{"author_name":"syou6162","blog_url":"https://www.yasuhisay.info/","width":"100%","categories":["\u52c9\u5f37\u4f1a"],"url":"https://www.yasuhisay.info/entry/20081119/1227072278","type":"rich","provider_url":"https://hatena.blog","published":"2008-11-19 14:24:38","blog_title":"yasuhisa's blog","description":"q\u304caverage yield \u5e74\u306e\u5e73\u5747\u5229\u56de\u308a \u4f8b 6\u30f6\u6708\u306eforward contract 6\u30f6\u6708\u3067\u8cc7\u7523\u306e\u5229\u56de\u308a\u304c\u3082\u3089\u3048\u308b risk free rate = 10% S0 = 25 T=0.5 q=4% \u4e00\u5e74\u306b\u4e8c\u56de\u6255\u308f\u308c\u308b \u9023\u7d9a\u306b\u3057\u305f\u3044 \u5229\u56de\u308a\u304c\u30af\u30fc\u30dd\u30f3\u306e\u3088\u3046\u306a\u30a4\u30e1\u30fc\u30b8 \u4ffa\u304c\u62c5\u5f53\u3057\u305f\u3068\u3053\u308d\u306ep9\u304f\u3089\u3044 0.5 e^{y*0.1*0.5} + 25.5 e^{y*0.1*1} y=0.0396 \u3086\u3048\u306bq=0.0396\u3068\u3067\u304d\u3066\u3001F0\u304c\u8a08\u7b97\u3067\u304d\u3066\u3001 forward contract(p12) K:\u53d7\u6e21\u4fa1\u683c F0:\u73fe\u5728\u306e\u5148\u6e21\u4fa1\u683c \u9055\u3044\u306f\u4f55? \u5148\u6e21\u5951\u7d04\u306e\u4fa1\u5024 \u81ea\u5206\u304clong postion\u306e\u3068\u304d in\u2026","version":"1.0","height":"190","html":"<iframe src=\"https://hatenablog-parts.com/embed?url=https%3A%2F%2Fwww.yasuhisay.info%2Fentry%2F20081119%2F1227072278\" title=\"Options, Futures, and Other Derivatives\u52c9\u5f37\u4f1a\u7b2c\u516b\u56de - yasuhisa&#39;s blog\" class=\"embed-card embed-blogcard\" scrolling=\"no\" frameborder=\"0\" style=\"display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;\"></iframe>","provider_name":"Hatena Blog","author_url":"https://blog.hatena.ne.jp/syou6162/","image_url":null,"title":"Options, Futures, and Other Derivatives\u52c9\u5f37\u4f1a\u7b2c\u516b\u56de"}