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哄哄 · 2023年10月08日

画图法

  1. CFA II
  2. Derivative

NO.PZ2023020101000006

问题如下：

Sheroda determined she was also underweight in one individual stock. Thirty days ago, she entered a long 60-day forward position on CHJ common stock, which does not pay a dividend. Sheroda has asked Parisi to calculate the value of her two forward positions today—that is, 30 days after the contracts were initiated. Parisi has collected the information in Exhibit 1 to carry out the valuation assignment.

Exhibit 1: Selected Financial Information for Sheroda Meeting

Based on the information in Exhibit 1 and assuming a 360-day year, the value of Sheroda’s forward contract on the CHJ stock is closest to:

选项：

A.

3.99 USD.

B.

–3.98 USD.

C.

–4.29 USD.

解释：

B is correct. The value of the forward contract is:

Vt(T) = PVt,T[Ft(T) – F0(T)]

= e–0.0392(30/360)(96.31 – 100.30) = –3.98

老师 这题可以不用重新定价法而是画图大法来解吗？为什么我用画图法解不出答案，求画个图～

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已采纳答案

pzqa35 · 2023年10月08日

嗨，努力学习的PZer你好：


如下图所示，小数点保留会有一点点的差异。

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努力的时光都是限量版，加油！

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