问题如下:
2.The current no-arbitrage futures price of the Nikkei 225 futures contract (Position 1) is closest to:
选项:
A.15,951.81.
B.16,047.86.
C.16,112.21.
解释:
B is correct.
The no-arbitrage futures price is
F0(T)=S0e(rc-γ)T
F0(T) = 16,080e(0.002996 - 0.011)(3/12) = 16,047.68
t时刻St的股票价值也要折现是吗?