Sirsirius · 2021年02月20日
NO.PZ2019010402000002
问题如下：
A stock index futures contract has a remaining maturity of two months. The continuously compounded annual risk-free rate is 0.25%, and the continuously compounded dividend yield on stock index is 0.8%. The current index level is 1,350. The no-arbitrage futures price is:
选项：
A.1347.84
B.1,351.23
C.1,348.76
解释：
C is correct.
考点：stock index futures定价
解析：
有点忘了，为什么分红的0.8%也要折现呢。。
NO.PZ2019010402000002问题如下 A stoinx futures contraha remaining maturity of two months. The continuously compounannurisk-free rate is 0.25%, anthe continuously compounvinyielon stoinx is 0.8%. The current inx level is 1,350. The no-arbitrage futures priis: 1347.84 1,351.23 1,348.76 C is correct.考点stoinx futures定价解析F0(T)=1350×e(0.25%−0.8%)×(60/360)=1,348.76F_0(T)=1350\times e^{(0.25\%-0.8\%)}\times^{(60/360)}=1,348.76F0(T)=1350×e(0.25%−0.8%)×(60/360)=1,348.76还有我这个公式为什么不对，请老师点拨我哪里错了？
1,351.23 1,348.76 C is correct. 考点stoinx futures定价 解析 F0(T)=1350×e(0.25%−0.8%)×(60/360)=1,348.76F_0(T)=1350\times e^{(0.25\%-0.8\%)}\times^{(60/360)}=1,348.76F0(T)=1350×e(0.25%−0.8%)×(60/360)=1,348.76实在不好意思，想问下这道题计算器怎么按………因为0.25小于0.8，开方会报错啊……
NO.PZ2019010402000002 1
NO.PZ2019010402000002 老师可以详细解答一下吗
