| It's the |
| 送交者: egghead1 2008月10月02日06:27:20 於 [股市財經] 發送悄悄話 |
| 回 答: 不要攪和啊。 由 6degrees 於 2008-10-01 06:09:05 |
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the cash index compounded future value as of expiration date using the risk free rate. If S&P is trading at 1200, risk free rate is 2%, days to expiration for the S&P future is 100 days,
fair value = 1200 X exp(2%X100/365). Some people use continuous compounding. Some use simple compounding. No big difference. |
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