用远期合约生产衍生资产

Producing Derivative Assets with Forward Contracts

Journal of Financial and Quantitative Analysis · 1988
被引 17
人大 AFT50ABS 4

中文导读

展示如何用远期策略复制衍生证券,并据此通过远期价格进行套利定价。

Abstract

This paper shows how a derivative security can be duplicated by a forward strategy, and, hence, priced by arbitrage in terms ofthe forward price.

衍生资产远期合约套利定价