NO.PZ2016082404000026
问题如下:
The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with six months to maturity?
选项: 0.95
1.00
C.1.05
D.Cannot determine without additional information
解释:
ANSWER: A
The delta of a long forward contract is
The delta of a long forward contract is
er∗τ=e−0.10×0.5=0.95.
请问公式上面应该是E q*t,还是E -q*t?
领完,long和short是否公式一样?