NO.PZ2023041003000010
问题如下:
Assume that you own a
dividend-paying stock currently worth $150. You plan to sell the stock in 250
days. In order to hedge against a possible price decline, you wish to take a
short position in a forward contract that expires in 250 days. The risk-free
rate is 5.25 percent. Over the next 250days, the stock will pay dividends
according to the following schedule:
What is the
forward price of a contract established today and expiring in 250 days?
It is now 100 days
since you entered the forward contract. The stock price is $115. What is the
value of the forward contract at this point?
选项:
A.
B.
C.
解释:
A. S0= $150
T = 250/365
r = 0.0525
PV(D,0,T) = $1.25/
F(0,T) = ($150.00
-$3.69)
B.St = $115
F(0,T) = $151.53
t = 100/365
T = 250/365
T -t = 150/365
r = 0.0525
After 100 days, two
dividends remain: the first one in 20 days, and the second one in 110 days.
PV(D,t,T) = $1.25/
Vt
(0,T) = $115.00 -$2.48 -$151.53/(1.0525)150/365 = -$35.86
A negative value
is a gain to the short
答案完全看不懂写的什么,能详细解释一下这道题吗