Does a forward contract on a stock index have the same delta as the corresponding futures contract?
Problem 17.21.
Does a forward contract on a stock index have the same delta as the corresponding futures contract? Explain your answer.
Hint
With our usual notation the value of a forward contract on the asset is S0e-qT -Ke-rT. When there is a small change, delta S, in S0 the value of the forward contract changes by e-qT delta S. The delta of the forward contract is therefore e-qT. The futures price is S0e(r-q)T . When there is a small change, delta S, in S0 the futures price changes by delta Se(r-q)T .&nb...
With our usual notation the value of a forward contract on the asset is S0e-qT -Ke-rT. When there is a small change, delta S, in S0 the value of the forward contract changes by e-qT delta S. The delta of the forward contract is therefore e-qT. The futures price is S0e(r-q)T . When there is a small change, delta S, in S0 the futures price changes by delta Se(r-q)T .