NO.PZ2019010402000007
问题如下:
A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:
选项:
A.
-4.7026
B.
4.7026
C.
4.8512
解释:
B is correct.
考点:equity forward contract求value
解析:
画图(long方):
因为这一题的头寸是short方,所以value=4.7026
我觉得,这里的div只有一笔,不是连续红利,不应该用连续复利折现,应该用反求出来的annual rf=3.0455%折现