The Cost-of-Carry Model

Robert Jarrow () and Arkadev Chatterjea

Chapter 11 in An Introduction to Derivative Securities, Financial Markets, and Risk Management, 2024, pp 207-225 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionA Cost-of-Carry ExampleThe AssumptionsThe Cost-of-Carry ModelThe Model SetupUsing the Law of One PriceUsing Nothing Comes from NothingDifferent Methods for Computing InterestThe Arbitrage Table ApproachValuing a Forward Contract at Intermediate DatesLinking Forward Prices of Different MaturitiesSummaryCasesQuestions and Problems

Keywords: Derivatives; Financial Markets; Risk Management; Arbitrage; Financial Engineering; Forwards; Futures; Call Options; Put Options; European Options; American Options; Swaps; Currency Swaps; Interest Rate Swaps; Commodity Swaps; Equity Swaps; Credit Default Swaps; Commodity Derivatives; Equity Derivatives; Index Derivatives; Interest Rate Derivatives; Commodities; Margins and Daily Settlements; Binomial Model; Black-Scholes Model; Black-Scholes-Merton Model; Delta Hedging; Gamma Hedging; Heath-Jarrow-Morton Model; Libor Model; Forward Rate Agreements; Interest Rate Futures; Interest Rate Options; Market Manipulation; Regulation; Derivatives Exchanges (search for similar items in EconPapers)
JEL-codes: C58 G1 G10 G13 G2 G20 G32 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811291654_0011 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811291654_0011 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811291654_0011

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().