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Mercury. · 2023年08月21日

可以解释下为什么吗

NO.PZ2023040401000062

问题如下:

Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?

选项:

A.

Differences in the pattern of cash flows of forwards and futures can explain pricing differences.

B.

Pricing differences can arise if futures prices and interest rates are uncorrelated.

C.

Interest rate volatility can explain pricing differences

解释:

If futures prices and interest rates are uncorrelated, the prices of forwards and futures will be identical.

RT

1 个答案
已采纳答案

Lucky_品职助教 · 2023年08月23日

嗨,努力学习的PZer你好:


futures在交易所交易,而且逐日盯市,每日结算,会有收益再投资问题,forward只在到期日结算,

因此如果价格和利率正相关,利率是上涨趋势,futures每天拿到赚的钱,还可以再投资,相较于forward就有优势,如果价格和利率不相关,futures就失去了这个优势,因此没有price difference。

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努力的时光都是限量版,加油!