Cost Of Carry

 

Definition of 'Cost Of Carry'
Costs incurred as a result of an investment position. These costs can include financial costs, such as the interest costs on bonds, interest expenses on margin accounts and interest on loans used to purchase a security, and economic costs, such as the opportunity costs associated with taking the initial position. 
Investopedia explains 'Cost Of Carry'
Cost to carry may not be an extremely high financial cost if it is effectively managed. For example, the longer a position is made on margin, the more interest payments will need to be made on the account. When making an informed investment decision consideration must be given to all of the potential costs associated with taking that position.

Read more: http://www.investopedia.com/terms/c/costofcarry.asp#ixzz2FffXiwkW


'margin over libor'

如果雪球期权挂钩的是股指期货,那么期货的升水贴水对期权价格会产生影响。在蒙特卡洛模拟中,可以通过将期货的价格模拟为一个随机过程来考虑升水贴水的影响。 假设当前期货价格为 $F_0$,升水为 $b$,贴水为 $d$。在模拟过程中,每个时间步长 $dt$,期货价格 $F_t$ 可以通过以下公式计算: $$F_t = F_{t-dt} \cdot e^{(r-b-\frac{1}{2}\sigma^2)dt + \sigma\epsilon\sqrt{dt}}$$ 其中 $r$ 是无风险利率,$\sigma$ 是期货价格的波动率,$\epsilon$ 是一个服从标准正态分布的随机变量。 在计算期权价格时,使用模拟得到的期货价格替代原来的股票价格,并且将期货价格和期权价格都调整为现金价格。 以下是修改后的代码: ```python import numpy as np from scipy.stats import norm def snowball_option_price(F, K, T, r, sigma, b, d, n_sims=100000): """ F: underlying futures price K: strike price T: time to maturity r: risk-free rate sigma: volatility of returns b: cost of carry (interest rate - dividend yield) d: basis (futures price - spot price) n_sims: number of simulations """ # Calculate the drift rate drift = (r - b - 0.5 * sigma ** 2) * T # Calculate the standard deviation of returns stdev = sigma * np.sqrt(T) # Generate random returns returns = np.random.normal(drift, stdev, n_sims) # Calculate the futures price at maturity F_T = F * np.exp((returns - d) * T) # Calculate the payoff of the option payoff = np.maximum(F_T - K, 0) # Calculate the option price option_price = np.exp(-r * T) * np.mean(payoff) return option_price # Example usage F = 100 # underlying futures price K = 110 # strike price T = 1 # time to maturity r = 0.05 # risk-free rate sigma = 0.2 # volatility of returns b = 0.03 # cost of carry d = 0.02 # basis n_sims = 100000 # number of simulations option_price = snowball_option_price(F, K, T, r, sigma, b, d, n_sims) print(f"Snowball option price: {option_price:.2f}") ``` 需要注意的是,这里假设期货价格的波动率 $\sigma$ 和股票价格的波动率是相同的,这可能不是完全准确的。在实际应用中,可能需要对期货价格的波动率进行单独的研究和估计。
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