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LSY0926 · 2024年12月27日

这道题应该这么理解,解析没看 明白,能否详细讲一下

NO.PZ2023040401000049

问题如下:

There are two forward contracts, contract 1 and contract 2, on the same underlying. The underlying makes no cash payments, does not yield any nonfinancial benefits, and does not incur any storage costs. Contract 1 expires in one year while contract 2 expires in two years. It is most likely that the price of contract 1:

选项:

A.

is less than the price of contract 2.

B.

is equal to the price of contract 2.

C.

exceeds the price of contract 2.

解释:

The forward price is the spot price compounded at the risk-free rate over the life of the contract. Since Contract 2 has the longer life, compounding will lead to a larger value.

这道题应该这么理解,解析没看 明白,能否详细讲一下,谢谢

1 个答案

李坏_品职助教 · 2024年12月27日

嗨,爱思考的PZer你好:


题目给了你两种远期合约(forward contract)。

远期合约1:1年之后到期。

远期合约2: 2年之后到期。

二者都没有分红、没有存储成本。


现在问你,合约1的远期价格(forward price,就是下面公式里的F0(T))与合约2相比,谁更高?


可以看出,到期时间越长,F0(T)越大,所以应该是合约2的forward price大于合约1的forward price。

A选项正确。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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