NO.PZ2016031202000009
问题如下:
Is it true that the expected payoff of the derivative can be discounted at the risk-free rate plus a risk premium?
选项:
A.
No, because a combination of a derivative and the underlying can produce a risk-free asset.
B.
Yes, because most investors are risk averse, they require a risk premium.
C.
No, because most investors are risk neutrality, they do not need a premium.
解释:
A is correct. The expected payoff of the derivative can be discounted at the risk-free rate, because a derivative can be combined with an asset to produce a risk-free position and the derivative price can be obtained by assuming that the investor is risk neutral.
C is incorrect because most investors are risk averse, however the investor's risk aversion does not affect the derivative price.
中文解析:
题干实际问的是为什么对于衍生品的定价时可以用无风险利率
其中的逻辑是这样的:
首先我们知道一个等式:asset+drivative=risk-free asset,即衍生品可以帮助我们消除风险。
然而大多数投资者的是风险厌恶型的,即承担多一点的风险需要一个风险补偿。
所以按理来说,在定价折现的时候应该加上一个风险补偿。
但这个方法对衍生品来说并不适用,原因就在于上面这个公式 asset+drivative=risk-free asset。
因为衍生品可以消除资产的风险,以获得一个certain payoff,所以风险厌恶对于衍生品的定价来说是not relevant,我们就可以假设投资者是风险中性的,以无风险利率折现。
可以翻译一下题目吗,这个discounted在这边不知道如何翻译