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LHY · 2023年05月03日

卖的远期,在交割前的利息还是属于卖方的对吧

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=(561(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

卖的远期,在交割前的利息还是属于卖方的对吧

1 个答案
已采纳答案

pzqa27 · 2023年05月04日

嗨,从没放弃的小努力你好:


实际上既不是卖方也不是买方,而是equity的持有者获得。没有规定说 forward的卖方在交割前一定持有equity的。这里计算考虑到dividend只是基于无套利的原理,不能说卖方一定拿到dividend

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