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PaisleyPPx · 2020年02月16日

问一道题：NO.PZ2018062007000087

  1. CFA I
  2. Derivative

问题如下：

In contrast to contingent claims, forward contracts:

选项：

A.

have their prices chosen by the participants.

B.

could end in default by either party.

C.

can be exercised by physical or cash delivery

解释：

B is correct. In a forward contract, either party could default, whereas in a contingent claim, default is possible only from the short to the long. A is incorrect because the forward price is set in the pricing of the contract such that the starting contract value is zero, unlike contingent claims, under which parties can select any starting value. C is incorrect because both forward contracts and contingent claims can be settled by either physical or cash delivery.

老师 A为什么不对？

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1 个答案

包包_品职助教 · 2020年02月17日

嗨，爱思考的PZer你好：


forward 合约的价格不是参与着可以自己选择的，它是我们通过无套利原则计算出来的，使得合约初始的价值为0的价格。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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