Lilly · 2023年08月13日
NO.PZ2023040401000056
问题如下：
Three months ago, an investor took a long position of a forward contract that expires in six months. The forward contract was priced at $50, with a quarterly dividend of $3, and a semi-annual cost of $4. The risk-free interest rate is 3%. Now the underlying price is $48, what is the value of this forward contract:
选项：
A.-$0.6392.
$0.6022.
-$1.0459.
解释：
T=6/12=0.5; T-t= 3/12 = 0.25; t=3/12=0.25; St=48.
当期发的一笔D不算在内是因为价格已经是剔除了当期D影响后的原因么？
NO.PZ2023040401000056 问题如下 Three months ago, investor took a long position of a forwarcontrathexpires in six months. The forwarcontrawprice$50, with a quarterly vinof $3, ana semi-annucost of $4. The risk-free interest rate is 3%. Now the unrlying priis $48, whis the value of this forwarcontract: A.-$0.6392. B.$0.6022. C.-$1.0459. T=6/12=0.5; T-t=3/12 = 0.25; t=3/12=0.25; St=48. 为什么这个semi-annucost不是1/2*3/12
NO.PZ2023040401000056 问题如下 Three months ago, investor took a long position of a forwarcontrathexpires in six months. The forwarcontrawprice$50, with a quarterly vinof $3, ana semi-annucost of $4. The risk-free interest rate is 3%. Now the unrlying priis $48, whis the value of this forwarcontract: A.-$0.6392. B.$0.6022. C.-$1.0459. T=6/12=0.5; T-t=3/12 = 0.25; t=3/12=0.25; St=48. Three months ago, investor took a long position of a forwarcontrathexpires in six months. 这个现金流能帮忙画一个么 ，不太懂哪个是t时刻
NO.PZ2023040401000056 问题如下 Three months ago, investor took a long position of a forwarcontrathexpires in six months. The forwarcontrawprice$50, with a quarterly vinof $3, ana semi-annucost of $4. The risk-free interest rate is 3%. Now the unrlying priis $48, whis the value of this forwarcontract: A.-$0.6392. B.$0.6022. C.-$1.0459. T=6/12=0.5; T-t=3/12 = 0.25; t=3/12=0.25; St=48. 求远期估值时，是用t时的即期价格减去FP折现到t时间。题目中已经告知了t时的即期价格48。为什么不直接用？
