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Leaiatu · 2019年11月28日

问一道题:NO.PZ2017092702000093

问题如下:

The weekly closing prices of Mordice Corporation shares are as follows:

The continuously compounded return of Mordice Corporation shares for the period August 1 to August 15 is closest to:

选项:

A.

6.90%

B.

7.14%

C.

8.95%

解释:

A is correct.

The continuously compounded return of an asset over a period is equal to the natural log of period’s change. In this case: ln(120/112) = 6.90%

老师,我用这个公式【1+(120-112)/112】^36015 = 1+EAR ,这样是不是算的一年的年化利率?


再往下算连续利率好像就只能这样,【(1+X/m)^m】^ 365/15 = 1+EAR


好像绕了一圈,不过想问问这么想对吗?

1 个答案
已采纳答案

星星_品职助教 · 2019年11月28日

同学你好,

这道题是连续(continuous)复利,所以EAR是e的N次方这种形式。你的列式的EAR是离散型复利,计息m次的形式

正确列式为:1+(120-112)/112 =e^r, 转化一下就是答案的那种形式:r=ln(120/112)。这个连续复利下收益率的形式可以记忆一下,下次直接代入即可。加油

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