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比如世界 · 2020年04月24日

问一道题:NO.PZ2020012005000044

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?

1 个答案

小刘_品职助教 · 2020年04月25日

同学你好,

我看了一下原版书,从语境看这两个没什么区别,应该就是用词上的调整。:-)

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