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毛线 · 2020年03月16日

问一道题:NO.PZ2018062007000087

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.

  1. 老师,A里的price 是说0时间点的value的意思吗?
2 个答案

xiaowan_品职助教 · 2020年09月11日

嗨,努力学习的PZer你好:


@小鸣哥哥 同学你好,

无套利定价原则是咱们学习衍生品定价的基本原理,简单说就是这个衍生品的定价使得没有无风险套利机会存在,那么这个价格就是合理的,

具体讲解可以看一下李老师在Reading 49 第一个视频,就是对原理的介绍。


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加油吧,让我们一起遇见更好的自己!


xiaowan_品职助教 · 2020年03月16日

嗨,努力学习的PZer你好:


同学你好,A选项是说forward合约的价格, 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。

原因是在0时刻,forward合约的多空双方的权益是对等的。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


小鸣哥哥 · 2020年09月11日

老师,这个无套利的原则是什么?在哪里可以找到

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