问题如下:
Which of the following statements regarding index arbitrage is correct?
I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.
II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.
III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.
IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.
选项:
A.I, II
B.III,IV
C.II,IV
D.None of these statements is correct.
解释:
If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.
If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.
Only statements I and II are correct.
老师您好,请问theoretical value 和theoretical price 有什么区别呢?