NO.PZ2019010402000026
问题如下:
Which of the following would be an input as spot value in the Black model?
选项:
A. S&P 500 index price
B. the price of a futures
contract on the S&P 500 index
C. both
解释:
B is correct.
考点:Black model
解析:
Black model可以用来对基础资产为futures/forward、int rate或者swap的option定价,当基础资产为futures时,spot value应该是futures的价格。
为什么为什么不能用stock index?