这到底与long short 有关系么

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to short futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the price for the futures contract ?

选项：

$35412.

$76634.

$50217.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

$FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78$

x100 tons per contract = $52478

根据公式应该加costs-benefit，会不会因为short position 整体前面加负号？有点晕

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1 个答案

李坏_品职助教 · 2022年04月17日

嗨，从没放弃的小努力你好：

这个题目问的是future price，这个是大豆期货的期货价格，和你做多做空没关系。直接套用商品期货的FP的定价公式即可，就算你是Long futures的，那FP还是这个公式

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NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478红色圈出来的是老师上课讲的公式，在这种离散情况下，PVCost在t0时刻到底怎么求，是不是题目得告诉具体cost金额，那除以的利率和时间呢？连续函数怎么用上面这个公式类似推导出来

2024-05-18 10:30 1 · 回答

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NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478cost的算法为什么不是508*1.5%/2然后加上508再乘e^5%*0.5

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这到底与long short 有关系么

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