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明明要加油 · 2023年10月01日

答案解析不明白请教老师。

  1. CFA II
  2. Derivative

NO.PZ2023020101000007

问题如下：

Parisi proceeds to review an equity forward contract held by Quantum. The contract was initiated thirty days ago when the fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Quantum entered into a long forward contract on the UAX 300 Index expiring in 60 days. Sheroda tells Parisi that she estimates the current price of this contract to be USD 1457.38. Parisi collects the information in Exhibit 1 for his review.

Exhibit 1 Selected Financial Information for UAX 300 Forward Contract

Based on the data in Exhibit 1, and given Sheroda’s value of the UAX 300 forward contract, the arbitrage profit is most likely to be:

选项：

A.

greater than zero.

B.

less than zero.

C.

zero.

解释：

The forward contract on the UAX 300 was entered into 30 days ago at a price of 1,403.22. Currently, with 30 days remaining on the contract, the value is

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

An arbitrageur would sell the futures contract, buy the underlying, and earn a risk-free profit of 4.84.


请问老师，这道题干给的是sheroda估计这个合约价格为1457.38，而通过定价公式我们计算出来的合约当前价值为1452.54，说明sheroda高估了合约的价值，既然她高估了合约价格，怎么能出现套利呢，想不明白。

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1 个答案

pzqa35 · 2023年10月03日

嗨，爱思考的PZer你好：


这个题可以从这个角度来理解：Q的合约是在30天前以1403.22元买入的，在30天后，它的价值是1452.54元，但此时市场上的价格是1457.38元，这就是同一个产品，即站在30天这个时间点，往后30天到期的合约，有不同的价格，就会产生套利的空间，套利的方法就是我卖出合约，同时买入标的的股票，最终会获得差价=1457.38-1452.54=4.84.

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