问题如下:
5. Based on Exhibit 2, Troubadour should find that an arbitrage opportunity relating to TSI shares is
选项:
A.not available.
B.available based on carry arbitrage.
C.available based on reverse carry arbitrage.
解释:
A is correct.
The carry arbitrage model price of the forward contract is FV(S0) = S0(1 + r)T= $250(1 + 0.003)0.75 = $250.562289.
The market price of the TSI forward contract is $250.562289. A carry or reverse carry arbitrage opportunity does not exist because the market price of the forward contract is equal to the carry arbitrage model price.
老师到底从哪里能看出来应该用0.3%作为无风险利率……