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摩羯大小姐 · 2022年02月02日

Forward price不是期初定下来就不变了吗

NO.PZ2016031201000024

问题如下:

Stocks BWQ and ZER are each currently priced at $100 per share. Over the next year, stock BWQ is expected to generate significant benefits whereas stock ZER is not expected to generate any benefits. There are no carrying costs associated with holding either stock over the next year. Compared with ZER, the one-year forward price of BWQ is most likely:

选项:

A.

lower.

B.

the same.

C.

higher.

解释:

A is correct.

The forward price of each stock is found by compounding the spot price by the risk-free rate for the period and then subtracting the future value of any benefits and adding the future value of any costs. In the absence of any benefits or costs, the one-year forward prices of BWQ and ZER should be equal. After subtracting the benefits related to BWQ, the one-year forward price of BWQ is lower than the one-year forward price of ZER.

中文解析:


由上述公式可知:

远期价格是通过将现货价格与该时期的无风险利率复利,然后减去任何收益的未来价值,再加上任何成本的未来价值得到的。

在没有任何收益或成本的情况下,BWQ和ZER的一年期远期价格应该是相等的。

减去BWQ的好处后,BWQ的远期一年价格低于ZER的远期一年价格。

问的是price但是要用value回答,有点分不清了,考题也会这么出吗,怎么分辨出题意图呢

1 个答案
已采纳答案

Lucky_品职助教 · 2022年02月03日

嗨,爱思考的PZer你好:


Stocks BWQ and ZER are each currently priced at $100 per share. 这里说的是stock的价格。本题考查的是针对这两个stock的远期合约的定价,答案解析也是讲的定价的公式。

同学是否对value这个单词的中文含义有混淆,value有两个意思,按我们平时的理解,就是“价值”,在衍生品考试中,会让我们求合约期间t时刻的value也就是valuation估值。

我们一般是从时间点(0时刻or t时刻),以及提问的提问方式(price or value)来区别定价和估值。本题很明确的问了是price哦(Compared with ZER, the one-year forward price)。

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NO.PZ2016031201000024问题如下Stocks BWQ anZER are eacurrently price$100 per share. Over the next year, stoBWQ is expecteto generate significant benefits wherestoZER is not expecteto generate any benefits. There are no carrying costs associatewith holng either stoover the next year. Comparewith ZER, the one-yeforwarpriof BWQ is most likely:A.lower.B.the same.C.higher. A is correct.The forwarpriof eastois founcompounng the spot prithe risk-free rate for the perioanthen subtracting the future value of any benefits anaing the future value of any costs. In the absenof any benefits or costs, the one-yeforwarprices of BWQ anZER shoulequal. After subtracting the benefits relateto BWQ, the one-yeforwarpriof BWQ is lower ththe one-yeforwarpriof ZER. 中文解析由上述公式可知远期价格是通过将现货价格与该时期的无风险利率复利,然后减去任何收益的未来价值,再加上任何成本的未来价值得到的。在没有任何收益或成本的情况下,BWQ和ZER的一年期远期价格应该是相等的。减去BWQ的好处后,BWQ的远期一年价格低于ZER的远期一年价格。 明年有分红拿的股票反倒期货定价更低,那么大家岂不是都去long这家股票期货了?无论是有分红拿的这件事,还是期货价格便宜这件事,都比另一家股票有魅力,虽然我知道题目只是问了哪家期货定价高,可是比较完之后对两家股票的经济意义是什么呢?投资者会采取什么行动呢?

2022-05-04 14:19 1 · 回答

the same. higher. A is correct. The forwarpriof eastois founcompounng the spot prithe risk-free rate for the perioanthen subtracting the future value of any benefits anaing the future value of any costs. In the absenof any benefits or costs, the one-yeforwarprices of BWQ anZER shoulequal. After subtracting the benefits relateto BWQ, the one-yeforwarpriof BWQ is lower ththe one-yeforwarpriof ZER. 请问老师这个公式讲义里哪里有介绍到?F0=S0+carrying cost-carrying benefit 

2020-10-22 23:04 1 · 回答

benefit有可能是capitgains也可能分红?即使就是分红,但是因为有很高的增长,不一定分红就全部分配出去了?

2019-11-27 10:42 1 · 回答

老师您好 请问这是哪个知识点呢?可以具体讲一下解题步骤吗?

2019-03-26 11:17 1 · 回答