期货价格的确定 Price of Futures with Parity 由于两个策略在时间T有相同的现金流 Since the strategies have the same flows at time t Fo/(1+r=so O tr 期货价格一定等于持有股票的成本 The futures price has to equal the carrying cost of the stock 22-1422-14 期货价格的确定 Price of Futures with Parity 由于两个策略在时间T有相同的现金流 Since the strategies have the same flows at time T FO / (1 + rf ) T = SO FO = SO (1 + rf ) T 期货价格一定等于持有股票的成本 The futures price has to equal the carrying cost of the stock