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2019•Unpublished venueRequires access

The Cost-of-Carry Model

ROBERT A. JARROW, ARKADEV CHATTERJEA

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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

About this research paper

What this paper is about

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

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Method / approach

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Available 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

Key concepts: Carry (investment), Computer science, Business, Finance

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