问题如下:
7.Based on Exhibits 2 and 3, and assuming annual compounding, the per share value of Troubadour’s short position in the TSI forward contract three months after contract initiation is closest to:
选项:
A. $1.6549.
B. $5.1561.
C. $6.6549.
解释:
C is correct.
The no-arbitrage price of the forward contract, three months after contract initiation, is
F0.25(T) = FV0.25,T(S0.25 + θ.25 –γ0.25)
F0.25(T) = [$245 + 0 - $1.50/(1 + 0.00325)(0.5 - 0.25)](1 + 0.00325)(0.75 -0.25) = $243.8966
Therefore, from the perspective of the long, the value of the TSI forward contract is
V0.25(T)=PV0.25,T [F0.25(T) – F0(T)]
V0.25(T) = ($243.8966- $250.562289)/(1 + 0.00325)0.75 - 0.25 =-$6.6549
Because Troubadour is short the TSI forward contract, the value of his position is a gain of $6.6549.
这题说到了分红是半年一付,1.5$,为什么不需要除以2?