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

添加评论

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

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
381
浏览

我要回答关注问题

相关问题

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

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 以下是我的解题思路按老师讲的大原则，FP=S0+cost-income，同时期货定价和远期定价一样，所以通过期初V0=0构建公式。FP/(e^R*T)=s0(1+1.5%)^0.5请问以上哪里不对呢？

2024-03-06 22:08 1 · 回答

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

2023-07-14 09:41 3 · 回答

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这个题目按照公式计算差别很大，完全没边，请问特殊点在哪里？谢谢

2023-03-01 02:03 1 · 回答

2023-02-17 11:20 1 · 回答

这到底与long short 有关系么

1 个答案

1

0

381

相关问题