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Zunniyaki · 2021年10月05日

futures与forward期初成本都很低,value=0,但price>0. 不管怎样他们的价格还是要比option来的便宜,可以这样理解么?

NO.PZ2018111501000011

问题如下:

Suzuki is a Japanese working in United Kingdom. As he plans to move back to Japan, he decided to exchange his savings from GBP to JPY in the near future. During this period, he uses futures contracts in order to reduce currency risk exposure. The characteristics of futures contract he should significantly consider is:

选项:

A.

the risk of daily margin calls

B.

high transaction costs

C.

the FX quotation is DC/FC or FC/DC.

解释:

A is correct.

考点:Using Derivatives in Currency Risk Management

解析:Futures contracts是交易所交易的(exchange-traded),最大的特点是每日盯市(daily mark-to-market),因此有margin calls的风险,A正确。Futures与Foward的交易成本都比较低,需要考虑高交易成本的是option。外汇报价是DC/FC 还是FC/DC不会影响到对冲外汇风险的过程。

futures与forward期初成本都很低,value=0,但price>0. 不管怎样他们的价格还是要比option来的便宜,可以这样理解么?

1 个答案

pzqa015 · 2021年10月07日

嗨,努力学习的PZer你好:


可以这样理解。

futures 与 forward期初不用支付现金购买合约(不考虑futures的marginal call),而option需要期初支付现金购买权利,所以futures与forward交易成本低于option。

另外,option大部分都是OTC交易的,而futures是交易所交易的,流动性方面futures更好,隐性交易成本也因此更低。

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NO.PZ2018111501000011 问题如下 Suzuki is a Japanese working in UniteKingm. he plans to move bato Japan, he cito exchange his savings from Gto JPY in the nefuture. ring this perio he uses futures contracts in orr to recurrenrisk exposure. The characteristiof futures contrahe shoulsignificantly consir is: A.the risk of ily margin calls B.high transaction costs C.the FX quotation is /FC or FC/. A is correct.考点Using rivatives in CurrenRisk Management解析Futures contracts是交易所交易的(exchange-tra,最大的特点是每日盯市(ily mark-to-market),因此有margin calls的风险,A正确。Futures与Fowar交易成本都比较低,需要考虑高交易成本的是option。外汇报价是/FC 还是FC/不会影响到对冲外汇风险的过程。 没太明白,希望老师讲解

2023-08-30 21:39 1 · 回答

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2023-02-10 10:58 1 · 回答

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