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lion · 2023年02月20日

烦请确认

NO.PZ2020012005000039

问题如下:

If the futures price equals the future spot price for a financial asset, what is the return of that asset?

解释:

The return of the asset is the risk-free interest rate. This is evident from the equations for the futures price. For example, when there is no income generated by the underlying asset, the futures price is the spot price compounding forward at the risk-free rate. When there is income generated by the asset during the tenor of the futures, the futures price is adjusted for the income and then compounded forward at the risk-free rate.

你可以从期货定价公式看出来:F = S0 (1+rf) T次方,so和F一样怎么算出来汇报是无风险报酬率呢?无风险报酬律不应该就是-1

1 个答案

DD仔_品职助教 · 2023年02月21日

嗨,爱思考的PZer你好:


同学你好,

同学你没有看清题目条件,题目说的不是S0等于F,题目说的是futures price 等于the future spot price,是期货价格=未来现货价格,期货价格是F,未来现货价格是ST=S0 (1+rf) ^T,那么当F=ST=S0 (1+rf) ^T时,回报率就是rf。

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