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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年02月02日

为什么不能用重新定价法来算？

  1. CFA II
  2. Derivative

NO.PZ2019010402000007

问题如下：

A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:

选项：

A.

-4.7026

B.

4.7026

C.

4.8512

解释：

B is correct.

考点：equity forward contract求value

解析：

画图（long方）：

valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026

因为这一题的头寸是short方，所以value=4.7026

老师好，我在 https://class.pzacademy.com/qa/102386 看见助教回答【用重新定价法需要知道Ft(T)，本题没给出这个条件，所以无法用这个方法哦】。

讲义上这例题题干没给出Ft(T)，但它用了St求出Ft(T)，如下图红色划线处，然后用重新定价法求解。


我们这题题干给出了The current spot price of underlying is $56，这就是St吧？那么是不是也能用这个St来求Ft(T)，然后再用重新定价法计算呢？

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Lucky_品职助教 · 2023年02月06日

嗨，努力学习的PZer你好：


之前的回答不准确，你的理解是对的，可以用重新定价法

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努力的时光都是限量版，加油！

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