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.
–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
为什么用96.31折现而不直接用96?