问题如下:
A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:
选项:
A.-4.7026
B.4.7026
C.4.8512
解释:
B is correct.
考点:equity forward contract求value
解析:
画图(long方):
因为这一题的头寸是short方,所以value=4.7026
明白这里先求long,再加负号得到short头寸
但是为什么不能直接S1+PVD,这样就是short方得到分红的好处,直接算short的呢?
是因为这里并没有说 long现货吗?但是short contract不是很long现货都是成对出现的吗?