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小王爱学习 · 2022年04月23日

theoretical value 中文含义

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012005000044

问题如下：

Which of the following statements regarding index arbitrage is correct?

I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

选项：

A.

I, II

B.

III，IV

C.

II，IV

D.

None of these statements is correct.

解释：

If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

Only statements I and II are correct.

 theoretical value 中文理解成现值吗？spot price

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1 个答案

品职答疑小助手雍 · 2022年04月23日

同学你好， theoretical value就是你用现货价格还有利率之类的估计出来的期货的理论价格，这题比较的是实际市场价格和理论价格差异

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