NO.PZ2023052407000011
问题如下:
The current exchange rate between the euro and US dollar is USD/EUR1.025. Risk-free interest rates for one year are 0.75 percent for the euro and 3.25 percent for the US dollar. The one-year USD/EUR forward rate that best prevents arbitrage opportunities is:
选项:
A.
USD/EUR1.051
B.
USD/EUR1.025
C.
USD/EUR0.975
解释:
A is correct. To avoid arbitrage opportunities in exchanging euros and US dollars, investors must be able to lock in a one-year forward exchange rate of USD/EUR1.051 today. The solution methodology is shown below.
In one year, a single unit of euro invested risk-free is worth EUR1.0075 (=e0.0075).
In one year, a single unit of euro converted to US dollars and then invested risk-free is worth USD1.0589 (=1.025*e0.0325).
To convert USD1.0589 into EUR1.0075 requires a forward exchange rate of USD/EUR1.051 (=1.0589/1.0075).
为什么是e的0.0075次方?