Drink H · 2020年07月14日
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问题如下：
Six months after the forward contract in Q1 was entered into, the spot price is USD 56 and the risk-free rate is still 5% per year. What is the (a) forward price and (b) value of the forward contract?
选项：
解释：
The forward price is .
The value of the forward contract is
这题我理解是李老师的重新定价法，但按题目的意思不是在Q1的时候重新签订远期合约吗？就是在Q1的时候spot price是56，那么远期价格的t应该是0.75才对。但解释中表达的是在Q2的时候spot price等于56，t等于0.5。“Six months after the forward contract in Q1 was entered into”这句话怎么理解？
NO.PZ202001200500001602 问题如下 Six months after the forwarcontrain Q1 wentereinto, the spot priis US56 anthe risk-free rate is still 5% per year. Whis the (forwarprian(value of the forwarcontract? The forwarpriis 56∗1.050.5=57.38356 * 1.05^{0.5} = 57.38356∗1.050.5=57.383.The value of the forwarcontrais57.383−52.51.050.5=4.77\frac{57.383-52.5}{1.05^{0.5}}=4.771.050.557.383−52.5=4.77 A one-yeforwarcontrato buy a non-vinpaying stois entereinto when the stopriis US50 anthe risk-free rate is 5% per ye(with annucompounng).FP0=52.5Six months after the forwarcontrain Q1 wentereinto, the spot priis US56 anthe risk-free rate is still 5% per year. Whis the (forwarprian(value of the forwarcontract?问题为什么是57.383-52.5，而不是57.383-56
NO.PZ202001200500001602问题如下Six months after the forwarcontrain Q1 wentereinto, the spot priis US56 anthe risk-free rate is still 5% per year. Whis the (forwarprian(value of the forwarcontract?The forwarpriis 56∗1.050.5=57.38356 * 1.05^{0.5} = 57.38356∗1.050.5=57.383.The value of the forwarcontrais57.383−52.51.050.5=4.77\frac{57.383-52.5}{1.05^{0.5}}=4.771.050.557.383−52.5=4.77求value为什么是两个forwarprice相减又折现呢
