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Drink H · 2020年07月15日

问一道题:NO.PZ2020012005000039

问题如下:

If the futures price equals the future spot price for a financial asset, what is the return of that asset?

选项:

解释:

The return of the asset is the risk-free interest rate. This is evident from the equations for the futures price. For example, when there is no income generated by the underlying asset, the futures price is the spot price compounding forward at the risk-free rate. When there is income generated by the asset during the tenor of the futures, the futures price is adjusted for the income and then compounded forward at the risk-free rate.

未能理解该题意思,请老师解释

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袁园_品职助教 · 2020年07月15日

同学你好!

我给你简单翻译一下

问:如果期货价格=未来现货价格,那么该资产的回报率是多少?

答:该资产回报率为无风险利率。

你可以从期货定价公式看出来:F = S0 (1+rf) T次方

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NO.PZ2020012005000039问题如下 If the futures priequals the future spot prifor a financiasset, whis the return of thasset? The return of the asset is the risk-free interest rate. This is evint from the equations for the futures price. For example, when there is no income generatethe unrlying asset, the futures priis the spot pricompounng forwarthe risk-free rate. When there is income generatethe asset ring the tenor of the futures, the futures priis austefor the income anthen compounforwarthe risk-free rate.你可以从期货定价公式看出来F = S0 (1+rf) T次方,so和F一样怎么算出来汇报是无风险报酬率呢?无风险报酬律不应该就是-1

2023-02-20 16:52 1 · 回答

NO.PZ2020012005000039 问题如下 If the futures priequals the future spot prifor a financiasset, whis the return of thasset? The return of the asset is the risk-free interest rate. This is evint from the equations for the futures price. For example, when there is no income generatethe unrlying asset, the futures priis the spot pricompounng forwarthe risk-free rate. When there is income generatethe asset ring the tenor of the futures, the futures priis austefor the income anthen compounforwarthe risk-free rate. When there is income generatethe asset ring the tenor of the futures, the futures priis austefor the income anthen compounforwarthe risk-free rate.老师,麻烦翻译并讲解下。在这种情况下,futures price与future spot price哪个大?题目中的future spot price是理解为expectefuture spot pri吗?谢谢。

2023-02-07 19:24 2 · 回答