是折现率的问题,discount rate =r when the investment has no systematic risk. investors should be compensated for the risk premium, you can think the underlying asset as a stock which may have positive or negative beta, thus the discount rate for such risky asset is not necessarily to be r(systematic risk level).
if the investment is positive correlated with systematic risk, the future will be required a higher discount rate, such that k>r; otherwise k<r.
actually the pricing of a future contract involves lots variables like cost of carry, convenience yield, systematic risk and so forth.
扫码加好友，拉您进群
全部版块
我的主页
收藏
