310:Hybrid security
248:Preferred stock
218:
209:High-yield debt
204:Government bond
126:
115:
109:
106:
63:
61:
51:
39:
28:
23:
22:
15:
12:
11:
5:
5233:
5223:
5222:
5205:
5204:
5202:
5201:
5188:
5185:
5184:
5182:
5181:
5176:
5174:Municipal debt
5171:
5166:
5161:
5159:Corporate debt
5156:
5150:
5148:
5144:
5143:
5141:
5140:
5135:
5130:
5125:
5120:
5115:
5110:
5105:
5100:
5095:
5090:
5085:
5080:
5075:
5069:
5067:
5063:
5062:
5060:
5059:
5054:
5049:
5044:
5039:
5034:
5028:
5026:
5020:
5019:
5017:
5016:
5011:
5006:
5001:
4996:
4991:
4986:
4981:
4976:
4971:
4966:
4961:
4959:Forward market
4956:
4951:
4946:
4941:
4935:
4933:
4931:
4930:
4925:
4919:
4916:
4915:
4913:
4912:
4907:
4902:
4897:
4892:
4887:
4882:
4877:
4872:
4867:
4862:
4857:
4852:
4847:
4842:
4840:Credit default
4837:
4832:
4827:
4822:
4817:
4812:
4807:
4801:
4799:
4793:
4792:
4789:
4788:
4786:
4785:
4780:
4775:
4770:
4765:
4760:
4755:
4750:
4745:
4740:
4735:
4725:
4720:
4715:
4709:
4707:
4701:
4700:
4698:
4697:
4683:
4678:
4673:
4668:
4663:
4658:
4653:
4648:
4643:
4638:
4636:Iron butterfly
4633:
4628:
4623:
4618:
4613:
4608:
4606:Covered option
4603:
4598:
4593:
4588:
4583:
4578:
4572:
4570:
4564:
4563:
4561:
4560:
4555:
4550:
4545:
4544:Mountain range
4542:
4537:
4532:
4527:
4522:
4517:
4512:
4507:
4502:
4497:
4492:
4487:
4481:
4479:
4473:
4472:
4470:
4469:
4464:
4459:
4454:
4449:
4444:
4439:
4434:
4429:
4424:
4418:
4416:
4410:
4409:
4407:
4406:
4401:
4396:
4391:
4386:
4381:
4376:
4371:
4366:
4361:
4356:
4350:
4348:
4341:
4335:
4334:
4329:
4326:
4325:
4318:
4317:
4310:
4303:
4295:
4289:
4288:
4283:
4277:
4272:
4269:
4268:
4267:
4262:
4255:
4248:
4239:
4236:
4233:
4232:
4213:
4188:
4163:
4156:
4138:
4113:
4088:
4056:
4031:
4020:
3998:
3985:
3972:
3938:
3923:
3902:
3901:
3899:
3896:
3895:
3894:
3889:
3878:
3877:
3875:Swap (finance)
3872:
3867:
3862:
3857:
3852:
3847:
3845:Forward market
3842:
3837:
3832:
3825:
3822:
3812:
3809:
3783:
3779:
3767:
3766:
3752:
3749:
3746:
3743:
3740:
3737:
3733:
3729:
3724:
3720:
3716:
3711:
3707:
3703:
3700:
3695:
3692:
3689:
3685:
3655:
3654:
3643:
3635:
3630:
3626:
3622:
3619:
3614:
3611:
3608:
3605:
3602:
3599:
3595:
3589:
3585:
3581:
3576:
3573:
3570:
3566:
3538:
3514:
3511:
3508:
3503:
3499:
3495:
3483:
3480:
3457:
3454:
3451:
3448:
3445:
3442:
3438:
3432:
3428:
3424:
3419:
3416:
3413:
3409:
3380:
3377:
3374:
3371:
3368:
3365:
3361:
3355:
3351:
3347:
3342:
3339:
3336:
3332:
3320:
3319:
3305:
3301:
3278:
3275:
3272:
3268:
3245:
3242:
3239:
3235:
3223:
3209:
3206:
3203:
3200:
3197:
3194:
3190:
3184:
3180:
3176:
3152:
3132:
3118:
3117:
3105:
3090:
3076:
3072:
3060:
3046:
3042:
3017:
2995:
2992:
2989:
2986:
2983:
2980:
2976:
2970:
2966:
2962:
2957:
2954:
2951:
2947:
2915:
2912:
2909:
2906:
2903:
2900:
2896:
2890:
2886:
2882:
2877:
2874:
2871:
2867:
2846:
2826:
2806:
2780:
2776:
2763:
2760:
2727:
2724:
2701:mark-to-market
2684:
2681:
2662:
2658:
2654:
2651:
2646:
2642:
2638:
2635:
2605:
2601:
2597:
2594:
2589:
2585:
2581:
2578:
2567:
2566:
2552:
2548:
2544:
2541:
2519:
2515:
2511:
2508:
2503:
2499:
2495:
2492:
2482:
2471:
2468:
2465:
2460:
2456:
2452:
2449:
2439:
2428:
2425:
2422:
2419:
2416:
2411:
2407:
2403:
2400:
2386:
2385:
2373:
2353:
2350:
2347:
2342:
2338:
2334:
2331:
2328:
2325:
2322:
2319:
2314:
2310:
2306:
2303:
2261:
2256:
2252:
2248:
2245:
2223:
2219:
2185:
2182:
2181:
2180:
2169:
2166:
2163:
2160:
2157:
2154:
2151:
2148:
2145:
2142:
2134:
2129:
2126:
2122:
2116:
2112:
2108:
2103:
2099:
2087:
2074:
2071:
2068:
2065:
2062:
2059:
2055:
2051:
2048:
2045:
2042:
2039:
2034:
2030:
2026:
2023:
2018:
2014:
1989:
1972:
1969:
1955:
1952:
1949:
1946:
1943:
1940:
1929:
1928:
1915:
1912:
1909:
1906:
1903:
1900:
1897:
1894:
1890:
1884:
1880:
1876:
1871:
1867:
1855:
1842:
1839:
1836:
1833:
1830:
1827:
1823:
1819:
1816:
1813:
1808:
1804:
1800:
1797:
1792:
1788:
1759:
1756:
1742:
1739:
1736:
1733:
1730:
1727:
1707:
1704:
1699:
1695:
1674:
1671:
1660:
1659:
1646:
1643:
1640:
1637:
1634:
1631:
1627:
1621:
1617:
1613:
1608:
1604:
1592:
1579:
1576:
1572:
1568:
1565:
1562:
1557:
1553:
1549:
1546:
1541:
1537:
1485:
1465:
1444:
1441:
1438:
1435:
1432:
1429:
1409:
1406:
1401:
1397:
1376:
1373:
1362:
1361:
1348:
1345:
1342:
1339:
1336:
1333:
1329:
1323:
1319:
1315:
1310:
1306:
1294:
1281:
1278:
1274:
1270:
1267:
1264:
1259:
1255:
1251:
1248:
1243:
1239:
1195:
1184:
1183:
1170:
1167:
1163:
1157:
1153:
1149:
1144:
1140:
1114:
1110:
1087:
1083:
1066:
1063:
1062:
1061:
1060:
1059:
1052:
1042:
1039:
1006:Main article:
1003:
1000:
974:
971:
899:
896:
895:
894:
887:
885:
878:
869:
868:
855:
851:
847:
844:
841:
836:
832:
820:
809:
806:
801:
797:
793:
788:
784:
757:
753:
732:
716:
713:
685:delivery price
681:short position
667:, or simply a
655:
654:
652:
651:
644:
637:
629:
626:
625:
624:
623:
618:
613:
608:
603:
598:
593:
588:
583:
578:
573:
572:
571:
566:
561:
556:
551:
546:
541:
536:
531:
526:
516:
511:
506:
501:
496:
491:
486:
481:
476:
471:
469:Angel investor
466:
458:
457:
453:
452:
451:
450:
445:
440:
432:
431:
425:
424:
422:
421:
416:
410:
408:
407:
402:
396:
393:
392:
386:
385:
384:
383:
381:Swap (finance)
378:
373:
368:
363:
358:
353:
348:
343:
335:
334:
328:
321:
317:
314:
313:
307:
302:
295:
291:
288:
287:
283:
282:
281:
280:
275:
273:Stock exchange
270:
265:
260:
255:
250:
245:
240:
232:
231:
225:
224:
223:
222:
220:Securitization
216:
214:Municipal bond
211:
206:
201:
196:
194:Corporate bond
191:
189:Bond valuation
183:
182:
176:
175:
174:
173:
161:
153:
152:
144:
143:
137:
136:
128:
127:
42:
40:
33:
26:
9:
6:
4:
3:
2:
5232:
5221:
5218:
5217:
5215:
5200:
5195:
5190:
5189:
5186:
5180:
5177:
5175:
5172:
5170:
5167:
5165:
5162:
5160:
5157:
5155:
5154:Consumer debt
5152:
5151:
5149:
5147:Market issues
5145:
5139:
5136:
5134:
5131:
5129:
5126:
5124:
5123:Fund of funds
5121:
5119:
5116:
5114:
5111:
5109:
5106:
5104:
5101:
5099:
5096:
5094:
5091:
5089:
5086:
5084:
5081:
5079:
5076:
5074:
5071:
5070:
5068:
5064:
5058:
5055:
5053:
5050:
5048:
5045:
5043:
5040:
5038:
5035:
5033:
5030:
5029:
5027:
5025:
5021:
5015:
5012:
5010:
5007:
5005:
5002:
5000:
4997:
4995:
4992:
4990:
4987:
4985:
4982:
4980:
4977:
4975:
4972:
4970:
4967:
4965:
4964:Forward price
4962:
4960:
4957:
4955:
4952:
4950:
4947:
4945:
4942:
4940:
4937:
4936:
4934:
4929:
4926:
4924:
4921:
4920:
4917:
4911:
4908:
4906:
4903:
4901:
4898:
4896:
4893:
4891:
4888:
4886:
4883:
4881:
4878:
4876:
4875:Interest rate
4873:
4871:
4868:
4866:
4863:
4861:
4858:
4856:
4853:
4851:
4848:
4846:
4843:
4841:
4838:
4836:
4833:
4831:
4828:
4826:
4823:
4821:
4818:
4816:
4813:
4811:
4808:
4806:
4803:
4802:
4800:
4798:
4794:
4784:
4781:
4779:
4776:
4774:
4771:
4769:
4768:MC Simulation
4766:
4764:
4761:
4759:
4756:
4754:
4751:
4749:
4746:
4744:
4741:
4739:
4736:
4733:
4729:
4728:Black–Scholes
4726:
4724:
4721:
4719:
4716:
4714:
4711:
4710:
4708:
4706:
4702:
4695:
4691:
4687:
4684:
4682:
4681:Risk reversal
4679:
4677:
4674:
4672:
4669:
4667:
4664:
4662:
4659:
4657:
4654:
4652:
4649:
4647:
4644:
4642:
4639:
4637:
4634:
4632:
4629:
4627:
4624:
4622:
4619:
4617:
4614:
4612:
4611:Credit spread
4609:
4607:
4604:
4602:
4599:
4597:
4594:
4592:
4589:
4587:
4584:
4582:
4579:
4577:
4574:
4573:
4571:
4569:
4565:
4559:
4556:
4554:
4551:
4549:
4546:
4543:
4541:
4538:
4536:
4535:Interest rate
4533:
4531:
4530:Forward start
4528:
4526:
4523:
4521:
4518:
4516:
4513:
4511:
4508:
4506:
4503:
4501:
4498:
4496:
4493:
4491:
4488:
4486:
4483:
4482:
4480:
4478:
4474:
4468:
4465:
4463:
4460:
4458:
4457:Option styles
4455:
4453:
4450:
4448:
4445:
4443:
4440:
4438:
4435:
4433:
4430:
4428:
4425:
4423:
4420:
4419:
4417:
4415:
4411:
4405:
4402:
4400:
4397:
4395:
4392:
4390:
4387:
4385:
4382:
4380:
4377:
4375:
4374:Open interest
4372:
4370:
4367:
4365:
4362:
4360:
4357:
4355:
4354:Delta neutral
4352:
4351:
4349:
4345:
4342:
4340:
4336:
4332:
4327:
4323:
4316:
4311:
4309:
4304:
4302:
4297:
4296:
4293:
4287:
4284:
4281:
4278:
4275:
4274:
4266:
4263:
4260:
4256:
4253:
4249:
4246:
4242:
4241:
4228:
4224:
4217:
4202:
4198:
4192:
4177:
4173:
4167:
4159:
4157:9780273750284
4153:
4149:
4142:
4127:
4123:
4117:
4102:
4098:
4092:
4073:
4066:
4060:
4045:
4041:
4035:
4029:
4024:
4018:
4014:
4010:
4007:
4002:
3995:
3989:
3982:
3979:J.M. Keynes,
3976:
3968:
3964:
3960:
3956:
3949:
3942:
3936:
3932:
3927:
3920:
3914:
3912:
3910:
3908:
3903:
3893:
3890:
3888:
3885:
3884:
3883:
3882:
3876:
3873:
3871:
3868:
3866:
3863:
3861:
3858:
3856:
3853:
3851:
3850:Forward price
3848:
3846:
3843:
3841:
3838:
3836:
3833:
3831:
3828:
3827:
3821:
3819:
3808:
3806:
3805:forward price
3801:
3799:
3781:
3777:
3747:
3744:
3741:
3735:
3731:
3722:
3718:
3714:
3709:
3705:
3698:
3693:
3690:
3687:
3683:
3675:
3674:
3673:
3670:
3667:
3662:
3660:
3628:
3624:
3620:
3617:
3609:
3606:
3603:
3597:
3593:
3587:
3583:
3579:
3574:
3571:
3568:
3564:
3556:
3555:
3554:
3552:
3551:forward price
3536:
3528:
3509:
3501:
3497:
3493:
3486:Suppose that
3479:
3476:
3471:
3452:
3449:
3446:
3440:
3436:
3430:
3426:
3422:
3417:
3414:
3411:
3407:
3399:Suppose that
3398:
3394:
3375:
3372:
3369:
3363:
3359:
3353:
3349:
3345:
3340:
3337:
3334:
3330:
3303:
3299:
3276:
3273:
3270:
3266:
3243:
3240:
3237:
3233:
3224:
3204:
3201:
3198:
3192:
3188:
3182:
3178:
3174:
3166:
3165:
3164:
3150:
3130:
3121:
3103:
3095:
3091:
3074:
3070:
3061:
3044:
3040:
3031:
3030:
3029:
3015:
2990:
2987:
2984:
2978:
2974:
2968:
2964:
2960:
2955:
2952:
2949:
2945:
2937:Suppose that
2936:
2932:
2929:
2910:
2907:
2904:
2898:
2894:
2888:
2884:
2880:
2875:
2872:
2869:
2865:
2857:must satisfy
2844:
2824:
2804:
2796:
2778:
2774:
2759:
2756:
2751:
2749:
2745:
2741:
2737:
2732:
2723:
2721:
2717:
2712:
2708:
2704:
2702:
2698:
2694:
2690:
2680:
2678:
2660:
2656:
2652:
2644:
2640:
2633:
2625:
2621:
2603:
2599:
2595:
2587:
2583:
2576:
2550:
2546:
2542:
2539:
2517:
2513:
2509:
2501:
2497:
2490:
2483:
2469:
2466:
2458:
2454:
2447:
2440:
2426:
2423:
2420:
2417:
2409:
2405:
2398:
2391:
2390:
2389:
2371:
2351:
2348:
2340:
2336:
2329:
2326:
2320:
2317:
2312:
2308:
2301:
2294:
2293:
2292:
2289:
2287:
2282:
2278:
2273:
2254:
2250:
2243:
2221:
2217:
2208:
2200:
2195:
2191:
2167:
2164:
2161:
2158:
2155:
2152:
2149:
2146:
2143:
2140:
2132:
2127:
2124:
2120:
2114:
2110:
2106:
2101:
2097:
2088:
2072:
2066:
2063:
2060:
2053:
2046:
2043:
2040:
2037:
2032:
2028:
2021:
2016:
2012:
2003:
2002:
2001:
1987:
1979:
1978:cost of carry
1971:Cost of carry
1968:
1953:
1950:
1947:
1944:
1938:
1913:
1907:
1904:
1901:
1898:
1895:
1888:
1882:
1878:
1874:
1869:
1865:
1856:
1840:
1834:
1831:
1828:
1821:
1814:
1811:
1806:
1802:
1795:
1790:
1786:
1777:
1776:
1775:
1773:
1769:
1765:
1755:
1740:
1737:
1734:
1731:
1725:
1705:
1702:
1697:
1693:
1672:
1669:
1644:
1638:
1635:
1632:
1625:
1619:
1615:
1611:
1606:
1602:
1593:
1577:
1574:
1570:
1563:
1560:
1555:
1551:
1544:
1539:
1535:
1526:
1525:
1524:
1522:
1518:
1514:
1509:
1507:
1503:
1499:
1483:
1463:
1442:
1439:
1436:
1433:
1427:
1407:
1404:
1399:
1395:
1374:
1371:
1346:
1340:
1337:
1334:
1327:
1321:
1317:
1313:
1308:
1304:
1295:
1279:
1276:
1272:
1265:
1262:
1257:
1253:
1246:
1241:
1237:
1228:
1227:
1226:
1224:
1219:
1217:
1213:
1209:
1193:
1168:
1165:
1161:
1155:
1151:
1147:
1142:
1138:
1130:
1129:
1128:
1112:
1108:
1085:
1081:
1072:
1057:
1053:
1050:
1046:
1045:
1043:
1040:
1037:
1036:
1035:
1033:
1032:cost of carry
1029:
1028:liquid assets
1023:
1019:
1018:Cost of carry
1014:
1013:
1009:
1008:Forward price
999:
997:
970:
968:
964:
951:
946:
942:
911:
891:
886:
882:
877:
876:
875:
874:
853:
849:
845:
842:
839:
834:
830:
821:
807:
804:
799:
795:
791:
786:
782:
773:
772:
771:
755:
751:
730:
722:
712:
710:
706:
702:
698:
692:
690:
689:forward price
686:
682:
678:
677:long position
674:
670:
666:
662:
650:
645:
643:
638:
636:
631:
630:
628:
627:
622:
619:
617:
614:
612:
609:
607:
604:
602:
599:
597:
594:
592:
589:
587:
584:
582:
579:
577:
574:
570:
567:
565:
562:
560:
557:
555:
552:
550:
547:
545:
542:
540:
537:
535:
532:
530:
527:
525:
522:
521:
520:
517:
515:
512:
510:
507:
505:
504:Eco-investing
502:
500:
497:
495:
492:
490:
487:
485:
482:
480:
479:Asset pricing
477:
475:
472:
470:
467:
465:
462:
461:
460:
459:
456:Related areas
455:
454:
449:
446:
444:
441:
439:
436:
435:
434:
433:
430:
427:
426:
420:
417:
415:
412:
411:
406:
403:
401:
398:
397:
395:
394:
391:
388:
387:
382:
379:
377:
374:
372:
369:
367:
364:
362:
359:
357:
354:
352:
349:
347:
344:
342:
339:
338:
332:
331:Exchange rate
329:
327:
323:
322:
320:
311:
308:
306:
303:
301:
297:
296:
294:
290:
289:
286:Other markets
285:
284:
279:
278:Watered stock
276:
274:
271:
269:
266:
264:
261:
259:
256:
254:
251:
249:
246:
244:
241:
239:
236:
235:
234:
233:
230:
227:
226:
221:
217:
215:
212:
210:
207:
205:
202:
200:
197:
195:
192:
190:
187:
186:
185:
184:
181:
178:
177:
172:
169:
165:
162:
160:
159:Public market
157:
156:
155:
154:
150:
146:
145:
142:
139:
138:
134:
133:
124:
121:
113:
102:
99:
95:
92:
88:
85:
81:
78:
74:
71: –
70:
66:
65:Find sources:
59:
55:
49:
48:
43:This article
41:
37:
32:
31:
19:
4974:Forward rate
4922:
4885:Total return
4773:Real options
4676:Ratio spread
4656:Naked option
4616:Debit spread
4447:Fixed income
4389:Strike price
4258:
4251:
4244:
4226:
4222:
4216:
4204:. Retrieved
4200:
4191:
4179:. Retrieved
4176:Investopedia
4175:
4166:
4147:
4141:
4129:. Retrieved
4126:Investopedia
4125:
4116:
4104:. Retrieved
4100:
4091:
4079:. Retrieved
4072:the original
4059:
4047:. Retrieved
4044:Investopedia
4043:
4034:
4023:
4017:Investopedia
4016:
4001:
3993:
3992:J.R. Hicks,
3988:
3980:
3975:
3961:(2): 47–68.
3958:
3954:
3941:
3934:
3926:
3918:
3880:
3879:
3814:
3802:
3797:
3796:is the time
3768:
3671:
3663:
3656:
3526:
3485:
3472:
3396:
3395:
3321:
3122:
3119:
3094:counterparty
2934:
2933:
2930:
2765:
2754:
2752:
2748:basis points
2733:
2729:
2713:
2709:
2705:
2686:
2568:
2387:
2290:
2285:
2274:
2206:
2204:
2089:Continuous:
2004:Discrete:
1977:
1974:
1930:
1771:
1761:
1661:
1594:Continuous:
1512:
1510:
1363:
1296:Continuous:
1223:known income
1222:
1220:
1211:
1207:
1185:
1127:) prices is
1100:) and spot (
1070:
1068:
1055:
1048:
1031:
1025:
1012:
1011:
976:
947:
943:
912:
901:
872:
870:
720:
718:
693:
684:
668:
664:
658:
606:Market trend
581:Greenwashing
438:Participants
399:
243:Growth stock
238:Common stock
229:Stock market
199:Fixed income
167:
116:
107:
97:
90:
83:
76:
64:
52:Please help
47:verification
44:
4905:Zero Coupon
4835:Correlation
4783:Vanna–Volga
4641:Iron condor
4427:Bond option
3917:John C Hull
3892:Spot market
3818:Stackelberg
1513:commodities
1506:stock index
969:contracts.
721:at maturity
709:speculation
601:Market risk
414:Spot market
371:Reinsurance
366:Real estate
356:Mutual fund
293:Derivatives
263:Stockbroker
180:Bond market
5179:Tax policy
4895:Volatility
4805:Amortising
4646:Jelly roll
4581:Box spread
4576:Backspread
4568:Strategies
4404:Volatility
4399:the Greeks
4364:Expiration
4254:, Springer
4229:(1): 1–16.
4201:CME Globex
3887:Spot price
2795:spot price
2740:OIS market
2281:John Hicks
1527:Discrete:
1515:, such as
1229:Discrete:
1016:See also:
967:derivative
701:securities
699:where the
697:value date
443:Regulation
171:Securities
80:newspapers
4870:Inflation
4820:Commodity
4778:Trinomial
4713:Bachelier
4705:Valuation
4586:Butterfly
4520:Commodore
4369:Moneyness
3898:Citations
3745:−
3715:−
3666:arbitrage
3659:dividends
3618:−
3607:−
3450:−
3373:−
3346:−
3202:−
3175:−
2988:−
2908:−
2418:−
2349:−
2318:−
2162:−
2150:−
2064:−
2044:−
2000:. Hence,
1942:%
1905:−
1832:−
1764:crude oil
1729:%
1431:%
1338:−
1263:−
1071:no income
992:$ 104,000
988:$ 104,000
983:$ 100,000
979:$ 100,000
931:$ 110,000
927:$ 104,000
919:$ 104,000
915:$ 110,000
908:$ 104,000
904:$ 100,000
846:−
805:−
544:corporate
519:Financial
341:Commodity
110:July 2008
5214:Category
5009:Slippage
4939:Contango
4923:Forwards
4890:Variance
4850:Dividend
4845:Currency
4758:Margrabe
4753:Lattices
4732:equation
4718:Binomial
4666:Strangle
4661:Straddle
4558:Swaption
4540:Lookback
4525:Compound
4467:Warrants
4442:European
4422:American
4414:Vanillas
4379:Pin risk
4359:Exercise
4009:Archived
3824:See also
3123:At time
2755:outright
2677:contango
2364:, where
2194:Contango
1768:iron ore
963:leverage
569:services
559:personal
554:forecast
524:analysis
448:Clearing
400:Forwards
326:Currency
164:Exchange
4928:Futures
4548:Rainbow
4515:Cliquet
4510:Chooser
4490:Barrier
4477:Exotics
4339:Options
4206:29 June
4181:29 June
4131:28 June
4106:28 June
4081:28 June
4049:28 June
3860:Hedging
3397:Case 2:
2935:Case 1:
2793:is the
2718:) need
1218:below.
939:$ 4,000
935:$ 6,000
923:$ 6,000
715:Payoffs
669:forward
661:finance
576:Fintech
539:betting
529:analyst
429:Trading
405:Options
94:scholar
4989:Margin
4855:Equity
4748:Heston
4651:Ladder
4601:Condor
4596:Collar
4553:Spread
4500:Binary
4495:Basket
4154:
4101:Diffen
3870:Option
3769:Where
3549:. The
2817:, and
2286:expect
1931:where
1718:, and
1662:where
1521:silver
1420:, and
1364:where
1186:where
564:public
361:Option
166:
96:
89:
82:
75:
67:
4860:Forex
4815:Basis
4810:Asset
4797:Swaps
4723:Black
4626:Fence
4485:Asian
4347:Terms
4075:(PDF)
4068:(PDF)
3951:(PDF)
2624:basis
2532:, as
1504:or a
1498:stock
1054:or a
954:$ 100
705:hedge
549:crime
534:asset
419:Swaps
351:Money
258:Stock
101:JSTOR
87:books
4694:Bull
4690:Bear
4432:Call
4208:2020
4183:2020
4152:ISBN
4133:2020
4108:2020
4083:2020
4051:2020
3423:<
2961:>
2744:pips
2738:and
2653:<
2596:>
2510:>
2467:>
2424:>
2279:and
2192:and
1703:<
1519:and
1517:gold
1405:<
1026:For
1020:and
663:, a
489:Bull
73:news
4462:Put
3963:doi
2766:If
1766:or
1476:or
1047:an
659:In
514:ESG
346:ETF
56:by
5216::
4692:,
4452:FX
4227:59
4225:.
4199:.
4174:.
4124:.
4099:.
4042:.
4015:,
3959:62
3957:.
3953:.
3933:,
3906:^
3807:.
3028::
2928:.
2272:.
1980:,
1508:.
941:.
4734:)
4730:(
4696:)
4688:(
4314:e
4307:t
4300:v
4210:.
4185:.
4160:.
4135:.
4110:.
4085:.
4053:.
3969:.
3965::
3798:t
3782:t
3778:I
3751:)
3748:t
3742:T
3739:(
3736:r
3732:e
3728:)
3723:t
3719:I
3710:t
3706:S
3702:(
3699:=
3694:T
3691:,
3688:t
3684:F
3642:)
3634:(
3629:T
3625:V
3621:F
3613:)
3610:t
3604:T
3601:(
3598:r
3594:e
3588:t
3584:S
3580:=
3575:T
3572:,
3569:t
3565:F
3537:T
3527:X
3513:)
3510:X
3507:(
3502:T
3498:V
3494:F
3456:)
3453:t
3447:T
3444:(
3441:r
3437:e
3431:t
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3415:,
3412:t
3408:F
3379:)
3376:t
3370:T
3367:(
3364:r
3360:e
3354:t
3350:S
3341:T
3338:,
3335:t
3331:F
3304:T
3300:S
3277:T
3274:,
3271:t
3267:F
3244:T
3241:,
3238:t
3234:F
3222:;
3208:)
3205:t
3199:T
3196:(
3193:r
3189:e
3183:t
3179:S
3151:t
3131:T
3116:.
3104:T
3089:;
3075:t
3071:S
3045:t
3041:S
3016:t
2994:)
2991:t
2985:T
2982:(
2979:r
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2950:t
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2914:)
2911:t
2905:T
2902:(
2899:r
2895:e
2889:t
2885:S
2881:=
2876:T
2873:,
2870:t
2866:F
2845:T
2825:r
2805:t
2779:t
2775:S
2661:0
2657:F
2650:)
2645:T
2641:S
2637:(
2634:E
2604:0
2600:F
2593:)
2588:T
2584:S
2580:(
2577:E
2551:0
2547:F
2543:=
2540:K
2518:0
2514:F
2507:)
2502:T
2498:S
2494:(
2491:E
2470:K
2464:)
2459:T
2455:S
2451:(
2448:E
2427:0
2421:K
2415:)
2410:T
2406:S
2402:(
2399:E
2372:K
2352:K
2346:)
2341:T
2337:S
2333:(
2330:E
2327:=
2324:)
2321:K
2313:T
2309:S
2305:(
2302:E
2260:)
2255:T
2251:S
2247:(
2244:E
2222:0
2218:F
2168:.
2165:y
2159:u
2156:+
2153:q
2147:r
2144:=
2141:c
2133:,
2128:T
2125:c
2121:e
2115:0
2111:S
2107:=
2102:0
2098:F
2073:T
2070:)
2067:y
2061:r
2058:(
2054:e
2050:)
2047:I
2041:U
2038:+
2033:0
2029:S
2025:(
2022:=
2017:0
2013:F
1988:c
1954:.
1951:a
1948:.
1945:p
1939:y
1914:T
1911:)
1908:y
1902:u
1899:+
1896:r
1893:(
1889:e
1883:0
1879:S
1875:=
1870:0
1866:F
1841:T
1838:)
1835:y
1829:r
1826:(
1822:e
1818:)
1815:U
1812:+
1807:0
1803:S
1799:(
1796:=
1791:0
1787:F
1741:.
1738:a
1735:.
1732:p
1726:u
1706:T
1698:0
1694:t
1673:=
1670:U
1645:T
1642:)
1639:u
1636:+
1633:r
1630:(
1626:e
1620:0
1616:S
1612:=
1607:0
1603:F
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1575:r
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1567:)
1564:U
1561:+
1556:0
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1548:(
1545:=
1540:0
1536:F
1484:q
1464:I
1456:(
1443:.
1440:a
1437:.
1434:p
1428:q
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1400:0
1396:t
1375:=
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1341:q
1335:r
1332:(
1328:e
1322:0
1318:S
1314:=
1309:0
1305:F
1280:T
1277:r
1273:e
1269:)
1266:I
1258:0
1254:S
1250:(
1247:=
1242:0
1238:F
1212:T
1208:T
1194:r
1169:T
1166:r
1162:e
1156:0
1152:S
1148:=
1143:0
1139:F
1113:0
1109:S
1086:0
1082:F
854:T
850:S
843:K
840:=
835:T
831:f
808:K
800:T
796:S
792:=
787:T
783:f
756:T
752:S
731:K
648:e
641:t
634:v
333:)
324:(
312:)
298:(
168:·
123:)
117:(
112:)
108:(
98:·
91:·
84:·
77:·
50:.
20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
