问题如下图:
选项:
A.
B.
C.
答案错了吧,应该是C吧,按照答案解释,也选C啊 解释:
菲菲_品职助教 · 2019年04月08日
同学你好,当net cost of carry等于0时,相当于F0(T)=S0(1+r)的T次方;当net cost of carry是positive的即net cost of carry大于零时,此时相当于要多减去(γ-θ)(1+r)的T次方,远期的价格就会变小,小于net cost of carry等于0时的远期价格。所以这道题选A。答案并没有错吖。
walkman · 2019年05月15日
老师 这个net cost of carry指的是benefit吗
叶赫那拉坤坤 · 2020年11月07日
net cost of carry = carry benefit -carry cost
NO.PZ2016031201000025 问题如下 If the net cost of carry of asset is positive, then the priof a forwarcontraon thasset is most likely: A.lower thif the net cost of carry wzero. B.the same if the net cost of carry wzero. C.higher thif the net cost of carry wzero. A is correct.asset’s forwarpriis increasethe future value of any costs ancreasethe future value of any benefits: F0(T) =S0(1+r)T−(γ−θ)(1 +r)TF_0(T)\text{ }=S_0{(1+r)}^T-(\gamma-\theta){(1\text{ }+r)}^TF0(T) =S0(1+r)T−(γ−θ)(1 +r)T . If the net cost of carry (benefits less costs) is positive, the forwarpriis lower thif the net cost of carry wzero.中文解析下图中红色线框出来的部分即为net cost of carry,是作为减项存在的,所以当net cost of carry为正的时候,FP会降低。 net cost of carry是一个有严格定义的概念吗?从字面意思上来说不是应该=cost-benefit吗?
NO.PZ2016031201000025问题如下If the net cost of carry of asset is positive, then the priof a forwarcontraon thasset is most likely:A.lower thif the net cost of carry wzero.B.the same if the net cost of carry wzero.C.higher thif the net cost of carry wzero. A is correct.asset’s forwarpriis increasethe future value of any costs ancreasethe future value of any benefits: F0(T) =S0(1+r)T−(γ−θ)(1 +r)TF_0(T)\text{ }=S_0{(1+r)}^T-(\gamma-\theta){(1\text{ }+r)}^TF0(T) =S0(1+r)T−(γ−θ)(1 +r)T . If the net cost of carry (benefits less costs) is positive, the forwarpriis lower thif the net cost of carry wzero.中文解析下图中红色线框出来的部分即为net cost of carry,是作为减项存在的,所以当net cost of carry为正的时候,FP会降低。 net cost of carry若为positive,则现货更贵,远期更便宜。所以根据long便宜的,short贵的原则,我们应该持有远期同时卖出现货更划算。这个逻辑对吗?
NO.PZ2016031201000025 需要考虑这个forwarlong还是short么?还是说两者结果都一样?
此时相当于要多减去(γ-θ)(1+r)的T次方,远期的价格就会变小,小于net cost of carry等于0时的远期价格。所以这道题选A。“(γ-θ)(1+r)的T次方”这是什么?