问题如下图:
选项:
A.
B.
C.
解释:
这句话请问是什么意思?
NO.PZ2016031201000023 the same the spot pricompounthe risk-free rate. higher ththe spot pricompounthe risk-free rate. C is correct. When a commoty’s storage costs exceeits convenienyielbenefits, the net cost of carry (benefits less costs) is negative. Subtracting this negative amount from the spot pricompounthe risk-free rate results in aition to the compounspot price. The result is a commoty forwarpriwhiis higher ththe spot pricompoun The commoty’s forwarpriis less ththe spot pricompounwhen the convenienyielbenefits exceethe storage costs anthe commoty’s forwarpriis the same the spot pricompounwhen the costs equthe benefits. 中文解析 本题考察的是远期合约的定价. 由下面的公式可知,成本是作为加项,而好处是作为减项的,因此当成本大于好处时,即增加的多而减少的少,整体会增加,从而使得FP增加,大于S0(1+rf)T 。 这道题直接想不就是持有现货成本高,所以持有远期更好,远期合约价格就会更贵。这个公式有必要记吗?
NO.PZ2016031201000023 这种情况下是不是不符合一价定律并且可以套利了?