问题如下:
Is the futures price of a non-dividend paying stock likely to be greater or less than the expected future stock price? Explain your argument.
选项:
解释:
The futures price is the spot price compounded forward at the risk-free rate. Most stocks can be expected to provide a return greater than the risk-free rate. Hence, the expected future stock price is greater than the forward price.
老师,我有疑问,这个为啥不是看相关系数呢,标的资产的价值和利率正相关,期货大于远期,以此类推