No.PZ2019052801000039 (选择题)来源: 品职出题
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 ?
解析中的公式不理解,有三个问题:①李老师课上讲的long position是不是指我在t=0时刻long forward/short spot,这个long position的意思是long 远期;②之前讲义的例子都是以long position为例,有分红和coupon,S0要减去这个分红或者coupon的折现值,想问下,为什么要减去,是因为我们拿不到手吗?那如果是仓储费呢,是S0加上折现后的值吗?然后给百分比,对于连续利率,拿不到手(分红和coupon)是减去或者除,那仓储费的话是加或者乘以吗,这个怎么理解?③这题也不是long position,可以按照long position计算吗,加个负号吗?还是要画short position的图计算?
最后,想问下这题的解题思路和过程