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YAO Monica · 2024年03月24日

这题是不是在用“重新定价法”的逻辑计算到期日的payoff

  1. CFA II
  2. Derivative

NO.PZ2023020101000007

问题如下：

Parisi proceeds to review an equity forward contract held by Quantum. The contract was initiated thirty days ago when the fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Quantum entered into a long forward contract on the UAX 300 Index expiring in 60 days. Sheroda tells Parisi that she estimates the current price of this contract to be USD 1457.38. Parisi collects the information in Exhibit 1 for his review.

Exhibit 1 Selected Financial Information for UAX 300 Forward Contract

Based on the data in Exhibit 1, and given Sheroda’s value of the UAX 300 forward contract, the arbitrage profit is most likely to be:

选项：

A.

greater than zero.

B.

less than zero.

C.

zero.

解释：

The forward contract on the UAX 300 was entered into 30 days ago at a price of 1,403.22. Currently, with 30 days remaining on the contract, the value is

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

An arbitrageur would sell the futures contract, buy the underlying, and earn a risk-free profit of 4.84.

如题，谢谢

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pzqa35 · 2024年03月25日

嗨，从没放弃的小努力你好：


这里问的是是否存在套利的机会，而套利都是低买高卖不承担风险的一种行为，因此可以大致判断这里应该是有一个东西存在着两种价格，所以才会有套利的机会。那么题目中说的是这个人进入了一个forward合约，现在过了30天以后，这个合约的市场价格是1457.38，那么我们要计算的就是根据无套利的定价模型这个合约值多少钱，也就是在30天这个时间点给一个到期日为30天的合约重新定价，那么我们算出来是1452.54，定价不一致，所以是存在套利机会的。这里不是利用重新定价法求value，而是用它和forward现在的市价进行比较，看是否存在定价不一致从而进行套利的。

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努力的时光都是限量版，加油！

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NO.PZ2023020101000007问题如下 Parisi procee to reviewequity forwarcontrahelQuantum. The contrawinitiatethirtyys ago when the funexpectea large inflow of cash in 60 ys. In orr tohee against a potentirise in equity values over this perio Quantumentereinto a long forwarcontraon the U300 Inx expiring in 60 ys.Shero tells Parisi thshe estimates the current priof this contratoUS1457.38. Parisi collects the information in Exhibit 1 for his review.Exhibit1 SelecteFinanciInformation for U300 ForwarContractBaseon the ta in Exhibit 1, angiven Shero’svalue of the U300 forwarcontract, the arbitrage profit is most likelyto be: A.greater thzero.B.less thzero.C.zero. The forwarcontraon the U300 wenterento 30 ys ago a priof 1,403.22. Currently, with 30 ys remaining onthe contract, the value isF0(T)= S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360)= 1,452.54arbitrageur woulsell the futures contract,buy the unrlying, anearn a risk-free profit of 4.84. 可以使用画图法其中每一个数据是如何使用的吗？

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