开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

gjm · 2020年03月04日

问一道题:NO.PZ201602270200001901

* 问题详情,请 查看题干

问题如下:

1. Based on Exhibit 1, which of the following bonds most likely includes an arbitrage opportunity?

选项:

A.

Bond A

B.

Bond B

C.

Bond C

解释:

B is correct.

Bond B’s arbitrage-free price is calculated as follows:

frac31.02+1031.022=101.9416frac3{1.02}+\frac{103}{1.02^2}=101.9416

which is higher than the bond’s market price of 100.9641. Therefore, an arbitrage opportunity exists. Since the bond’s value (100.9641) is less than the sum of the values of its discounted cash flows individually (101.9416), a trader would perceive an arbitrage opportunity and could buy the bond while selling claims to the individual cash flows (zeros), capturing the excess value. The arbitrage-free prices of Bond A and Bond C are equal to the market prices of the respective bonds, so there is no arbitrage opportunity for these two bonds:

Bond A:

frac11.02+1011.022=98.0584frac1{1.02}+\frac{101}{1.02^2}=98.0584

Bond C:

frac51.02+1051.022=105.8247frac5{1.02}+\frac{105}{1.02^2}=105.8247

老师您好,这个题可以不计算直接观察出来吗

1 个答案

吴昊_品职助教 · 2020年03月04日

不可以,只能按部就班进行计算。这道题计算也并不复杂。