关于cost问题

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to short futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the price for the futures contract ?

选项：

$35412.

$76634.

$50217.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

$FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78$

x100 tons per contract = $52478

这边的cost为什么不剪掉而是加上

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1 个答案

李坏_品职助教 · 2023年02月17日

嗨，从没放弃的小努力你好：

cost是针对于大豆现货的，而期货合约是不存在储存成本的（期货相比于现货更方便，更占优势），既然更方便，那么期货合约自然要更贵一些，期货定价要在现货的基础上加上这个cost。

下图的C指的是算上risk free rate之后的总成本，Y指的是持有现货的便利收益率。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478红色圈出来的是老师上课讲的公式，在这种离散情况下，PVCost在t0时刻到底怎么求，是不是题目得告诉具体cost金额，那除以的利率和时间呢？连续函数怎么用上面这个公式类似推导出来

2024-05-18 10:30 1 · 回答

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2024-03-06 22:08 1 · 回答

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478cost的算法为什么不是508*1.5%/2然后加上508再乘e^5%*0.5

2023-07-14 09:41 3 · 回答

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478这个题目按照公式计算差别很大，完全没边，请问特殊点在哪里？谢谢

2023-03-01 02:03 1 · 回答

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