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Lay You Lum · 2021年06月10日

无风险利率

* 问题详情,请 查看题干

NO.PZ201702190300000105

问题如下:

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.

还是不知道这个无风险利率0.3%哪里来的

1 个答案

WallE_品职答疑助手 · 2021年06月11日

嗨,努力学习的PZer你好:


题干第二段的最后一句话The current annual compounded risk-free rate is 0.3%

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!