NO.PZ2023041003000004
问题如下：
Kozorez asks Nils to
evaluate a carry arbitrage trade for a S&P 500 Index forward contract. He
believes the contract may be mispriced. The index is currently trading at
1,900, and the forward contract expiring in one year is priced at 1,863. The
index has a continuously compounded dividend yield of 2.50%, and the one- year
continuously compounded interest rate is 0.75%. Kozorez believes that at the
time of the contract’s expiration, the index will be trading at 1903.
Does
Nils’s stock index evaluation most likely identify an arbitrage opportunity?
选项：
A.
Yes, there is a
reverse carry arbitrage opportunity.
B.
Yes, there is a
carry arbitrage opportunity.
C.
No, the forward is fairly
priced.
解释：
The forward price
relationship should be F0(T) = FV(S0). If F0(T)
< FV(S0), then the forward contract is purchased and the
underlying is short sold. This represents a reverse carry arbitrage opportunity.
In this case, S0
= 1900, r = 0.75%, T = 1, and γT = 2.5%. Therefore, F0(T)
= 1,900e(0.0075–0.025)1 = 1,900 × 0.982652 = 1,867.04. Because the
price of the forward contract expiring in one year of 1,863 is less than
1,867.04, the forward is underpriced relative to the underlying. The index’s expected
future value has no effect on the arbitrage analysis.
为什么FP是1863不是1903？1903是什么？1903和1863有什么区别？
