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lion · 2023年02月19日

提问

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012005000044

问题如下：

Which of the following statements regarding index arbitrage is correct?

I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

选项：

A.

I, II

B.

III，IV

C.

II，IV

D.

None of these statements is correct.

解释：

If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

Only statements I and II are correct.

就是没太理解这个理论价格和实际价格有什么区别，还有理论价值吗？为啥就要高于理论就要买

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1 个答案

品职答疑小助手雍 · 2023年02月20日

同学你好，theoretical value就是你用现货价格还有利率之类的估计出来的期货的理论价格，白话一点就是你觉得它应该值多少钱。

而实际价格就是市面上现在的买卖价格，那就遵循低买高卖的原理，觉得他值10块钱，现在市面上只卖5块钱，那就买它，反之就卖。

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