Discuss Hedging in cash and future at the Derivatives within the Traderji.com - Discussion forum for Stocks Commodities & Forex; I use the continuous time model to compute the cost of carry.
F = S ...
Welcome to www.Traderji.com - India's online discussion forum for Stocks, Commodities and Forex.
You are currently viewing our boards as a guest which gives you limited access to view most discussions and access our other features. By joining our free community you will have access to post topics, communicate privately with other members (PM), respond to polls, upload content and access many other special features.
I use the continuous time model to compute the cost of carry.
F = S * e^(r*T/365)
Rearrange the above equation to find r.
r = ln(F/S) * (365/T)
This r is the annualized cost of carry, and had to be greater than your incremental borrowing cost, to justify the arbitrage.
Hi Nautilus,
First and foremost, thanks a lot for showing your interest in replying my quory. You are very correct that I was a bit ambigous. Actually what i meant was correctly assessed by Ivanboesky - Arbitrage between cash and futures market to make small but riskless profit.
This hopefully cleares the confusion that has been inadvertently created. I am eagerly waiting for your views and comments.
Regards.
Hi Nillohit:
I think Ivanboesky is doing a great job here and I am following the thread. If I have something useful to add I will do so.
Indemnity, Disclaimer & Disclosure
Notice:
• By visiting Traderji.com you indicate your acceptance of our Forum
Rules Disclaimer & Disclosure and indemnify Traderji.com, its
associates and related parties of all claims howsoever resulting from
the usage of the forum.
• Disclaimer: Trading or investing in stocks & commodities
is a high risk activity. Any action you choose to take in the markets
is totally your own responsibility. Traderji.com will not be liable for
any, direct or indirect, consequential or incidental damages or loss arising out of the use of this information.
• Disclosure: The information in this forum is neither an offer to sell nor solicitation to buy any of the securities mentioned herein.
The writers may or may not be trading in the securities mentioned.
• All names or products mentioned are trademarks or registered trademarks of their respective owners. General Content Disclaimer Notice:
In light of our policy of encouraging candid, open exchanges of views and the rapid distribution of information originating from many sources, Traderji.com cannot determine the accuracy of information that may be uploaded to the forum. Opinions, advice and all other information expressed by participants in discussions are those of the author. You rely on such information at your own risk. You are urged to seek professional advice for specific, individual situations and not rely solely on advice or opinions given in the discussions. Since Traderji.com is an open and free discussion forum, any comments made by members of this forum in their posts reflect their own views and not of the owner or administrator of Traderji.com. Thus the owner/administrator indemnify themselves of all claims whatsoever and will not be liable or responsible for any members comments/views in this forum Traderji.com. If you find any objectionable or offensive posts made by members of this forum which you would like to bring to our notice for removal then please Contact Us.
17th October 2005, 09:00 AM
Re: Hedging in cash and future
